Showing 1 - 10 of 101
available liquidity in the system. The network structure of the LVTS T2 is found to be asymmetric in terms of the patterns of … with each other than with participants in other subgroups. Three possible network equilibria are proposed. The equilibria … relate to a dominant strategy for at least those participants most central in the network with respect to liquidity transfer …
Persistent link: https://www.econbiz.de/10005536847
credit limits (BCLs) to a participant at risk of imminent closure. The authors' analysis considers a network of three banks … includes the value of network externalities, the analysis shows that, when the expected credit loss is sufficiently low, an …The authors examine the effect of a trade-off between shared credit risk and liquidity efficiency, among participants …
Persistent link: https://www.econbiz.de/10005808265
rationalizing their network between technology penetration and business stealing. The model is solved numerically and we show that …
Persistent link: https://www.econbiz.de/10005536851
The authors build a theoretical model that generates demand for collateral by Large Value Transfer System (LVTS) participants under the assumption that they minimize the cost of holding and managing collateral for LVTS purposes. The model predicts that the optimal amount of collateral held by...
Persistent link: https://www.econbiz.de/10005536863
The author presents a model of a twin crisis, in which foreign and domestic residents play a banking game. Both "honest" and run equilibria of the post-deposit subgame exist; some run equilibria lead to a currency crisis, as agents convert domestic currency to foreign currency. In the subgame,...
Persistent link: https://www.econbiz.de/10005536890
We investigate the relationship between immigrant status and mortgage delinquency in the United States. We find that after controlling for observables, newly arrived immigrants are likely to have a higher delinquency rate on mortgages than natives, while immigrants who have resided in the United...
Persistent link: https://www.econbiz.de/10011115522
examine how the supply of credit by banks that rely more on wholesale funding changed during periods of low-for-long interest …
Persistent link: https://www.econbiz.de/10011196438
This paper shows that banks that rely heavily on short-term funding engage less in maturity transformation in an attempt to decrease their exposure to rollover risk. These banks shorten both the maturity of their portfolio of loans as well as the maturity of newly issued loans. We find that the...
Persistent link: https://www.econbiz.de/10010762040
Mortgages constitute the largest part of household debt. An essential choice when taking out a mortgage is between fixed-interest-rate mortgages (FRMs) and adjustable-interest-rate mortgages (ARMs). However, so far, no comprehensive cross-country study has analyzed what determines household...
Persistent link: https://www.econbiz.de/10010762046
-level data in order to estimate the effects of bank financial distress on consumer credit and consumption expenditures …-mortgage liabilities compared to a matched sample of households. The reduced access to credit, however, does not result in lower levels of …, where even temporary adverse credit supply shocks are associated with significant real effects. …
Persistent link: https://www.econbiz.de/10010762051