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Displaying results 1 to 4 of 4.

  1. Bank runs, bank competition and opacity
    Author: Ahnert, Toni; Martinez-Miera, David
    Published: December 2020
    Publisher:  Verein für Socialpolitik, [Köln]

    We model asset opacity and deposit rate choices of banks who imperfectly compete for uninsured deposits, are subject to runs, and face a threat of entry. Higher competition increases deposit rates and bank fragility, resulting in an intermediate... more

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    DSM 13
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    We model asset opacity and deposit rate choices of banks who imperfectly compete for uninsured deposits, are subject to runs, and face a threat of entry. Higher competition increases deposit rates and bank fragility, resulting in an intermediate socially optimal level of bank competition. We provide a novel theory of bank opacity. The cost of opacity is more partial runs by creditors, which induces costly liquidation of investment and lowers current profits. The benefit of opacity is to deter entry of competitors, which increases bank charter value. Banks can be excessively opaque, motivating transparency regulation.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/242348
    Series: Jahrestagung 2021 / Verein für Socialpolitik ; 31
    Subjects: Competition; entry; opacity; fragility; bank run; global games; competition policy; transparency regulation
    Scope: 1 Online-Ressource (circa 46 Seiten), Illustrationen
  2. A new tool for robust estimation and identification of unusual data points
    Author: Garciga, Christian; Verbrugge, Randal
    Published: 2020
    Publisher:  Federal Reserve Bank of Cleveland, [Cleveland, OH]

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
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    Series: Working paper / Federal Reserve Bank of Cleveland ; 20, 08 (March 2020)
    Subjects: big data; machine learning; outlier identification; fragility; robust estimation; detMCD; RMVN
    Scope: 1 Online-Ressource (circa 52 Seiten), Illustrationen
  3. True cost of immediacy
    Author: Hendershott, Terrence; Li, Dan; Livdan, Dmitry; Schürhoff, Norman
    Published: 2020
    Publisher:  Swiss Finance Institute, Geneva

    Traditional liquidity measures can provide a false impression of the liquidity and stability of financial market trading. Using data on auctions (bids wanted in competition; BWICs) from the collateralized loan obligation (CLO) market, we show that a... more

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    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Traditional liquidity measures can provide a false impression of the liquidity and stability of financial market trading. Using data on auctions (bids wanted in competition; BWICs) from the collateralized loan obligation (CLO) market, we show that a standard measure of liquidity, the effective bid-ask spread, dramatically underestimates the true cost of immediacy because it does not account for failed attempts to trade. The true cost of immediacy is substantially higher than the observed costs for successful BWICs. This cost gap is higher in lower-rated CLOs and stressful market conditions when failure rates exceed 50%. Across our 2012-2020 sample period for trades in senior CLOs, the observed cost is four basis points (bps) while the true cost of immediacy is 13bps. In stressful periods, such as the COVID-19 pandemic, for junior tranches the observed cost of trading increases from an average of 12bps to 25bps while the true cost of immediacy increases from less than 3% to almost 15%

     
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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 20, 71
    Swiss Finance Institute Research Paper ; No. 20-71
    Subjects: Collateralized loan obligations; bids-wanted-in-competition; over-the-counter markets; liquidity; fragility
    Scope: 1 Online-Ressource (circa 63 Seiten), Illustrationen
  4. How do donor-led empowerment and accountability activities take scale into account?
    evidence from DFID programmes in contexts of fragility, conflict and violence
    Author: Anderson, Colin; Fox, Jonathan; Gaventa, John
    Published: April 2020
    Publisher:  Communications and Engagement Unit, Institute of Development Studies, Brighton, UK

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    Source: Union catalogues
    Language: English
    Media type: Ebook
    Format: Online
    ISBN: 9781781186299
    Other identifier:
    hdl: 20.500.12413/15211
    Series: IDS working paper ; volume 2020, no 536
    Subjects: empowerment; accountability; fragility; donors; multi-level governance
    Scope: 1 Online-Ressource (circa 61 Seiten), Illustrationen