2023-05-24-IMF-欧洲央行欧元流动性额度（英）_58页_1mb

Key Findings and Summary

• ECB Euro Liquidity Lines: Widely used since the global financial crisis as a cross-currency liquidity tool.

  • Announcements reduce the premium paid by foreign agents to borrow euros in FX markets by about 51 basis points.
  • Consistent with a model, bank equity prices increase by around 1.75% in Euro Area countries highly exposed to targeted foreign countries.

• Signal Effect:

  • Announcements decrease funding costs in FX markets, even if not activated, due to increased confidence.
  • Measured using FX covered interest parity (CIP) deviations and a difference-in-differences (DID) approach.

• Spillover Effects:

  • Positive spillovers to source country (Euro Area) via reduced bankruptcy probabilities and improved profitability expectations.
  • Higher exposure to liquidity line recipients amplifies the effects, as seen in equity prices.

• Context:

  • Effective during crises, ECB's network primarily serves as a backup during events like COVID-19 and global downturns.
  • Supports Euro Area financial stability and could enhance euro's international role if arrangements become permanent.

Methodology:

• Empirical strategy uses high-frequency data and DID estimation to test signaling and spillover effects.
• Reinforced by theoretical models and robustness checks.

Policy Implications:

• Central bank liquidity facilities are effective in mitigating liquidity shortages and boosting source currency usage.
• Further research could focus on long-term effects and bank-level heterogeneity.