Monetary Transmission Right from the Start: On the Information Content of the Eurosystem's Main Refinancing Operations

44 Pages Posted: 8 Jun 2016

See all articles by Puriya Abbassi

Puriya Abbassi

Deutsche Bundesbank

Dieter Nautz

Free University of Berlin (FUB) - Department of Economics

Date Written: 2011

Abstract

The Eurosystem's main refinancing operations (MRO) are key for the interbank money market and the monetary transmission process in the euro area. This paper investigates how money market rates respond to the information revealed by various aspects of an MRO auction outcome. Our results confirm that the level of MRO rates governed short-term money market rates before the financial crisis. Since the start of the financial crisis, however, the information content of MRO rates has changed. While the levels of MRO rates have lost much of their pre-crisis significance, the spread between the weighted average and the marginal MRO rate has become an important barometer for the actual situation in the money market during the crisis.

Keywords: monetary policy implementation, central bank auctions, European Central Bank, money markets and financial crisis

JEL Classification: E43, E52, E58, D44

Suggested Citation

Abbassi, Puriya and Nautz, Dieter, Monetary Transmission Right from the Start: On the Information Content of the Eurosystem's Main Refinancing Operations (2011). Bundesbank Series 1 Discussion Paper No. 2011,24, Available at SSRN: https://ssrn.com/abstract=2785418

Puriya Abbassi (Contact Author)

Deutsche Bundesbank ( email )

Wilhelm-Epstein-Str. 14
Frankfurt/Main, 60431
Germany
00496965993708 (Phone)

Dieter Nautz

Free University of Berlin (FUB) - Department of Economics ( email )

Boltzmannstrasse 20
D-14195 Berlin, 14195
Germany

HOME PAGE: http://www.wiwiss.fu-berlin.de/institute/iso/nautz/mitarbeiter/Nautz.html

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