The Journal of Finance

Central bank asset purchases and auction cycles revisited: new evidence from the euro area

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Working Paper Series

Key Points:

Working Paper Series
Federico Maria Ferrara
Central bank asset purchases
and auction cycles revisited:
new evidence from the euro area

No 2927

Disclaimer: This paper should not be reported as representing the views of the European Central Bank
(ECB).
Abstract
This study provides new evidence on the relationship between unconventional monetary
policy and auction cycles in the euro area.
The findings indicate that Eurosystem?s asset purchase flows mitigate
yield cycles during auction periods and counteract the amplification impact of market volatility.
The dampening effect of central bank asset purchases on auction cycles is more sizeable and
precisely estimated for purchases of securities with medium-term maturities and in jurisdictions
with relatively lower credit ratings.
On the other hand, central banks may influence price dynamics in these markets, most notably
through their asset purchase programmes.
If so, do central bank asset purchases
affect bond yield movements around auction dates?
Auction cycles are present when secondary market yields rise in
anticipation of a debt auction and fall thereafter, generating an inverted V-shaped pattern around auction
dates.
ECB Working Paper Series No 2927
3

1

Introduction

The impact of central bank asset purchases on government bond markets is a focal point of economic and
financial research.
If so,
do central bank asset purchases shape yield sensitivity around auction dates?
The paper provides new evidence on the effects of Eurosystem?s asset purchases on secondary market
yields around public debt auction dates.
The analysis builds on previous research based on aggregate data
on central bank asset purchases and a shorter analysis period (van Spronsen and Beetsma 2022).
Using
granular data on Eurosystem?s asset purchases offers an opportunity to shed light on the mechanisms linking
unconventional monetary policy and auction cycles.
Given this legal constraint, the study
hypothesises that the effect of asset purchases on 10-year auction cycles is mostly indirect, and goes via price
spillovers generated by purchases of securities outside the 10-year maturity space.
Taken together, these results provide new evidence about auction cycles in Europe and contribute to a
larger literature on the flow effects of central bank asset purchases on bond markets.
Section 4 offers descriptive evidence about auction cycles in the euro area.
Auction cycles are defined by the presence of an inverted V-shaped pattern in secondary market yields
around primary auctions.
That is, government bond yields rise in the run-up to the date of the auction and
fall back to their original level after the auction.
Their limited risk-bearing capacities and inventory management operations are
seen as key mechanisms driving auction cycles (Beetsma et al.
ECB Working Paper Series No 2927
7

Second, central bank asset purchases can alleviate the cycle by (partly) absorbing the additional supply
of substitutable instruments in the secondary market (van Spronsen and Beetsma 2022).
This expectation is
supported by several analyses on the price effects of central bank bond purchases (D?Amico and King 2013;
Arrata and Nguyen 2017; De Santis and Holm-Hadulla 2020).
Empirically, previous research has provided evidence of auction cycles taking place across different jurisdictions.
(2016) detect auction cycles for government debt in Italy, but not in Germany, during the European
sovereign debt crisis.
Research on the impact of central bank asset purchases on yield cycles around auctions is still limited.
Their paper provides evidence
that Eurosystem?s asset purchases reduce the presence of auction cycles for euro area government debt.
Nonetheless, several questions remain open about auction cycles and unconventional monetary policy
in the euro area.
Therefore, they
provide only a partial picture of auction cycles and central bank asset purchases in Europe.
The use of granular data on central bank asset purchases is especially important in light of the modalities
of monetary policy implementation of the Eurosystem.
Altogether, these elements motivate further investigation of the relationship between central bank asset
purchases and auction cycles in the euro area.
Taken together, these results confirm that Eurosystem?s asset purchases mitigate yield cycles during auction periods and counteract the amplification impact of market volatility.
The findings confirm that the flow
effects of central bank purchases on yield movements around auction dates are driven by lower-rated countries.
Additional analyses provide evidence for an indirect effect of purchases on auction cycles and highlight
the presence of substantial heterogeneity across jurisdictions and purchase programmes.
Flow Effects of Central Bank Asset Purchases on Sovereign Bond
Prices: Evidence from a Natural Experiment.
Federico Maria Ferrara
European Central Bank, Frankfurt am Main, Germany; email: [email protected]
? European Central Bank, 2024
Postal address 60640 Frankfurt am Main, Germany
Telephone
+49 69 1344 0
Website
www.ecb.europa.eu
All rights reserved.

Monetary asmmetries without (and with) price stickiness

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Key Points:

Is home bias biased? New evidence from the investment fund sector

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Thursday, April 18, 2024

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As interest rates surge: flighty deposits and lending

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Friday, April 5, 2024

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US monetary policy is more powerful in low economic growth regimes

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Tuesday, April 2, 2024

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The impact of regulatory changes on rating behaviour

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Tuesday, April 2, 2024

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Abstract

Key Points:

Abstract
We examine rating behaviour after the introduction of new regulations regarding Credit Rating
Agencies (CRAs) in the European securitisation market.
There is empirical evidence of rating catering in the securitisation market in the pre-GFC period (He et al.,
2012; Efing and Hau, 2015).
Competition among
CRAs could diminish ratings quality (Golan, Parlour, and Rajan, 2011) and promotes rating shopping by
issuers resulting in rating inflation (Bolton et al., 2012).
This paper investigates the impact of the post-GFC regulatory changes in the European
securitisation market.
In 2011, in addition to the creation of
European Securities and Markets Authority (ESMA), a regulatory and supervisory body for CRAs was
introduced.
We examine how rating behaviours have changed in the European securitisation market after the
introduction of these new regulations.
We utilise the existence of multiple ratings and rating agreements between
CRAs to identify the existence of rating shopping and rating catering, respectively (Griffin et al., 2013; He
et al., 2012; 2016).
We find that the regulatory changes have been effective in tackling conflicts of interest between issuers
and CRAs in the structured finance market.
Rating catering, which is a direct consequence of issuer and
CRA collusion, seems to have disappeared after the introduction of these regulations.
There is empirical evidence of rating catering in the securitisation market in
the pre-GFC period (He et al., 2012; Efing and Hau, 2015).
Competition among CRAs could diminish ratings quality (Golan, Parlour,
and Rajan, 2011) and promotes rating shopping by issuers resulting in rating inflation (Bolton et
al., 2012).
This paper investigates the impact of the post-GFC regulatory changes in the European
securitisation market.
In 2011, in addition
to the creation of European Securities and Markets Authority (ESMA), a regulatory and
supervisory body for CRAs was introduced.
We find that the regulatory changes have been effective in tackling conflicts of interest
between issuers and CRAs in the structured finance market.
Rating catering, which is a direct
consequence of issuer and CRA collusion, seems to have disappeared after the introduction of
these regulations.
Investors who previously demanded higher spreads for rating agreements for a
multiple rated tranche, did not consider the effect of rating harmony as a risk in the post-GFC
period.
Regarding rating shopping, we find that the effectiveness of the changes has been limited,
potentially for two reasons.
Additionally, we also find that rating over-reliance might still be an issue, especially
Rating catering is a broad term and it can involve rating shopping.
They re-examine the rating shopping and rating
catering phenomena in the US market by looking at the post-crisis period between 2009 and 2013.
Using 622 CDO tranches, they also observe the existence of rating shopping and the diminishing
of the rating catering.
Firstly, our main focus is the EU?s CRA Regulation and its effectiveness in reducing
rating inflation and rating over-reliance.
To the best of our knowledge, this paper is the first to
examine the effectiveness of the EU?s CRA regulatory changes on the investors? perception of
rating inflation in the European ABS market.
Hence, the coverage and quality of our dataset constitutes significant addition
to the literature and allows us to test the rating shopping and rating catering more authoritatively.
The following section reviews the literature
on securitisation concerning CRAs and conflicts of interest, and outlines the regulatory changes
introduced in the post-GFC period.
Firstly, ratings became ever more important as the Securities and
Exchange Commission (SEC) 5 began heavily relying on CRA assessments for regulatory purposes
(i.e.
the investment mandates that highlight rating agencies as the main benchmark for investment
eligibility) (SEC, 2008; Kisgen and Strahan, 2010; Bolton et al., 2012).
issuers) as one of the main explanations for the rating inflation (He et al., 2011; 2012; Bolton
et al., 2012; Efing and Hau, 2015).
Bolton et al., (2012) demonstrate that competition
promotes rating shopping by issuers, leading to rating inflation.
The last phase, CRA III, was implemented in mid-2013 and involves an additional
set of measures on reducing transparency and rating over-reliance.
As mentioned above, rating inflation can be caused by rating shopping
In order to be eligible to use the STS classification, main parties (i.e.
The higher the difference in the number of ratings for a
given ABS tranche, the greater the risk of rating shopping.
Alternatively, the impact of the new
regulations could be limited when it comes to reducing rating shopping.
This is because, firstly,
the conflict of interest between securitisation parties is not necessarily the sole cause for the
occurrence of rating shopping.
L is a set of variables (Multiple ratings, CRA reported, Rating agreement) that
we utilise interchangeably to capture the rating shopping and rating catering behaviour.
Hence, issuers are incentivised to report the highest possible rating and
ensure each additional rating matches the desired level.
All in all, our results suggest that
the new stricter regulatory measures have been effective in tackling conflicts of interest and
reducing rating inflation caused by rating catering.
Self-selection might be a concern in analysing the impact of the
new measures and investors? response with regard to the rating inflation.
This
result is in line with the earlier findings suggesting that regulatory changes have reduced investors?
suspicion of rating inflation and increased trust of CRAs.
Conclusion
Several regulatory changes were introduced in Europe following the GFC aimed at tackling
conflicts of interest between issuers and CRAs in the ABS market.
Utilising a sample of 12,469
ABS issued between 1998 and 2018 in the European market, this paper examined whether these
changes have had any impact on rating inflations caused by rating shopping and rating catering
phenomena.
We find that the
effectiveness of the changes has been more limited on rating shopping potentially for two reasons.
Tranche Credit Rating is the rating reported for a tranche at launch.

Consumer participation in the credit market during the COVID-19 pandemic and beyond

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We find that credit demand is highest when

Key Points:

We find that credit demand is highest when
the first lockdown ends and it drops when supportive monetary compensation schemes are implemented.
Credit is more likely to be
accepted under favourable borrowing conditions and after the approval of national recovery plans.
We also find
that demographic, economic factors, perceptions and expectations are associated with the demand for credit and
the credit grant.
First, it adds to a rapidly growing literature on household
borrowing behaviour during the COVID-19 pandemic; see, for example, Ho et al.
We provide evidence that credit applications and credit acceptances display a different pattern over
time.
Credit is more likely to be accepted under favourable borrowing conditions and after the
approval of national recovery plans.
In almost all countries
households are significantly less likely to apply and to get their credit approved than in Germany.
In line with literature, we show that
demographic and economic factors affect the probability for credit applications and credit approval.
In addition,
the paper shows that consumer perceptions and expectations matter when they decide to apply for credit.
Introduction
The participation of households in the credit market receives wide attention in the consumer finance literature
because consumer credit enters the monetary policy transmission mechanism through the so-called ?credit
channel?: changes in credit demand and supply have an effect on consumers' spending and investment, which in
turn affect economic growth.
We use microdata from the ECB?s Consumer Expectations Survey (hereinafter CES), a survey that
measures consumer expectations and behaviour in the euro area.
Its panel dimension allows for an assessment of
how consumer behaviour changes over time and how consumers respond to critical economic shocks.
This way we can gauge how credit applications and credit acceptances change under different, almost
opposite, borrowing conditions.
We also distinguish between the demand for long-term secured loans (mortgages) and for short-term
uncollateralized loans (consumer loans).
ECB Working Paper Series No 2922
3

We use probit models to estimate the probability of the consumer to apply for credit and the credit being granted.
The rate peaks in 2020Q3 which reflects the rebound in the demand for loans when the first lockdown ended.
In almost all countries households are significantly less likely
to apply and to get their credit approved than in Germany.
However,
when it comes to credit acceptance, we observe that the two groups of households are more similar.
Finally, we find some heterogeneity with respect to the type of credit, particularly between secured and unsecured
debt.
The demand for
consumer credit is insignificant for liquid households and decreases significantly for constrained households in
the last two quarters of our timespan.
The first consists of a recently growing literature which
explores consumer behaviour in the credit market during the COVID-19 pandemic, mostly in the United States.
Sandler and Ricks (2020) show that consumers did not use credit card debt for financial liquidity in the early stage
of the COVID-19 pandemic.
(2020) report that credit card applications and new mortgage loans
declined during the first months of the pandemic in regions with more unemployment insurance claims.
Lu and
Van der Klaauw (2021) show that there was a sharp drop in consumer credit demand, especially for credit cards.
(2022) document that there was a substantial decrease in the usage of credit cards and home equity lines
of credit by Canadian consumers.
Our paper is also consonant with studies on the association between financial and demographic factors and
consumers? participation in the credit market as well as on the demand for specific types of credit.
January 2020 ? October 2020 - The two main events are the outbreak of the COVID-19 pandemic and the
consequential lockdowns in the euro area.
4 If the
respondent has applied for more than one type of credit, she is asked to refer to the most recent credit application.
Between 2021Q3 and 2022Q3 the acceptance
rate stays above the average values, mirroring the easing of credit standards for consumer credit and other lending
to households during this period.
Second, we can investigate the presence of nonlinearities in how liquidity and the credit type interact in explaining credit applications.
(2023) ? who show that in the United States the local pandemic severity had a strong
negative effect on credit card spending early in the pandemic, which diminished over time.
First, we select mortgages and consumer credit as the two mostly reported categories for secured and
13

The full estimation results are reported in Table 3.
The right-hand side panel of Figure 6 shows that the demand for consumer credit is insignificant for both liquid
and illiquid households.
It also shows that
subjective perceptions of credit access, financial concerns and expectations on interest rates matter for the demand
for credit.
In Bertola, G., Disney
R., and Grant, C. (eds) The Economics of Consumer Credit, Cambridge MA, MIT Press.
Horvath, A., Kay, B. and Wix, C. (2023) The COVID-19 shock and consumer credit: Evidence from credit card
data.
Magri, S. (2007) Italian households? debt: The participation to the debt market and the size of the loan.

Measuring market-based core inflation expectations

Retrieved on:

Thursday, February 15, 2024

Abstract

Key Points:

Abstract
We build a novel term structure model for pricing synthetic euro area core inflation-linked
swaps, a hypothetical swap contract indexed to core inflation.
The model provides estimates of market-based expectations for core inflation, as
well as core inflation risk premia, at daily frequency, whereas core inflation expectations from
surveys or macroeconomic projections are typically only available monthly or quarterly.
We
find that core inflation-linked swap rates are generally less volatile than headline inflationlinked swap rates and that market participants expected core inflation to be substantially
more persistent than headline inflation following the 2022 energy price spike.
In this paper, we aim to infer market-based core inflation expectations, which are otherwise
not directly observable because no financial asset directly tied to core inflation exists.
We deem this second assumption reasonable because HICP inflation itself is a linear combination
of core as well as energy and food inflation.
The level of 2 percent and relatively low volatility of
long-term inflation expectations suggests that inflation expectations are firmly anchored at the
ECB?s 2 percent inflation target.
This assumption appears reasonably uncontroversial,
as core inflation is a sub-component of headline inflation, which the observable headline ILS
rates are tied to.
Our estimates of core ILS rates reflect both market participants? genuine core
inflation expectations and a core inflation risk premium, but our model explicitly allows for
this decomposition.
The model-implied estimates of core ILS rates appear reasonable along several dimensions:
(i) like realized core inflation is less volatile than headline inflation, the core ILS rates are less
volatile than headline ILS rates, (ii) core ILS rates comove less with oil prices than headline
ILS rates, (iii) the core inflation expectations, as reflected in core ILS rates, typically evolve
similarly as the core inflation projections by Eurosystem staff, and (iv) consistent with market
commentary at the time, core ILS rates suggest that market participants expected core inflation
to be substantially more persistent than headline inflation following the 2022 energy price spike.
To the best of our knowledge, we are the first to price core ILS rates and decompose them into
market-based expectations for and risks around the core inflation outlook.
Our approach to inferring core ILS
rates from headline ILS rates, realized headline and core inflation as well as survey expectations
for headline and core inflation is also related to Ang et al.
Relative
to their study, we separately measure core inflation expectations and risk premia, we provide
core inflation expectations at a higher-frequency, and we provide evidence on the causal effects
ECB Working Paper Series No 2908

6

of monetary policy shocks on core inflation expectations and risk premia.
Specifically, we decompose the synthetic core ILS rates
into average expected core inflation over the lifetime of the swap contract and a core inflation
risk premium that compensates investors for core inflation risk.
In
our model below, this term is constant over time and relatively small, so we will simply refer
to the core inflation risk premium as the difference between the core ILS rate and the average
expected core inflation over the lifetime of the swap contract.
3.2
Core ILS rates

To have a joint model for headline and core ILS rates, we need one further assumption on the
dynamics of realized core inflation.
The assumption that core inflation is driven by the same set of factors as headline inflation
should be relatively uncontroversial: since headline inflation is a weighted average of core and
food and energy inflation, it should reflect any factors driving core inflation.
If there are factors
driving food and energy inflation, which do not show up in core inflation, then those factors
should still show up in headline inflation.
In step two, to be able to infer the factor
loadings of core inflation, we would regress realized core inflation onto the estimated latent
factors to identify the additional parameters in equation (12).
Before the fourth
quarter of 2016, the SPF did not ask respondents for their core inflation expectations, so we
are not able to use survey-based information about core inflation before then.
Before
2016, the fitted core inflation series is somewhat above the realized one, potentially reflecting
that the model has limited information about core inflation over this early period due to the
lack of information about core inflation from surveys.
This could have been the
case if one of the factors moved core inflation and energy and food inflation in exactly offsetting
direction, so the overall impact on headline inflation was exactly zero.
During 2021, for example, there were
ECB Working Paper Series No 2908

25

Figure 7: Decomposition of synthetic core ILS rates
2y core ILS

5y core ILS

5
4

5
ILS

premia

exp

4

ILS

premia

exp

3

3

2

2

1

1

0

0

-1

-1

-2
2017 2018 2019 2020 2021 2022 2023

-2
2017 2018 2019 2020 2021 2022 2023

10y core ILS

5y5y core ILS

5
4

5
ILS

premia

exp

4

ILS

premia

exp

3

3

2

2

1

1

0

0

-1

-1

-2
2017 2018 2019 2020 2021 2022 2023

-2
2017 2018 2019 2020 2021 2022 2023

Note: Synthetic core ILS rates decomposed into genuine core inflation expectations and core inflation risk
premia.
ECB Working Paper Series No 2908
26

Figure 8: Decomposition of ILS rates
2y ILS

5y ILS

5
4

5
ILS

premia

exp

4

3

3

2

2

1

1

0

0

-1

-1

-2
2006

2010

2014

2018

2022

-2
2006

ILS

2010

10y ILS

2018

2022

5
ILS

premia

exp

4

3

3

2

2

1

1

0

0

-1

-1

-2
2006

2014

exp

5y5y ILS

5
4

premia

2010

2014

2018

2022

-2
2006

ILS

2010

premia

2014

2018

exp

2022

Note: ILS rates decomposed into genuine core inflation expectations and core inflation risk premia.
We find that the headline inflation risk premium
indeed does responds more strongly than the core inflation risk premium.
The key
assumption underlying our approach is that traded headline ILS rates span core inflation, which
ECB Working Paper Series No 2908

35

should be reasonably uncontroversial as core inflation is a sub-component of headline inflation.
We fit the model to euro area headline ILS rates, realized headline and core inflation, and
both headline and core inflation expectations reported in the SPF.
Decomposing our core ILS rates into genuine core inflation expectations and core
inflation risk premia shows that shorter maturities mainly reflect core inflation expectations,
while the core inflation risk premium matters relatively more for longer maturities.
Our results suggest that a monetary policy tightening surprise significantly lowers
near-term core inflation expectations, although less so than it lowers headline inflation expectations.

Deposit market concentration and monetary transmission: evidence from the euro area

Retrieved on:

Sunday, February 4, 2024

Neumark, American Economic Journal, Paper, A18, A21, Money, A4, Financial crisis, International, A5, A1, Exercise, Timothy, A14, Monetary policy, IRF, Interest rate, Economy, Quarterly Journal of Economics, NII, A8, Policy, HICP, MMF, Control, Statistics, Series, ECB, DNB, Index (economics), Finance, Section 3, GDP, History, American Economic Review, De Nederlandsche Bank, Rigidity, XB, Habit, Website, Federal funds, Social science, A11, 95.1 FM, IMF, MPS, A9, Credit, University of Amsterdam, Wang, A26, HHI, European Economic Review, Reproduction, Shock, University, Journal of Political Economy, Central bank, A30, Journal of Monetary Economics, Interval (mathematics), A25, G21, Politics, Auerbach, Silvana Tenreyro, XT, Research Papers in Economics, Causality, Deposit, Yb, A27, Time series, Dynamics, Literature, Hey, SSI, Interpolation, O'Driscoll (surname), BSI, A23, United, Domestic, European Central Bank, VAR, A28, Rigid transformation, A6, OIS, Role, PDF, Research, Feedback, The Journal of Finance, A15, A17, NFC, A22, E43, DSGE, Quarterly Journal, E52, MIR, Appendix, A10, Information, Surface finishing

Abstract

Key Points:

Abstract
I study the transmission of monetary policy to deposit rates in the euro area with a
focus on asymmetries and the role of banking sector concentration.
Moreover, the
gap between deposit rates across euro area member states - despite being exposed to the same
key ECB interest rates - has widened.
This begs the question whether deposit rates are more
sluggish in response to both policy rate increases and cuts, and what factors might influence the
transmission of monetary policy to deposit rates.
Whether banks are indeed able to adjust deposit rates asymmetrically to positive and
negative changes in policy rates could thus well depend on how much market power they hold
in the deposit market.
Arguing that market power increases in the degree of market concentration,
I further consider whether more concentrated banking sectors set rates (more) asymmetrically.
The response of deposit rates in banking sectors with an average degree of concentration does
not appear asymmetric.
The degree of market concentration is often pointed at, but recent evidence
for the euro area is scarce.
In this paper, I provide empirical evidence on the asymmetric response of deposit rates to
monetary policy, and relate this to the degree of concentration within a country?s banking sector.
Both papers
provide empirical evidence based on US deposit markets showing that deposit rates respond
more rigidly to upward changes in market rates than downward changes, especially so in more
concentrated markets.
Recent research on euro area deposit markets,
instead, has focused more on the transmission of negative policy rates (see e.g.
Whether banks are able to set deposit rates that materially differ from policy rates is affected
ECB Working Paper Series No 2896

4

by market concentration: market power is assumed to increase in the degree of concentration in
the banking sector.
Concentration thus appears to matter for how quickly ECB monetary policy has
been transmitted to deposit rates across the euro area.
Banks thus have a motive to be
rigid in adjusting deposit rates to a ?positive? monetary policy shock.
While customers are generally (and potentially rationally) inattentive, swift and substantial
nominal deposit rate declines may trigger deposit outflows.
relative deposit rate = deposit rate - short term rate
The inverse of the wedge, the relative deposit rate will allow us to see more clearly how
the deposit rate evolves in comparison to the short-term rate.
This then translates to (more
pronounced) effects on the transmission of policy to the deposit wedge, reinforcing the asymmetry discussed before.
More concentration would mean more rigid deposit rates (and thus an
increase in the deposit wedge) in case of positive surprises, and more flexible deposit rates (and
thus a decrease in the deposit wedge) in case of negative surprises (see also e.g.
I add an identical
altered-linex adjustment cost for deposit rates, to capture the upward rigidity and downward
flexibility of deposit rates as well.
As discussed
previously, the deposit rate is particularly rigid in case of a positive shock, illustrating the dividend smoothing motive and bank market power.
Without the asymmetric adjustment cost,
the response of the deposit rates to positive and negative changes in policy would have been
symmetric.
This appears a reasonable assumption
in general, as market concentration or market shares are slow-moving concepts.
3
Methods and data

I study the dynamic response to an unexpected change in monetary policy on deposit rates
in different countries in the euro area.
deposit rate - short-term rate), which for the sake of
brevity I will refer to as the ?relative deposit rate?.
Positive IRFs for the relative deposit rate imply that
the deposit rate has increased by more than the short-term rate, narrowing the wedge between
the short-term rate and the deposit rate.
0
?2
?2
?4
?6

?4
4

8

12

4

Months

8

12

Months

Figure 9: NFC rate response - linear combination of ?0 and ?1

Relative deposit rate at 1 month

Relative deposit rate at 4 months

0.0

0
?1

p.p.
0
0
?2
?1
?4
4

8

12

4

8

Months

12

Months

Figure 12: NFC rate response - linear combination of ?0 and ?1

Relative deposit rate at 1 month

Relative deposit rate at 4 months
2.0

1.5

p.p.
And, (2) how quickly
households and NFCs learn about changes in monetary policy, via the deposit rate, may vary
across the monetary union.
?0 , ?1 )
Figure A16: NFC overnight deposits, small member states
Relative deposit rate (average)

Relative deposit rate (interaction)

2

10
5

p.p.
?0 , ?1 )
Figure A19: NFC overnight deposits, four lags
Relative deposit rate (average)

Relative deposit rate (interaction)
5

0

p.p.
?0 , ?1 )
Figure A28: NFC overnight deposits, small member states
Relative deposit rate (average)

Relative deposit rate (interaction)

3

5.0

2

2.5

p.p.
?0 , ?1 )
Figure A31: NFC overnight deposits, four lags
Relative deposit rate (average)

Relative deposit rate (interaction)

3
2

p.p.

Why has housing lost its lure? Evidence from the ECB’s Consumer Expectations Survey

Retrieved on:

Wednesday, August 9, 2023

Key Points: