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ASYMMETRIC STANDING FACILITIES: AN UNEXPLOITED MONETARY POLICY TOOL Gabriel Perez-Quiros and Hugo Rodríguez Mendizábal Documentos de Trabajo N.º 1004 2010

Gabriel Perez-Quiros and Hugo Rodríguez Mendizábal · Gabriel Perez-Quiros and Hugo Rodríguez Mendizábal documentos de trabajo ... Spain. E-mail: [email protected]. es

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Page 1: Gabriel Perez-Quiros and Hugo Rodríguez Mendizábal · Gabriel Perez-Quiros and Hugo Rodríguez Mendizábal documentos de trabajo ... Spain. E-mail: hugo.rodriguez@iae.csic. es

Asymmetric stAnding fAcilities: An unexploited monetAry policy tool

Gabriel Perez-Quiros and Hugo Rodríguez Mendizábal

documentos de trabajo n.º 1004

2010

Page 2: Gabriel Perez-Quiros and Hugo Rodríguez Mendizábal · Gabriel Perez-Quiros and Hugo Rodríguez Mendizábal documentos de trabajo ... Spain. E-mail: hugo.rodriguez@iae.csic. es

ASYMMETRIC STANDING FACILITIES: AN UNEXPLOITED MONETARY POLICY TOOL

Page 3: Gabriel Perez-Quiros and Hugo Rodríguez Mendizábal · Gabriel Perez-Quiros and Hugo Rodríguez Mendizábal documentos de trabajo ... Spain. E-mail: hugo.rodriguez@iae.csic. es

ASYMMETRIC STANDING FACILITIES: AN UNEXPLOITED

MONETARY POLICY TOOL (*)

Gabriel Perez-Quiros (**)

BANCO DE ESPAÑA AND CEPR

Hugo Rodríguez Mendizábal (***)

INSTITUTO DE ANÁLISIS ECONÓMICO (CSIC) AND BARCELONA GSE

(*) We thank Juan Ayuso, Roberto Blanco, José Manuel Marqués, Arturo Mesón and participants at the internal seminar of the Bank of Spain for helpful suggestions. We also appreciate valuable comments from an anonymous referee of the Working Paper series at the Bank of Spain. The views expressed in the paper are those of the authors and do not necessarily reflect the views of the Bank of Spain or the European System of Central Banks. Rodríguez Mendizábal acknowledges the support of the Barcelona GSE Research Network and of the Government of Catalonia.

(**) Servicio de Estudios, Banco de España, Alcalá 48, 28014 Madrid. Spain. E-mail: [email protected].

(***) Instituto de Análisis Económico. Campus UAB. 08193 Bellaterra Barcelona, Spain. E-mail: [email protected].

Documentos de Trabajo. N.º 1004

2010

Page 4: Gabriel Perez-Quiros and Hugo Rodríguez Mendizábal · Gabriel Perez-Quiros and Hugo Rodríguez Mendizábal documentos de trabajo ... Spain. E-mail: hugo.rodriguez@iae.csic. es

The Working Paper Series seeks to disseminate original research in economics and fi nance. All papers have been anonymously refereed. By publishing these papers, the Banco de España aims to contribute to economic analysis and, in particular, to knowledge of the Spanish economy and its international environment.

The opinions and analyses in the Working Paper Series are the responsibility of the authors and, therefore, do not necessarily coincide with those of the Banco de España or the Eurosystem.

The Banco de España disseminates its main reports and most of its publications via the INTERNET at the following website: http://www.bde.es.

Reproduction for educational and non-commercial purposes is permitted provided that the source is acknowledged.

© BANCO DE ESPAÑA, Madrid, 2010

ISSN: 0213-2710 (print)ISSN: 1579-8666 (on line)Depósito legal: M. 11490-2010.Unidad de Publicaciones, Banco de España

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Abstract

This paper analyzes the role of standing facilities in the determination of the demand

for reserves in the overnight money market. In particular, we study how the asymmetric

nature of the deposit and lending facilities could be used as a powerful policy tool for the

simultaneous control of prices and quantities in the market for daily funds.

Keywords: Monetary policy implementation; standing facilities; overnight interest rates; fi ne-

tuning operations.

JEL classifi cation: E52, E58, E43.

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BANCO DE ESPAÑA 9 DOCUMENTO DE TRABAJO N.º 1004

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BANCO DE ESPAÑA 10 DOCUMENTO DE TRABAJO N.º 1004

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BANCO DE ESPAÑA 11 DOCUMENTO DE TRABAJO N.º 1004

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BANCO DE ESPAÑA 12 DOCUMENTO DE TRABAJO N.º 1004

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BANCO DE ESPAÑA 13 DOCUMENTO DE TRABAJO N.º 1004

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BANCO DE ESPAÑA 14 DOCUMENTO DE TRABAJO N.º 1004

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BANCO DE ESPAÑA 15 DOCUMENTO DE TRABAJO N.º 1004

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BANCO DE ESPAÑA 16 DOCUMENTO DE TRABAJO N.º 1004

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BANCO DE ESPAÑA 17 DOCUMENTO DE TRABAJO N.º 1004

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BANCO DE ESPAÑA 18 DOCUMENTO DE TRABAJO N.º 1004

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BANCO DE ESPAÑA 19 DOCUMENTO DE TRABAJO N.º 1004

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BANCO DE ESPAÑA 20 DOCUMENTO DE TRABAJO N.º 1004

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BANCO DE ESPAÑA 21 DOCUMENTO DE TRABAJO N.º 1004

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BANCO DE ESPAÑA 22 DOCUMENTO DE TRABAJO N.º 1004

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BANCO DE ESPAÑA 23 DOCUMENTO DE TRABAJO N.º 1004

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BANCO DE ESPAÑA 24 DOCUMENTO DE TRABAJO N.º 1004

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BANCO DE ESPAÑA 25 DOCUMENTO DE TRABAJO N.º 1004

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BANCO DE ESPAÑA 26 DOCUMENTO DE TRABAJO N.º 1004

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BANCO DE ESPAÑA 27 DOCUMENTO DE TRABAJO N.º 1004

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BANCO DE ESPAÑA 28 DOCUMENTO DE TRABAJO N.º 1004

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BANCO DE ESPAÑA 29 DOCUMENTO DE TRABAJO N.º 1004

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BANCO DE ESPAÑA 30 DOCUMENTO DE TRABAJO N.º 1004

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BANCO DE ESPAÑA 31 DOCUMENTO DE TRABAJO N.º 1004

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BANCO DE ESPAÑA 32 DOCUMENTO DE TRABAJO N.º 1004

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BANCO DE ESPAÑA 33 DOCUMENTO DE TRABAJO N.º 1004

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BANCO DE ESPAÑA 34 DOCUMENTO DE TRABAJO N.º 1004

0

25

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125

15003

/01/

2007

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09

07/0

3/20

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07/0

5/20

09

07/0

7/20

09

06/0

9/20

09

Figure 1. Use of the deposit facility as percentage of required reserves

Note: The figure shows the use of the deposit facility as a percentage of required reserves. The sample period covers from January 3rd, 2007 until September 23rd, 2009. The area with vertical lines marks the period when the spread between the lending and deposit rates was 100 basis points. The area with horizontal lines shows the period when the spread between the lending and deposit rate was 150 basis points.

0

50

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1/20

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07/0

3/20

09

07/0

5/20

09

07/0

7/20

09

06/0

9/20

09

Figure 2. Standing amounts from OMOs and autonomous factors as a percentage of required reserves

Note: The figure shows the standing amount of reserves allotted at the OMOs (solid) and autonomous factors (dotted) as a percentage of required reserves. The sample period covers from January 3rd, 2007 until September 23rd, 2009. The area with vertical lines marks the period when the spread between the lending and deposit rates was 100 basis points. The area with horizontal lines shows the period when the spread between the lending and deposit rate was 150 basis points.

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BANCO DE ESPAÑA 35 DOCUMENTO DE TRABAJO N.º 1004

0

0.5

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7/20

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Figure 3. Spread between Euribor and Eurepo

-1.6

-1.4

-1.2

-1

-0.8

-0.6-0.4

-0.2

0

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11/

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08/

09/0

9

Fine-tuning Deposit fac. Current acc

Figure 4. Fine-tuning allotment and changes in deposit facility and current account

Note: The figure shows the allotment of the fine-tuning operations performed on the last day of the 11 reserve maintenance periods covering the period between November 2008 and September 2009. It also shows the changes in the use of the deposit facility and in the balance of current accounts between the last two days of those reserve maintenance periods. Numbers are as fractions of the use of the deposit facility on the penultimate day of the maintenance periods.

Note: The figure shows the spread between the 12-months Euribor and the 12-months Eurepo. The sample period covers from January 3rd, 2007 until September 23rd, 2009. The area with vertical lines marks the period when the spread between the lending and deposit rates was 100 basis points. The area with horizontal lines shows the period when the spread between the lending and deposit rate was 150 basis points.

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BANCO DE ESPAÑA 36 DOCUMENTO DE TRABAJO N.º 1004

-1-0.8

-0.6-0.4-0.2

0

0.20.40.6

0.81

03/0

1/20

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05/0

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3/20

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15/0

5/20

09

15/0

7/20

09

14/0

9/20

09

Figure 5. Spread between Eonia and main refinancing rate

Figure 6. Use of the marginal lending facility as a percentage of required reserves

Note: The figure shows the use of the marginal lending facility as a percentage of required reserves. The sample period covers from January 17th, 2007 until July 7th, 2009. The yellow area marks the period when the spread between the lending and deposit rates was 100 basis points. The light blue area shows the period when the spread between the lending and deposit rate was 150 basis points.

Note: The figure shows the spread between the Eonia and the rate of the main refinancing operations. The sample period covers from January 3rd, 2007 until September 23rd, 2009. The area with vertical lines marks the period when the spread between the lending and deposit rates was 100 basis points. The area with horizontal lines shows the period when the spread between the lending and deposit rate was 150 basis points.

0

25

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75

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125

150

03/0

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BANCO DE ESPAÑA 37 DOCUMENTO DE TRABAJO N.º 1004

0.0

0.1

0.2

0.3

0.4

0.5

0.6

0.7

0.8

0.9

1.0

0 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9 1

probability of fine-tuning operation

mar

ket a

sym

met

ry in

dex

t = 1 t=2

Figure 8. Overnight rates for symmetric corridor

Note: The lines show the asymmetry index for overnight rates on day 1 (solid) and 2 (dashed) for a symmetric corridor versus the probability of the central bank conducting a fine-tuning operation on the last day of the reserve maintenance period.

-0.8

-0.4

0

0.4

0.8

1.2

1.6

2

2.4

2.8

0 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9 1

OMO asymmetry index

exce

ss re

serv

es

pf = 0.0 pf = 0.5 pf = 1.0

Figure 7. Excess reserves and index of asymmetry

Note: The black solid line shows the use of the excess reserves as a fraction of reserverequirements versus the degree of asymmetry of the interest rate corridor measured as the distance between the OMO rate and the deposit rate over the spread between the lending and deposit rate.

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