Collateral eligibility of corporate debt in the Eurosystem
- We study the many implications of the Eurosystem collateral framework for corporate bonds. Using data on the evolving collateral eligibility list, we identify the first inclusion dates of bonds and issuers and use these events to find that the increased supply and demand for pledgeable collateral following eligibility (a) increases activity in the corporate securities lending market, (b) lowers eligible bond yields, and (c) affects bond liquidity. Thus, corporate bond lending relaxes the constraint of limited collateral supply and thereby improves market functioning.
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| Author: | Loriana PelizzonORCiDGND, Max RiedelORCiDGND, Zorka SimonORCiD, Marti G. SubrahmanyamORCiDGND |
|---|---|
| URN: | urn:nbn:de:hebis:30:3-828498 |
| DOI: | https://doi.org/10.1016/j.jfineco.2023.103777 |
| ISSN: | 0304-405X |
| Parent Title (English): | Journal of financial economics |
| Publisher: | Elsevier |
| Place of publication: | Amsterdam |
| Document Type: | Article |
| Language: | English |
| Date of Publication (online): | 2024/01/09 |
| Date of first Publication: | 2024/01/09 |
| Publishing Institution: | Universitätsbibliothek Johann Christian Senckenberg |
| Release Date: | 2024/03/01 |
| Tag: | Collateral policy; Corporate bonds; Eligibility premium; European Central Bank (ECB) |
| Volume: | 153 |
| Issue: | 103777 |
| Article Number: | 103777 |
| Page Number: | 18 |
| Institutes: | Wissenschaftliche Zentren und koordinierte Programme / Sustainable Architecture for Finance in Europe (SAFE) |
| Dewey Decimal Classification: | 3 Sozialwissenschaften / 33 Wirtschaft / 330 Wirtschaft |
| Sammlungen: | Universitätspublikationen |
| Licence (English): |  Creative Commons - Namensnennung-Nicht kommerziell 4.0 |
