Embedded Files
Ivan, M.D., Banti, C. and Kellard, N. (2022). Prime Money Market Funds Regulation, Global Liquidity, and the Crude Oil Market. Journal of International Money and Finance, p.102671. DOI: https://doi.org/10.1016/j.jimonfin.2022.102671
MMF PhD Conference presentation can be accessed at: https://youtu.be/GRgkf5Iz7rc
featured in Commodity Insights Digest · Summer 2023
Baltaru, R.D, Manac, R.D, and Ivan, M.D. (2022). Do rankings affect universities’ financial sustainability? – financial vulnerability to rankings and elite status as a positional good. Studies in Higher Education, pp.1-13. DOI: 10.1080/03075079.2022.2061447
featured in LSE Impact of Social Sciences Blog · Jun 22, 2022
Working Papers
Working Papers
Ivan, M.D., Banti, C. and Kellard, N. (2025). Liquidity, monetary policy and the commodity futures market. Bank of England Staff Working Paper No. 1,114.
Abstract
This paper explores a novel directional liquidity-based transmission channel of monetary policy, which explains the heterogeneity in the response of commodity future prices to monetary policy. Employing an event-study analysis with a high-frequency instrumental variable estimator, we find that the trading volume of our sample of commodity futures declines following FOMC announcements. Further, we find that more traded commodities are also more exposed to monetary policy surprises, suggesting a significant role for trading activity in the transmission of monetary policy shocks to commodity markets. Lastly, we show that the direction of the target rate change matters to this transmission mechanism of monetary policy.
Keywords: Monetary policy, Monetary transmission, Financial liquidity, Commodity futures
Blog Posts
Blog Posts
Funding markets are crucial for healthy and active financial institutions, and consequently for everyone in the economy. The repurchase agreement (repo) market plays a key role in bank and non-bank financial institutions’ (NBFIs’) daily activities by facilitating short-term financing and risk hedging. In this post, we use novel Securities Financing Transaction Regulation (SFTR) data to highlight new, and corroborate previous, stylised repo haircut facts.
This blog post ranked among the top 5 most read articles on Bank Underground in 2024.
The widespread practice of financial institution to re-use securities received as collateral plays a key role in the repurchase agreement (repo) market functioning. By increasing the availability of securities which can be used as collateral, collateral re-use lowers funding costs under normal market conditions, allowing collateral to flow to where it is most needed. But this activity may amplify the risk of delivery failures and increase volatility in repo rates during periods of market stress.
This article explores the level of collateral re-use in the gilt repo market, applying algorithms from academic literature to the Bank’s Sterling Money Market Data, and provides supporting evidence of collateral re-use procyclicality, and its positive relation to repo rates volatility.
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