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  1. The geography of investor attention
    Author: Mengoli, Stefano; Pagano, Marco; Pattitoni, Pierpaolo
    Published: [2021]
    Publisher:  EIEF, Einaudi Institute for Economics and Finance, [Rom]

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: EIEF working paper ; 21, 14 (November 2021)
    Subjects: attention; retail investors; local investors; distance; news; liquidity; volatility
    Scope: 1 Online-Ressource (circa 48 Seiten), Illustrationen
  2. Monetary policy under subjective beliefs of banks: optimal central bank collateral requirements
    Author: Böser, Florian
    Published: [2021]
    Publisher:  CER-ETH - Center of Economic Research at ETH Zurich, Zürich

    We study how the subjective beliefs about loan repayment on the side of liquidity-constrained banks affect the central bank's choice of collateral standards in its lending facilities. Optimism on the side of banks, entailing a higher collateral value... more

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    We study how the subjective beliefs about loan repayment on the side of liquidity-constrained banks affect the central bank's choice of collateral standards in its lending facilities. Optimism on the side of banks, entailing a higher collateral value of bank loans, can lead to excessive lending and bank default. Pessimism, though, can entail insufficient lending and productivity losses. With an appropriate haircut on collateral, the central bank can perfectly neutralize the banks' belief distortions and always induce the socially optimal allocation. Under uncertainty about beliefs, the central bank's incentives to set looser collateral standards increase. This reduces the risk of deficient bank lending if sufficiently pessimistic beliefs realize. In extreme cases, monetary policy aims at mitigating productivity losses only, instead of also avoiding bank default.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/235623
    Edition: This version: June 29, 2021
    Series: Working paper / CER-ETH - Center of Economic Research at ETH Zurich ; 21, 357 (June 2021)
    Subjects: beliefs; collateral; liquidity; central bank; banks
    Scope: 1 Online-Ressource (circa 65 Seiten), Illustrationen
  3. Non-standard errors
    Author: Menkveld, Albert J.; Dreber, Anna; Holzmeister, Felix; Huber, Jürgen; Johannesson, Magnus; Kirchler, Michael; Neusüß, Sebastian; Razen, Michael; Weitzel, Utz; Abad Díaz, David; Abudy, Menachem Meni; Adrian, Tobias; Aït-Sahalia, Yacine; Akmansoy, Olivier; Alcock, Jamie T.; Alexeev, Vitali; Aloosh, Arash; Amato, Livia; Amaya, Diego; Angel, James Joseph; Avetikian, Alejandro T.; Bach, Amadeus; Baidoo, Edwin; Bakalli, Gaetan; Bao, Li; Barbon, Andrea; Bashchenko, Oksana; Bindra, Parampreet Christopher; Bjønnes, Geir H.
    Published: November, 2021
    Publisher:  School of Finance, University of St. Gallen, St. Gallen

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Working papers on finance / Swiss Institute of Banking and Finance (S/BF - HSG) ; no. 2021, 17
    Subjects: Statistischer Fehler; Streuungsmaß; Wissenschaftler; Wissenschaftliche Methode; Theorie; non-standard errors; multi-analyst approach; liquidity
    Scope: 1 Online-Ressource (circa 57 Seiten), Illustrationen
  4. The financial origins of non-fundamental risk
    Author: Acharya, Sushant; Dogra, Keshav; Singh, Sanjay R.
    Published: 08 December 2021
    Publisher:  Centre for Economic Policy Research, London

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    Universitätsbibliothek Mannheim
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Array ; DP16793
    Subjects: safe assets; self-fulfilling asset market crashes; liquidity; fire sales
    Scope: 1 Online-Ressource (circa 56 Seiten), Illustrationen
  5. Dealers and the dealer of last resort
    evidence from MBS markets in the COVID-19 crisis
    Author: Chen, Jiakai; Liu, Haoyang; Sarkar, Asani; Song, Zhaogang
    Published: [2021]
    Publisher:  Federal Reserve Bank of New York, New York, NY

    We examine the economic mechanisms that limited arbitrage between the cash and forward markets of agency MBS, and whether asset purchases of the Federal Reserve (Fed) alleviated price dislocations. We find that the cash-forward basis, or the price... more

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    We examine the economic mechanisms that limited arbitrage between the cash and forward markets of agency MBS, and whether asset purchases of the Federal Reserve (Fed) alleviated price dislocations. We find that the cash-forward basis, or the price difference between the cash and forward markets of agency MBS controlling for differences in fundamentals, widened significantly-by $0.9 per $100 face value during the height of the COVID-19 crisis. The widening basis was accompanied by a significant increase in selling by customers in the cash market, indicating a "scramble for cash" following the liquidity shock. Dealers provided liquidity by increasing both their long cash and short forward positions significantly, but the basis continued to widen, implying that balance sheet costs constrained dealers' inventories. We estimate dealers' average costs of holding inventory for five weeks as about $0.8. We also find that primary dealers affiliated with banks subject to Basel III liquidity regulations increased their positions more than others. The basis narrowed by about $0.7 following the Fed's MBS purchases in the forward market. We attribute this effect to the faster settlement schedules of the Fed's purchases, compared to the market convention, which allowed a faster deployment of capital. Overall, our results show that the combined liquidity constraints of investors and dealers led to severe price dislocations, and the Fed, in its role as the "dealer of last resort," absorbed the liquidity demand that dealers lacked the capacity to meet.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/241126
    Edition: Revised May 2021
    Series: Staff report / Federal Reserve Bank of New York ; no. 933 (May 2021)
    Subjects: arbitrage; basis; cohort; dealer; liquidity; MBS; specified pool; TBA
    Scope: 1 Online-Ressource (circa 50 Seiten), Illustrationen
  6. Business formation
    a tale of two recessions
    Author: Dinlersoz, Ermin; Dunne, Timothy; Haltiwanger, John C.; Penciakova, Veronika
    Published: [2021]
    Publisher:  Federal Reserve Bank of Atlanta, Atlanta, GA

    The trajectory of new business applications and transitions to employer businesses differ markedly during the Great Recession and the COVID-19 recession. Both applications and transitions to employer startups decreased slowly but persistently in the... more

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    The trajectory of new business applications and transitions to employer businesses differ markedly during the Great Recession and the COVID-19 recession. Both applications and transitions to employer startups decreased slowly but persistently in the post-Lehman crisis period of the Great Recession. In contrast, during the COVID-19 recession new applications initially declined but have since sharply rebounded, resulting in a surge in applications during 2020. Projected transitions to employer businesses also rise, but this projection is dampened by a change in the composition of applications in 2020 toward applications that are more likely to be nonemployers.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/244308
    Series: Working paper series / Federal Reserve Bank of Atlanta ; 2021, 5 (January 2021)
    Subjects: COVID-19; business failures; liquidity; small business
    Scope: 1 Online-Ressource (circa 12 Seiten), Illustrationen
  7. Handle with care
    regulatory easing in times of COVID-19
    Author: Valencia, Fabian; Varghese, Richard; Yao, Weijia; Yépez, Juan F.
    Published: February 2021
    Publisher:  International Monetary Fund, [Washington, DC]

    The policy response to the COVID-19 shock included regulatory easing across many jurisdictions to facilitate the flow of credit to the economy and mitigate a further ampli-fication of the shock through tighter financial conditions. Using an intraday... more

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    Orient-Institut Beirut
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    Staatsbibliothek zu Berlin - Preußischer Kulturbesitz, Haus Potsdamer Straße
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    Universitätsbibliothek Braunschweig
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    Bibliothek der Pädagogischen Hochschule Freiburg/Breisgau
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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Universitätsbibliothek Leipzig
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    Leuphana Universität Lüneburg, Medien- und Informationszentrum, Universitätsbibliothek
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    Duale Hochschule Baden-Württemberg Mosbach, Bibliothek
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    Hochschule Offenburg, University of Applied Sciences, Bibliothek Campus Offenburg
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    The policy response to the COVID-19 shock included regulatory easing across many jurisdictions to facilitate the flow of credit to the economy and mitigate a further ampli-fication of the shock through tighter financial conditions. Using an intraday event study,this paper examines how stock prices-a key driver in financial conditions-reacted to regulatory easing announcements in a sample of 18 advanced economies and 8 emerging markets. The paper finds that overall, regulatory easing announcements contributed to looser financial conditions, but effects varied across sectors and tools. Financial regulatory easing led to lower valuations for financial sector stocks, and higher valuations for non-financial sector stocks, particularly for industries that are more dependent on bank financing. Furthermore, valuations declined and financial conditions tightened following announcements related to easier bank capital regulation while equity valuation rose and financial conditions loosened after those about liquidity regulation. Effects from non-regulatory financial measures appear to be generally more muted

     
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  8. Optimal market access pricing
    Author: Riccó, Roberto; Rindi, Barbara; Seppi, Duane J.
    Published: [2021]
    Publisher:  IGIER, Università Bocconi, Milano, Italy

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Edition: This version: February 3rd, 2021
    Series: Working paper series / IGIER ; n. 675
    Subjects: Market access fees; make-take; limit order markets; liquidity; market microstructure
    Scope: 1 Online-Ressource (circa 131 Seiten), Illustrationen
  9. Informational frictions in financial markets
    Author: Hapnes, Erik
    Published: 2021
    Publisher:  Ecole Polytechnique Fédérale de Lausanne, Lausanne

    This thesis consists of three chapters on informational frictions in financial markets. The chapters analyze problems related to markets' ability to guide real investment, and what drives liquidity. Both problems are important to ensure efficient... more

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    This thesis consists of three chapters on informational frictions in financial markets. The chapters analyze problems related to markets' ability to guide real investment, and what drives liquidity. Both problems are important to ensure efficient resource allocation in the economy. The first chapter studies the interaction between financial markets and real investments. I develop a model that simultaneously study the equilibrium in financial markets, the choice of investors to produce information, and real decisions by the firm. The chapter provides a new method to overcome non-linearities in the security price, and the equilibrium is surprisingly simple. The results provide insights into when real investments have a substantial impact on market efficiency and when we can analyze equilibrium market efficiency separately. Equilibrium behavior may hide some inefficiencies from standard empirical tests. Some changes in financial markets may increase or have little effect on market efficiency, but reduce real efficiency by increasing the cost of information production. The second chapter analyzes time-variation in liquidity. I develop a tractable model where conditions among traders vary over time. The resulting equilibrium offers several new predictions on what drives liquidity variation. For example, there may be significant reductions in liquidity from even tiny changes among the traders' conditions. Strategic behavior drives the results, and the model explains how liquidity may suddenly evaporate without a clear cause. Empirical results are in line with the predictions of the model. Surprisingly, everyone may benefit from sometimes restricting some traders from the market. Doing so can reallocate liquidity to periods with more significant liquidity needs. The third chapter studies the choice of anonymity among traders. All traders end up revealing their identity unless doing so is costly, or the order flow is noisy. The intuition is that there is always at least one trader who prefers to reveal his or her identity. If the order flow is noisy, then there is a threshold type, and more patient traders stay anonymous. The results suggest that a fully anonymous market is most efficient, but the gains from anonymity are distributed unevenly. This result explains why different markets vary significantly in choices related to anonymity.

     
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    Source: Union catalogues
    Language: English
    Media type: Dissertation
    Format: Online
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    Subjects: liquidity; market efficiency; information acquisition
    Scope: 1 Online-Ressource (circa 98 Seiten), Illustrationen
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    Dissertation, EPFL Ecole Polytechnique Fédérale de Lausanne, 2021
  10. Efficiency and effectiveness of the COVID-19 government support
    evidence from firm-level data
    Author: Lalinsky, Tibor; Pál, Rozália
    Published: June 2021
    Publisher:  European Investment Bank, Luxembourg

    We utilize several unique firm-level datasets in order to assess the efficiency and effectiveness of the government support aiming to curb the economic consequences of the coronavirus (COVID19) pandemic. The results, drawing on the experience of a... more

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    We utilize several unique firm-level datasets in order to assess the efficiency and effectiveness of the government support aiming to curb the economic consequences of the coronavirus (COVID19) pandemic. The results, drawing on the experience of a small open European country (Slovakia), suggest the distributed COVID-19 subsidies save non-negligible number of jobs and sustain economic activity during the first wave of the pandemic. General distribution rules designed on the fly may bring close to optimal results, as relatively more productive, privately owned, foreign-demand oriented firms are prioritized and firms with a higher environmental footprint or zombie firms record a relatively lower chance of obtaining government funding. By assuming constant cost elasticities to sales, we show that the pandemic deteriorates strongly firm profits and increases significantly the share of illiquid and insolvent firms. Government wage subsidies somewhat mitigate firm losses and have statistically significant effect, but relatively mild compared to the size of the economic shock. Our estimates also confirm that larger firms, receiving smaller relative size of the support, have more space to cover their additional liquidity needs by increasing trade liabilities or liabilities to affiliated entities, while SMEs face higher risk of insolvencies.

     
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    Source: Union catalogues
    Language: English
    Media type: Ebook
    Format: Online
    ISBN: 9789286150401
    Other identifier:
    hdl: 10419/234992
    Series: Economics - working papers ; 2021, 06
    Subjects: coronavirus; COVID-19; firm-level; policy measures; wage subsidies; profit; liquidity; solvency
    Scope: 1 Online-Ressource (circa 54 Seiten), Illustrationen
  11. Dark trading and alternative execution priority rules
    Author: Bernales, Alejandro; Ladley, Dan; Litos, Evangelos; Valenzuela, Marcela
    Published: [2021]
    Publisher:  Systemic Risk Centre, The London School of Economics and Political Science, London

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: SRC discussion paper ; no 111 (June 2021)
    Subjects: Dark pool; limit order market; execution priority rules; liquidity; welfare
    Scope: 1 Online-Ressource (circa 68 Seiten), Illustrationen
  12. Liquidity networks, interconnectedness, and interbank information asymmetry
    Author: Brunetti, Celso; Harris, Jeffrey H.; Mankad, Shawn
    Published: [2021]
    Publisher:  Divisions of Research & Statistics and Monetary Affairs, Federal Reserve Board, Washington, D.C.

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    Source: Union catalogues
    Language: English
    Media type: Book
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    Series: Finance and economics discussion series ; 2021, 017
    Subjects: banking networks; interconnectedness; liquidity
    Scope: 1 Online-Ressource (circa 42 Seiten), Illustrationen
  13. Hedge fund treasury trading and funding fragility
    evidencefrom the COVID-19 crisis
    Author: Kruttli, Mathias S.; Monin, Phillip J.; Petrasek, Lubomir; Watugala, Sumudu W.
    Published: April 2021
    Publisher:  Divisions of Research & Statistics and Monetary Affairs, Federal Reserve Board, Washington, D.C.

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    Source: Union catalogues
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    Media type: Book
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    Series: Finance and economics discussion series ; 2021, 038
    Subjects: Hedge funds; Treasury markets; relative value; arbitrage; liquidity; redemptionrisk; creditor constraints
    Scope: 1 Online-Ressource (circa 68 Seiten), Illustrationen
  14. Risks and vulnerabilities in the U.S. bond mutual fund industry
    Author: Bouveret, Antoine; Yu, Jie
    Published: April 2021
    Publisher:  International Monetary Fund, [Washington, D.C.]

    This paper assesses liquidity risk for the United States (U.S.) bond mutual funds industry and performs a range of analyses to identify which fund categories are more vulnerable to distress than others, and how sales from funds can impact financial... more

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    Orient-Institut Beirut
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    Staatsbibliothek zu Berlin - Preußischer Kulturbesitz, Haus Potsdamer Straße
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    Universitätsbibliothek Braunschweig
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    Bibliothek der Pädagogischen Hochschule Freiburg/Breisgau
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    Niedersächsische Staats- und Universitätsbibliothek Göttingen
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    Duale Hochschule Baden-Württemberg Heidenheim, Bibliothek
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    Thüringer Universitäts- und Landesbibliothek
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    Universitätsbibliothek Leipzig
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    Duale Hochschule Baden-Württemberg Mosbach, Bibliothek
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    Hochschule Offenburg, University of Applied Sciences, Bibliothek Campus Offenburg
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    E-Book International Monetary Fund
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    Hochschulbibliothek Pforzheim, Bereichsbibliothek Technik und Wirtschaft
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    Hochschule Albstadt-Sigmaringen, Bibliothek Sigmaringen
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    This paper assesses liquidity risk for the United States (U.S.) bond mutual funds industry and performs a range of analyses to identify which fund categories are more vulnerable to distress than others, and how sales from funds can impact financial stability. We develop a new measure to identify vulnerable categories based on expected outflows labelled 'Flows in Distress'. Overall, most U.S. mutual funds are resilient yet high yield (HY) and loan funds would face a liquidity shortfall when faced with severe redemption shocks. Combined sales from funds can have a sizeable price impact. Finally, our contagion analysis using data on fund flows and returns shows that Investment Grade (IG) corporate bonds funds, municipal bond funds and government bond funds are more likely to spread distress to other fund categories than HY, EM and loan funds. When the first type of funds experiences stress, other funds categories are likely to experience stress as well

     
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  15. Coexistence of money and interest-bearing bonds
    Author: Buggenum, Hugo van
    Published: 19 July 2021
    Publisher:  CentER, Center for Economic Research, Tilburg

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    Series: Discussion paper / CentER, Center for Economic Research ; no. 2021, 019
    Subjects: new monetarism; coexistence puzzle; liquidity; financial markets
    Scope: 1 Online-Ressource (circa 79 Seiten, Illustrationen
  16. Dark trading and alternative execution priority rules
    Author: Bernales, Alejandro; Ladley, Dan; Litos, Evangelos; Valenzuela, Marcela
    Published: [2021]
    Publisher:  [LSE Financial Markets Group], [London]

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    Language: English
    Media type: Book
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    Edition: This version: May 19th, 2021
    Series: [FMG discussion paper] ; [DP 834]
    SRC discussion paper ; no 111 (June 2021)
    Subjects: Dark pool; limit order market; execution priority rules; liquidity; welfare
    Scope: 1 Online-Ressource (circa 68 Seiten)
  17. Shock amplification in an interconnected financial system of banks and investment funds
    Author: Sydow, Matthias; Schilte, Aurore; Covi, Giovanni; Deipenbrock, Marija; Del Vecchio, Leonardo; Fiedor, Paweł; Fukker, Gábor; Gehrend, Max; Gourdel, Régis; Grassi, Alberto; Hilberg, Björn; Kaijser, Michiel; Kaoudis, Georgios; Mingarelli, Luca; Montagna, Mattia; Piquard, Thibaut; Salakhova, Dilyara; Tente, Natalia
    Published: [2021]
    Publisher:  European Central Bank, Frankfurt am Main, Germany

    This paper shows how the combined endogenous reaction of banks and investment funds to an exogenous shock can amplify or dampen losses to the financial system compared to results from single-sector stress testing models. We build a new model of... more

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    This paper shows how the combined endogenous reaction of banks and investment funds to an exogenous shock can amplify or dampen losses to the financial system compared to results from single-sector stress testing models. We build a new model of contagion propagation using a very large and granular data set for the euro area. Based on the economic shock caused by the Covid-19 outbreak, we model three sources of exogenous shocks: a default shock, a market shock and a redemption shock. Our contagion mechanism operates through a dual channel of liquidity and solvency risk. The joint modelling of banks and funds provides new insights for the assessment of financial stability risks. Our analysis reveals that adding the fund sector to our model for banks leads to additional losses through fire sales and a further depletion of banks' capital ratios by around one percentage point.

     
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    ISBN: 9789289948043
    Other identifier:
    hdl: 10419/237720
    Series: Working paper series / European Central Bank ; no 2581 (August 2021)
    Subjects: Fire sales; liquidity; overlapping portfolios; price impact; stress testing
    Scope: 1 Online-Ressource (circa 66 Seiten), Illustrationen
  18. Defragmenting markets: evidence from agency MBS
    Author: Liu, Haoyang; Song, Zhaogang; Vickery, James
    Published: [2021]
    Publisher:  Federal Reserve Bank of New York, New York, NY

    Agency mortgage-backed securities (MBS) issued by Fannie Mae and Freddie Mac have historically traded in separate forward markets. We study the consequences of this fragmentation, showing that market liquidity endogenously concentrated in Fannie Mae... more

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    Agency mortgage-backed securities (MBS) issued by Fannie Mae and Freddie Mac have historically traded in separate forward markets. We study the consequences of this fragmentation, showing that market liquidity endogenously concentrated in Fannie Mae MBS, leading to higher issuance and trading volume, lower transaction costs, higher security prices, and a lower primary market cost of capital for Fannie Mae. We then analyze a change in market design - the Single Security Initiative - which consolidated Fannie Mae and Freddie Mac MBS trading into a single market in June 2019. We find that consolidation increased the liquidity and prices of Freddie Mac MBS without measurably reducing liquidity for Fannie Mae; this was in part achieved by aligning characteristics of the underlying MBS pools issued by the two agencies. Prices partially converged prior to the consolidation event, in anticipation of future liquidity. Consolidation increased Freddie Mac’s fee income by enabling it to remove discounts that previously compensated loan sellers for lower liquidity.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/241158
    Series: Staff reports / Federal Reserve Bank of New York ; no. 965 (May 2021)
    Subjects: MBS; TBA; Single Security Initiative; UMBS; liquidity
    Scope: 1 Online-Ressource (circa 53 Seiten), Illustrationen
  19. The limits of onetary economics
    on money as a latent medium of exchange
    Author: Lagos, Ricardo; Zhang, Shengxing
    Published: February 2021
    Publisher:  CFM, Centre for Macroeconomics, London

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    Media type: Book
    Format: Online
    Series: CFM discussion paper series ; CFM-DP 2021, 04
    Subjects: Cashless; credit; liquidity; money; monetary policy
    Scope: 1 Online-Ressource (circa 67 Seiten), Illustrationen
  20. Dash for dollars
    Author: Cesa-Bianchi, Ambrogio; Martin, Fernando Eguren
    Published: 01 August 2021
    Publisher:  Centre for Economic Policy Research, London

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    Universitätsbibliothek Mannheim
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    Media type: Book
    Format: Online
    Series: Array ; DP16415
    Subjects: Heterogeneity; credit spreads; liquidity; Dash-for-cash; Us dollar; COVID-19; Event-Study; identification
    Scope: 1 Online-Ressource (circa 45 Seiten), Illustrationen
  21. No more tears without tiers?
    the impact of indirect settlement on liquidity use in TARGET2
    Author: Paulick, Jan; Berndsen, Ron; Diehl, Martin; Heijmans, Ronald
    Published: 17 August 2021
    Publisher:  CentER, Center for Economic Research, Tilburg

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    Other identifier:
    Series: Discussion paper / CentER, Center for Economic Research ; no. 2021, 022
    Subjects: RTGS systems; banks; payments; tiering; liquidity; TARGET2
    Scope: 1 Online-Ressource (circa 30 Seiten), Illustrationen
  22. Quantifying the high-frequency trading "arms race"
    Author: Aquilina, Matteo; Budish, Eric B.; O'Neill, Peter
    Published: 2021
    Publisher:  Bank for International Settlements, Monetary and Economic Department, [Basel]

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    Format: Online
    Series: BIS working papers ; no 955 (August 2021)
    Subjects: Market design; high-frequency trading; financial exchanges; liquidity; latency arbitrage; trading volume; message data
    Scope: 1 Online-Ressource (circa 102 Seiten), Illustrationen
  23. Asset encumbrance in euro area banks
    analysing trends, drivers and prediction properties for individual bank crises
    Author: Berthonnaud, Pierre; Cesati, Enrico; Drudi, Maria Ludovica; Jager, Kirsten; Kick, Heinrich; Lanciani, Marcello; Schneider, Ludwig; Schwarz, Claudia; Siakoulis, Vasileios; Vroege, Robert
    Published: [August 2021]
    Publisher:  European Central Bank, Frankfurt am Main, Germany

    Asset encumbrance is a central concept in the context of banks’ liquidity crises, as it is associated with their capacity to obtain secured funding. This occasional paper summarises the work carried out by the task force on asset encumbrance,... more

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    Asset encumbrance is a central concept in the context of banks’ liquidity crises, as it is associated with their capacity to obtain secured funding. This occasional paper summarises the work carried out by the task force on asset encumbrance, bringing together analyses by the ECB and those national competent authorities working on the topic. First, we describe how asset encumbrance has evolved in euro area banks, focusing on country and business model aggregates. Second, we conduct an econometric analysis of the driving factors of banks’ asset encumbrance, highlighting the relevance of credit risk, the availability of high quality collateral suitable for encumbrance, capital and sovereign funding conditions. Third, we turn our focus to the asset encumbrance dynamics of banks that have experienced a crisis. The outcome of this event study analysis indicates that asset encumbrance increases in the lead-up to a crisis, partly to offset early deposit outflows. Building on these findings, we show that asset encumbrance indicators carry predictive information for bank-specific crises as part of a multivariate early warning model.

     
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    Source: Staatsbibliothek zu Berlin
    Language: English
    Media type: Ebook
    Format: Online
    ISBN: 9789289945660
    Other identifier:
    hdl: 10419/246192
    Series: Occasional paper series / European Central Bank ; no 261 (August 2021)
    Subjects: asset encumbrance; liquidity; bank funding; collateral; bank crisis; early warning model; panel econometrics
    Scope: 1 Online-Ressource (73 Seiten), Illustrationen
  24. The geography of investor attention
    Author: Mengoli, Stefano; Pagano, Marco; Pattitoni, Pierpaolo
    Published: [2021]
    Publisher:  Center for Financial Studies, Goethe University, Frankfurt am Main, Germany

    Retail investors pay over twice as much attention to local companies than non-local ones, based on Google searches. News volume and volatility amplify this attention gap. Attention appears causally related to perceived proximity: first, acquisition... more

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    Retail investors pay over twice as much attention to local companies than non-local ones, based on Google searches. News volume and volatility amplify this attention gap. Attention appears causally related to perceived proximity: first, acquisition by a nonlocal company is associated with less attention by locals, and more by nonlocals close to the acquirer; second, COVID-19 travel restrictions correlate with a drop in relative attention to nonlocal companies, especially in locations with fewer flights after the outbreak. Finally, local attention predicts volatility, bid-ask spreads and nonlocal attention, not viceversa. These findings are consistent with local investors having an information-processing advantage.

     
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    Other identifier:
    hdl: 10419/248406
    Series: CFS working paper series ; no. 671
    Subjects: attention; retail investors; local investors; distance; news; liquidity; volatility
    Other subjects: Array
    Scope: 1 Online-Ressource (circa 50 Seiten), Illustrationen
  25. Household income, liquidity, and optimal unemployment insurance
    Author: Auray, Stéphane; Fuller, David L.; Lepage-Saucier, Nicolas
    Published: [2021]
    Publisher:  Center for Research in Economics and Statistics, Palaiseau, France

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    Series: Working paper series / Center for Research in Economics and Statistics ; no. 2021, 16 (October 2021)
    Subjects: unemployment insurance; liquidity; moral hazard; search; calibration
    Scope: 1 Online-Ressource (circa 44 Seiten)