J. Bottazzi, Jaime Luque, M. Páscoa, S. Sundaresan
{"title":"美元短缺,中央银行的行动,和交叉货币基础","authors":"J. Bottazzi, Jaime Luque, M. Páscoa, S. Sundaresan","doi":"10.2139/ssrn.2167716","DOIUrl":null,"url":null,"abstract":"In our model, cross-currency basis, which captures the deviations from covered interest rate parity (CIP), reflects the relative value of the scarcer currency (US dollar) as collateral in funding constraints. Our empirical evidence shows that measures of dollar shortage derived from ECB tenders, and actions to move to fixed-rate tenders with full allotment and to expand the eligible collateral by the ECB have significant power in explaining the cross currency basis. We show that the relaxation of Euro funding constraints through 3-year Long Term Re-financing Operations (LTROs) does not contribute to the narrowing of the cross-currency basis, consistent with the theory developed in the paper.","PeriodicalId":287856,"journal":{"name":"Board of Governors: International Finance Discussion Papers (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2012-10-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"32","resultStr":"{\"title\":\"Dollar Shortage, Central Bank Actions, and the Cross Currency Basis\",\"authors\":\"J. Bottazzi, Jaime Luque, M. Páscoa, S. Sundaresan\",\"doi\":\"10.2139/ssrn.2167716\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"In our model, cross-currency basis, which captures the deviations from covered interest rate parity (CIP), reflects the relative value of the scarcer currency (US dollar) as collateral in funding constraints. Our empirical evidence shows that measures of dollar shortage derived from ECB tenders, and actions to move to fixed-rate tenders with full allotment and to expand the eligible collateral by the ECB have significant power in explaining the cross currency basis. We show that the relaxation of Euro funding constraints through 3-year Long Term Re-financing Operations (LTROs) does not contribute to the narrowing of the cross-currency basis, consistent with the theory developed in the paper.\",\"PeriodicalId\":287856,\"journal\":{\"name\":\"Board of Governors: International Finance Discussion Papers (Topic)\",\"volume\":\"1 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2012-10-27\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"32\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Board of Governors: International Finance Discussion Papers (Topic)\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.2139/ssrn.2167716\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Board of Governors: International Finance Discussion Papers (Topic)","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.2167716","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
Dollar Shortage, Central Bank Actions, and the Cross Currency Basis
In our model, cross-currency basis, which captures the deviations from covered interest rate parity (CIP), reflects the relative value of the scarcer currency (US dollar) as collateral in funding constraints. Our empirical evidence shows that measures of dollar shortage derived from ECB tenders, and actions to move to fixed-rate tenders with full allotment and to expand the eligible collateral by the ECB have significant power in explaining the cross currency basis. We show that the relaxation of Euro funding constraints through 3-year Long Term Re-financing Operations (LTROs) does not contribute to the narrowing of the cross-currency basis, consistent with the theory developed in the paper.