The impact of unconventional monetary policy on the market for collateral: The case of the French bond market

Author:

Avouyi-Dovi Sanvi,Idier Julien

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference35 articles.

1. Regime switches in interest rates;Ang;Journal of Business & Economic Statistics,2002

2. Liquidity, maturity, and the yields on U.S. treasury securities;Amihud;Journal of Finance,1991

3. Avouyi-Dovi, S., Idier, J., 2010. Central bank liquidity and market liquidity: the role of collateral provision on the French government debt securities market. Banque de France Working Paper 278.

4. Power and bipower variation with stochastic volatility and jumps;Barndorff-Nielson;Journal of Financial Econometrics,2004

5. BIS, 2008. Liquidity Risk: Management and Supervisory Challenges. Basel Committee on Banking Supervision.

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