Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/154360
Authors: 
Corradin, Stefano
Rodriguez-Moreno, Maria
Year of Publication: 
2016
Series/Report no.: 
ECB Working Paper 1927
Abstract: 
We document that a large yield spread, a basis, developed between USD- and EUR-denominated comparable bonds issued by the same euro area country over the 2008 – 2013 period. We find evidence that the basis varies over time, depending on liquidity withdrawn by strongly-constrained banks from the ECB and haircuts applied in the repo market, on the one hand, and the collateral policy and the liquidity supply conditions determined by the ECB, on the other. Overall, ECB collateral and liquidity factors explain a relevant share of the total variation in the basis and help to explain cross country dispersion in the basis.
Subjects: 
financial frictions
law of one price
margin constraints
non-conventional monetary policy
JEL: 
G01
G12
Persistent Identifier of the first edition: 
ISBN: 
978-92-899-2175-6
Document Type: 
Working Paper

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