Haircuts as non-standard monetary tool. Bond yield reaction analysis to the changes of repo eligibility criteria by the European Central Bank

      Аннотация: This work seeks to describe the reaction in the European bond market to changes in eligibility criteria for the repo operations conducted by the European Central Bank. Results show that bond yields and eligibility criteria for the ECB refinancing operations are correlated, but that bond yields did not increase whenever criteria became more restrictive and vice versa. Possible explanations involve the role of investors expectations, opportunity costs and the shadow cost of capital.

Ключевые слова: central bank, Haircuts, monetary policy