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Displaying results 1 to 15 of 15.

  1. Liquidity stress tests for banks - range of practices and possible developments
    Author: Baudino, Patrizia; Carvalho, Pablo de; Svoronos, Jean-Philippe
    Published: October 2024
    Publisher:  Bank for International Settlements, Financial Stability Institute, [Basel]

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Source: Union catalogues
    Language: English
    Media type: Ebook
    Format: Online
    ISBN: 9789292597917
    Series: FSI insights on policy implementation ; no 59
    Subjects: bank run; contagion; haircuts; NBFIs; outflow rates; scenario analysis
    Scope: 1 Online-Ressource (circa 31 Seiten), Illustrationen
  2. Persistent unemployment, sovereign debt crises, and the impact of haircuts
    Author: Prein, Timm M.
    Published: June 2023
    Publisher:  Helsinki Graduate School of Economics, Helsinki

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    Source: Union catalogues
    Language: English
    Media type: Ebook
    Format: Online
    ISBN: 9789527543115
    Series: Helsinki GSE discussion papers ; 12 (2023)
    Subjects: sovereign debt; debt renegotiations; haircuts; unemployment; austerity
    Scope: 1 Online-Ressource (circa 51 Seiten), Illustrationen
  3. Persistent unemployment, sovereign debt crises, and the impact of haircuts
    Author: Prein, Timm M.
    Published: November 3, 2019
    Publisher:  Verein für Socialpolitik, [Leipzig]

    After 2008, the Southern European economies suffered a strong and persistent increase in unemployment. Rising government bond spreads necessitated the implementation of austerity policies. Austerity however, may increase unemployment. If workers lose... more

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    After 2008, the Southern European economies suffered a strong and persistent increase in unemployment. Rising government bond spreads necessitated the implementation of austerity policies. Austerity however, may increase unemployment. If workers lose human capital during unemployment spells, the economy's future production potential and thus the fiscal capacities to serve public debt will decline, aggravating a sovereign debt crisis. Debt renegotiations can help to avoid the costs of austerity. I develop a dynamic stochastic model of sovereign debt with long-term debt, endogenous haircuts and skill loss during unemployment to study optimal fiscal policy in sovereign debt crises. In a quantitative exercise, I find that with higher intensity of the skill loss, ex ante, the government issues less debt and the pro-cyclicality of fiscal policy declines. For Portugal, the model predicts debt renegotiations as optimal fiscal response in 2011 with a medium-run unemployment reduction of up to 3.63 percentage points.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/207622
    Series: Array ; Array
    Subjects: sovereign debt; debt renegotiations; haircuts; unemployment; austerity
    Scope: 1 Online-Ressource (circa 44 Seiten), Illustrationen
  4. The price of money
    now collateral policy affects the yield curve
    Author: Nyborg, Kjell G.; Woschitz, Jiri
    Published: 2021
    Publisher:  Swiss Finance Institute, Geneva

    Central-bank collateral policy governs the convertibility of assets into central-bank money provided directly by the central bank. Focusing on government bonds, we develop clean identification of variation in such convertibility by exploiting... more

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    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
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    Central-bank collateral policy governs the convertibility of assets into central-bank money provided directly by the central bank. Focusing on government bonds, we develop clean identification of variation in such convertibility by exploiting differential treatment of same-country government bonds in the euro area. Combining difference-in-differences analysis with yield-curve modeling on four separate events, we show that reduced convertibility lifts yields, but with the effect tapering off at longer maturities. Our findings imply that central-bank money is priced in the market and that a central bank can move and shape the yield curve through collateral policy

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
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    Series: Research paper series / Swiss Finance Institute ; no 21, 74
    Subjects: Yield curve; central bank; collateral policy; monetary policy; haircuts; repo; asset prices; liquidity; central-bank money; government bonds
    Scope: 1 Online-Ressource (circa 69 Seiten), Illustrationen
  5. Stability-equivalence of bailouts and bailins with welfare consequences
    Author: Schilling, Linda
    Published: 13 February 2024
    Publisher:  Centre for Economic Policy Research, London

    In a global game, I show that creditor bailins, when well-designed, can attain the exact same level of bank stability as costly creditor bailouts. This result holds for both risk-averse and risk-neutral creditors. Because bailouts are costly but do... more

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    Staatsbibliothek zu Berlin - Preußischer Kulturbesitz, Haus Potsdamer Straße
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    Staats- und Universitätsbibliothek Bremen
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    Universitätsbibliothek Freiburg
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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    LZ 161
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    Universitätsbibliothek Mannheim
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    Bibliotheks-und Informationssystem der Carl von Ossietzky Universität Oldenburg (BIS)
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    In a global game, I show that creditor bailins, when well-designed, can attain the exact same level of bank stability as costly creditor bailouts. This result holds for both risk-averse and risk-neutral creditors. Because bailouts are costly but do not necessarily provide a stability advantage, a ``stability-equivalent'' bailin can yield higher welfare than a bailout either if the bank is small in the economy or if the bank is large and the ex ante stability level of the bank is high. This holds even though impatient creditor types exist that have to consume early and suffer from a bailin.

     
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    Source: Staatsbibliothek zu Berlin
    Language: English
    Media type: Book
    Format: Online
    Series: Array ; DP18832
    Subjects: financial regulation; bank runs; global games; stability-equivalence; pol-icy effectiveness; bank resolution; haircuts; bailout; withdrawal fees; money marketmutual fund gates; suspension of convertibility
    Scope: 1 Online-Ressource (circa 59 Seiten)
  6. The price of money
    the reserves convertibility premium over the term structure
    Author: Nyborg, Kjell; Woschitz, Jiri
    Published: 16 August 2023
    Publisher:  Centre for Economic Policy Research, London

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Universitätsbibliothek Mannheim
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Array ; DP18371
    Subjects: Central-bank money; reserves; collateral; haircuts; convertibility premium; liquiditypremium; term structure; yield curve; collateral policy
    Scope: 1 Online-Ressource (circa 67 Seiten), Illustrationen
  7. The monetary policy haircut rule
    Author: Althanns, Markus; Gersbach, Hans
    Published: 18 June 2023
    Publisher:  Centre for Economic Policy Research, London

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Array ; DP18228
    Subjects: Central bank; haircuts; monetary policy; money creation; monetarysystem
    Scope: 1 Online-Ressource (circa 84 Seiten), Illustrationen
  8. Convenient but risky government bonds
    Author: Kaldorf, Matthias; Röttger, Joost
    Published: [2023]
    Publisher:  Deutsche Bundesbank, Frankfurt am Main

    How does convenience yield interact with sovereign risk and the supply of government bonds? We propose a model of sovereign debt and default in which convenience yield arises because investors are able to pledge government bonds as collateral on... more

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    How does convenience yield interact with sovereign risk and the supply of government bonds? We propose a model of sovereign debt and default in which convenience yield arises because investors are able to pledge government bonds as collateral on financial markets. Convenience yield is dependent on the valuation of collateral, which is negatively dependent on the supply of government bonds, and haircuts that increase with sovereign risk. Calibrated to Italian data, convenience yield contributes substantially to the public debt-to-GDP ratio and can rationalise prolonged periods of negative bond spreads, even in the presence of default risk. We show that the debt elasticity of convenience yield is the most important driver of our results. Decomposing it into the debt elasticity of a collateral valuation and a haircut component, we find that, under empirically relevant conditions, a higher debt elasticity of haircuts can reduce fiscal discipline.

     
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    Source: Union catalogues
    Language: English
    Media type: Ebook
    Format: Online
    ISBN: 9783957299468
    Other identifier:
    hdl: 10419/273727
    Series: Discussion paper / Deutsche Bundesbank ; no 2023, 15
    Subjects: Sovereign risk; convenience yield; haircuts; debt management
    Scope: 1 Online-Ressource (circa 48 Seiten), Illustrationen
  9. Monetary Policy at Work
    Security and Credit Application Registers Evidence
    Author: Peydró, José-Luis; Polo, Andrea; Sette, Enrico
    Published: 2020
    Publisher:  ZBW – Leibniz Information Centre for Economics, Kiel

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  10. Stability-equivalence of bailouts and bailins with welfare consequences
    Author: Schilling, Linda
    Published: 13 February 2024
    Publisher:  Centre for Economic Policy Research, London

    In a global game, I show that creditor bailins, when well-designed, can attain the exact same level of bank stability as costly creditor bailouts. This result holds for both risk-averse and risk-neutral creditors. Because bailouts are costly but do... more

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    Verlag (Deutschlandweit zugänglich)
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    Staatsbibliothek zu Berlin - Preußischer Kulturbesitz, Haus Unter den Linden
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    Universität Potsdam, Universitätsbibliothek
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    In a global game, I show that creditor bailins, when well-designed, can attain the exact same level of bank stability as costly creditor bailouts. This result holds for both risk-averse and risk-neutral creditors. Because bailouts are costly but do not necessarily provide a stability advantage, a ``stability-equivalent'' bailin can yield higher welfare than a bailout either if the bank is small in the economy or if the bank is large and the ex ante stability level of the bank is high. This holds even though impatient creditor types exist that have to consume early and suffer from a bailin.

     
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    Source: Staatsbibliothek zu Berlin
    Language: English
    Media type: Book
    Format: Online
    Series: Array ; DP18832
    Subjects: financial regulation; bank runs; global games; stability-equivalence; pol-icy effectiveness; bank resolution; haircuts; bailout; withdrawal fees; money marketmutual fund gates; suspension of convertibility
    Scope: 1 Online-Ressource (circa 59 Seiten)
  11. Money markets, collateral and monetary policy
    Author: Uhlig, Harald; De Fiore, Fiorella; Hoerova, Marie
    Published: 21 November 2018
    Publisher:  Centre for Economic Policy Research, London

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    W 32 (13335)
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Print
    Series: Discussion paper series / Centre for Economic Policy Research ; DP13335
    Subjects: Interbankenmarkt; Geldmarkt; Liquiditätsbeschränkung; Kreditderivat; Geldpolitik; Theorie; money markets; unsecured interbank market; haircuts; Eurozone
    Scope: 65 Seiten, Illustrationen
    Notes:

    Erscheint auch als Online-Ausgabe
  12. Insecure debt
    Author: Perotti, Enrico; Matta, Rafael
    Published: 2015
    Publisher:  Tinbergen Inst., Rotterdam [u.a.]

    Does demand for safety create instability ? Secured (repo) funding can be made so safe that it never runs, but shifts risk to unsecured creditors. We show that this triggers more frequent runs by unsecured creditors, even in the absence of... more

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    Does demand for safety create instability ? Secured (repo) funding can be made so safe that it never runs, but shifts risk to unsecured creditors. We show that this triggers more frequent runs by unsecured creditors, even in the absence of fundamental risk. This effect is separate from the liquidation externality caused by fire sales of seized collateral upon default. As more secured debt causes larger fire sales, it leads to higher haircuts which further increase the frequency of runs. While secured funding combined with high yield unsecured debt may reduce instability, the private choice of repo funding always increases it. Regulators need to contain its reinforcing effect on liquidity risk, trading off its role in expanding funding by creating a safe asset.

     
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    Content information
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/111717
    Edition: This Draft: March 16, 2015
    Series: Array ; 2015-035
    Subjects: secured credit; repo; bank runs; haircuts
    Scope: Online-Ressource (35 S.), graph. Darst.
  13. How much fiscal backing must the ECB have?
    the euro area is not the Philippines
    Author: Belke, Ansgar
    Published: 2010
    Publisher:  ROME, Düsseldorf

    The ECB has accepted increasing amounts of rubbish collateral since the crisis started leading to exposure to serious private sector credit risk (i.e. default risk) on its collateralised lending and reverse operations ("repo"). This has led some... more

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    The ECB has accepted increasing amounts of rubbish collateral since the crisis started leading to exposure to serious private sector credit risk (i.e. default risk) on its collateralised lending and reverse operations ("repo"). This has led some commentators to argue that the ECB needs "fiscal back-up" to cover any potential losses to be able to continue pursuing price stability. This Brief argues that fiscal backing is not necessary for the ECB for three reasons. Firstly, the ECB balance sheet risk is small compared to the FED and BoE as it neither increased its quasi-fiscal operations as much as the Fed or the BoE nor did it engage to a very large extent in outright bond purchases during the financial crisis. Secondly, the ECB's specific accounting principles of repo operations provide for more clarity and earlier recognition of losses. Thirdly, the ECB can draw on substantial reserves of the euro area national banks.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/88237
    Series: ROME discussion paper series ; 10-07
    Subjects: Central bank independence; central bank capital; counterparty risk; repurchase agreements; collateral; fiscal backing; liquidity; haircuts
    Scope: Online-Ressource (16 S.)
  14. Leverage and beliefs
    personal experience and risk taking in margin lending
    Author: Koudijs, Peter; Voth, Hans-Joachim
    Published: 2014
    Publisher:  Univ., Dep. of Economics, Zurich

    What determines risk-bearing capacity and the amount of leverage in financial markets? Using unique archival data on collateralized lending, we show that personal experience can affect individual risk-taking and aggregate leverage. When an investor... more

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    DS 191 (148)
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    What determines risk-bearing capacity and the amount of leverage in financial markets? Using unique archival data on collateralized lending, we show that personal experience can affect individual risk-taking and aggregate leverage. When an investor syndicate speculating in Amsterdam in 1772 went bankrupt, many lenders were exposed. In the end, none of them actually lost money. Nonetheless, only those at risk of losing money changed their behavior markedly – they lent with much higher haircuts. The rest continued as before. The differential change is remarkable since the distress was public knowledge. Overall leverage in the Amsterdam stock market declined as a result.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/111203
    Series: Working paper series / University of Zurich, Department of Economics ; 148
    Subjects: Kreditgeschäft; Anlageverhalten; Kapitalstruktur; Aktienmarkt; Notleidender Kredit; Bankrisiko; Risikopräferenz; Geschichte; Amsterdam; Leverage; collateralized lending; haircuts; personal experience
    Scope: Online-Ressource (67 S.), graph. Darst.
  15. Sovereign default risk and banks in a monetary union
    Author: Uhlig, Harald
    Published: 2013
    Publisher:  CESifo, München

    This paper seeks to understand the interplay between banks, bank regulation, sovereign default risk and central bank guarantees in a monetary union. I assume that banks can use sovereign bonds for repurchase agreements with a common central bank, and... more

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    Staats- und Universitätsbibliothek Bremen
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    Niedersächsische Staats- und Universitätsbibliothek Göttingen
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    Bundesverfassungsgericht, Bibliothek
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    Online-Ressource
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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    DS 63 (4368)
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    This paper seeks to understand the interplay between banks, bank regulation, sovereign default risk and central bank guarantees in a monetary union. I assume that banks can use sovereign bonds for repurchase agreements with a common central bank, and that their sovereign partially backs up any losses, should the banks not be able to repurchase the bonds. I argue that regulators in risky countries have an incentive to allow their banks to hold home risky bonds and risk defaults, while regulators in other "safe" countries will impose tighter regulation. As a result, governments in risky countries get to borrow more cheaply, effectively shifting the risk of some of the potential sovereign default losses on the common central bank.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/80493
    hdl: 10419/80493
    Edition: This revision: August 12, 2013
    Series: Array ; 4368
    Subjects: Länderrisiko; Bank; Bankenregulierung; Geldpolitik; Offenmarktpolitik; Kapitalanlage; Öffentliche Schulden; Währungsunion; Theorie; Eurozone; Euro zone crisis; sovereign default risk; bank regulation; risk shifting; common central bank; European Central Bank; ECB; repurchase operations; haircuts
    Scope: Online-Ressource (29 S.), graph. Darst.