02048cas a2200277 a 4500 AALejournalIMF018910 230101c9999 xx r poo 0 0eng d 5.00 USD 9781484386910 1018-5941 BD-DhAAL BD-DhAAL Arrata, William. The Scarcity Effect of Quantitative Easing on Repo Rates : Evidence from the Euro Area / William Arrata, Benoit Nguyen, Imene Rahmouni-Rousseau, Miklos Vari. Washington, D.C. : International Monetary Fund, 2018. 1 online resource (45 pages) IMF Working Papers <strong>Off-Campus Access:</strong> No User ID or Password Required <strong>On-Campus Access:</strong> No User ID or Password Required Electronic access restricted to authorized BRAC University faculty, staff and students Most short-term interest rates in the Euro area are below the European Central Bank deposit facility rate, the rate at which the central bank remunerates banks' excess reserves. This unexpected development coincided with the start of the Public Sector Purchase Program (PSPP). In this paper, we explore empirically the interactions between the PSPP and repo rates. We document different channels through which asset purchases may affect them. Using proprietary data from PSPP purchases and repo transactions for specific ('special") securities, we assess the scarcity channel of PSPP and its impact on repo rates. We estimate that purchasing 1 percent of a bond outstanding is associated with a decline of its repo rate of 0.78 bps. Using an instrumental variable, we find that the full effect may be up to six times higher. Mode of access: Internet Nguyen, Benoit. Rahmouni-Rousseau, Imene. Vari, Miklos. IMF Working Papers; Working Paper ; No. 2018/258 Full text available on IMF http://elibrary.imf.org/view/journals/001/2018/258/001.2018.issue-258-en.xml IMF e-Library