Relationship Between Short-Term Interest Rates and Excess Reserves : A Logistic Approach /

Relationship Between Short-Term Interest Rates and Excess Reserves : A Logistic Approach /

This paper models the relationship between short-term rates and excess reserves in an interest rate corridor as a logistic function estimated for the Eurosystem. The estimate helps to identify conditions in which short-term rates become unanchored, that is, they move away from the policy rates and b...

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Autore principale: Veyrune, Romain
Altri autori: della Valle, Guido, Guo, Shaoyu
Natura: Periodico
Lingua:English
Pubblicazione: Washington, D.C. : International Monetary Fund, 2018.
Serie:IMF Working Papers; Working Paper ; No. 2018/080
Accesso online:Full text available on IMF
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100 1 |a Veyrune, Romain. 
245 1 0 |a Relationship Between Short-Term Interest Rates and Excess Reserves :   |b A Logistic Approach /  |c Romain Veyrune, Guido della Valle, Shaoyu Guo. 
264 1 |a Washington, D.C. :  |b International Monetary Fund,  |c 2018. 
300 |a 1 online resource (37 pages) 
490 1 |a IMF Working Papers 
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500 |a <strong>On-Campus Access:</strong> No User ID or Password Required 
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520 3 |a This paper models the relationship between short-term rates and excess reserves in an interest rate corridor as a logistic function estimated for the Eurosystem. The estimate helps to identify conditions in which short-term rates become unanchored, that is, they move away from the policy rates and become more volatile within the interest rate corridor defined by the interest rates of the central bank's standing facilities. These conditions are attributed to coordination failures among counterparties at open market operations under fixed-rate and full-allotment procedures in the context of segmented markets. A model of the functioning of segmented markets describes how 'un-anchoring' takes place when counterparties pursue bidding strategies optimal from an individual perspective but sub-optimal from an aggregate perspective. 
538 |a Mode of access: Internet 
700 1 |a della Valle, Guido. 
700 1 |a Guo, Shaoyu. 
830 0 |a IMF Working Papers; Working Paper ;  |v No. 2018/080 
856 4 0 |z Full text available on IMF  |u http://elibrary.imf.org/view/journals/001/2018/080/001.2018.issue-080-en.xml  |z IMF e-Library 

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