期刊名称:Euro Area Balance of Payments and International Investment Position Statistics
印刷版ISSN:1830-3420
电子版ISSN:1830-3439
出版年度:2016
出版社:European Central Bank
摘要:We document that a large yield spread, a basis, developed between USD- andEUR-denominated comparable bonds issued by the same euro area country over the2008 2013 period. We nd evidence that the basis varies over time, dependingon liquidity withdrawn by strongly-constrained banks from the ECB and haircutsapplied in the repo market, on the one hand, and the collateral policy and theliquidity supply conditions determined by the ECB, on the other. Overall, ECBcollateral and liquidity factors explain a relevant share of the total variation in thebasis and help to explain cross country dispersion in the basis.