Berentsen, Aleksander
[VerfasserIn]
;
Marchesiani, Alessandro
[Sonstige Person, Familie und Körperschaft];
Waller, Christopher J.
[Sonstige Person, Familie und Körperschaft]
Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments November 1, 2010 erstellt
Beschreibung:
An increasing number of central banks implement monetary policy via two standing facilities: a lending facility and a deposit facility. In this paper we show that it is socially optimal to implement a non-zero interest rate spread. We prove this result in a dynamic general equilibrium model where market participants have heterogeneous liquidity needs and where the central bank requires government bonds as collateral. We also calibrate the model and discuss the behavior of the money market rate and the volumes traded at the ECB's deposit and lending facilities in response to the recent financial crisis