Unconventional debt markets create monetary policy asymmetries: Banque de France paper

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A Banque de France paper, published on Thursday, looks at the impact of unconventional monetary policy on the market for collateral and the French bond market.

Sanvi Avouyi-Dovi and Julien Idier, the paper's authors, use a time-varying transition probability Markov-switching model to analyse liquidity and volatility premia on the French government debt securities market, which are used as collateral both in the open market operations of the European Central Bank and on the interbank market. The

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