This webpage is currently under construction. 

In the meantime, you can find the latest version of my papers: 

With William Arrata, Benoît Nguyen and Imène Rahmouni-Rousseau
Media coverage: www.centralbanking.com

Some Euro-Area money market rates have been standing below the deposit facility rate since 2015, which coincided with the start of the Eurosystem’s public sector purchase program (PSPP). In this paper, we explore empirically the interactions between the PSPP and short term secured money market rates (repo rates). We document different channels through which asset purchases may affect the various segments of the Euro area repo market. Using proprietary data from the PSPP purchases and transactions made on the repo market for specific securities (“special”), our results show that the PSPP has contributed to push down repo rate, in particular prior to January 2017. On average, purchasing 1% of a bond outstanding is associated with a decline in its repo rate of -0.78 bps.

"Monetary policy transmission with interbank market fragmentation" (R&R at JMCB)
Winner of the prize of the Research in International Economics and Finance (RIEF) network

Media coverage: www.centralbanking.com

This paper shows how interbank market fragmentation disrupts the transmission of monetary policy. Fragmentation is the fact that banks, depending on their country of location, have different probabilities of default on their interbank borrowings. Once fragmentation is introduced into standard theoretical models of monetary policy implementation, excess liquidity arises endogenously. This leads short-term interest rates to depart from the central bank policy rates. Using data on cross-border financial flows and monetary policy operations, it is shown that this mechanism has been at work in the Euro-Area since 2008. The model is used to analyze conventional and unconventional monetary policy measures.

Policy publication:

Contact: miklos.vari[at]psemail.eu