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Stylized facts in money markets: an empirical analysis of the eurozone data

Author

Listed:
  • Victor Le Coz
  • Nolwenn Allaire
  • Michael Benzaquen
  • Damien Challet

Abstract

Using the secured transactions recorded within the Money Markets Statistical Reporting database of the European Central Bank, we test several stylized facts regarding interbank market of the 47 largest banks in the eurozone. We observe that the surge in the volume of traded evergreen repurchase agreements followed the introduction of the LCR regulation and we measure a rate of collateral re-use consistent with the literature. Regarding the topology of the interbank network, we confirm the high level of network stability but observe a higher density and a higher in- and out-degree symmetry than what is reported for unsecured markets.

Suggested Citation

  • Victor Le Coz & Nolwenn Allaire & Michael Benzaquen & Damien Challet, 2024. "Stylized facts in money markets: an empirical analysis of the eurozone data," Papers 2410.16021, arXiv.org.
    • Handle: RePEc:arx:papers:2410.16021
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    References listed on IDEAS

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    1. Renne Jean-Paul, 2017. "A model of the euro-area yield curve with discrete policy rates," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 21(1), pages 99-116, February.
    2. Matteo Accornero, 2020. "Repo Markets, Collateral Re-use and Systemic Fragility. A Literature Review," Working Papers 7/20, Sapienza University of Rome, DISS.
    3. Belinda Cheung & Mark Manning & Angus Moore, 2014. "The Effective Supply of Collateral in Australia," RBA Bulletin (Print copy discontinued), Reserve Bank of Australia, pages 53-66, September.
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    Cited by:

    1. Victor Le Coz & Michael Benzaquen & Damien Challet, 2024. "A minimal model of money creation under regulatory constraints," Papers 2410.18145, arXiv.org.

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