Money market interactions can explain behaviour of interest rate spreads, researchers argue
Paper analyses interplay of unsecured and collateralised money markets
A working paper published by the Banque de France attempts to analyse the interaction between unsecured and collateralised segments of the money markets.
In The information contained in money market interactions: unsecured vs. collateralized lending, Alejandro Bernales and Mario di Filippo present a new model. This attempts to capture the probabilities of migration between the unsecured interbank market for bank reserves and the repo market. Both markets, the authors say, "have been analysed
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