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Bidding and Performance in Repo Auctions: Evidence from ECB Open Market Operations
Bindseil, Ulrich; Nyborg, Kjell G; Strebulaev, Ilya - C.E.P.R. Discussion Papers - 2004
Repo auctions are multiunit auctions regularly used by central banks to inject liquidity into the banking sector. Banks … have a fundamental need to participate because they have to satisfy reserve requirements. Superficially, repo auctions …. Using a bidder level dataset of the European Central Bank’s main repo auctions, however, we find evidence that the economic …
Persistent link: https://www.econbiz.de/10005067452
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Moral Hazard and Debt Maturity
Huberman, Gur; Repullo, Rafael - C.E.P.R. Discussion Papers - 2014
We present a model of the maturity of a bank's uninsured debt. The bank borrows funds and chooses afterwards the riskiness of its assets. This moral hazard problem leads to an excessive level of risk. Short-term debt may have a disciplining effect on the bank's risk-shifting incentives, but it...
Persistent link: https://www.econbiz.de/10011084392
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The Microstructure of the Euro Money Market
Hartmann, Philipp; Manna, Michele; Manzanares, Andres - C.E.P.R. Discussion Papers - 2001
sample period. Main refinancing operations with the open market are associated with active liquidity re-allocation, little …
Persistent link: https://www.econbiz.de/10005123983
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Sovereign Default Risk and Bank Fragility in Financially Integrated Economies
Bolton, Patrick; Jeanne, Olivier - C.E.P.R. Discussion Papers - 2011
government debt. The safest governments inefficiently restrict the amount of high quality debt that could be used as collateral …
Persistent link: https://www.econbiz.de/10009003147
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Fiscal Discipline and the Cost of Public Debt Service: Some Estimates for OECD Countries
Ardagna, Silvia; Caselli, Francesco; Lane, Timothy - C.E.P.R. Discussion Papers - 2004
We use a panel of 16 OECD countries over several decades to investigate the effects of government debts and deficits on long-term interest rates. In simple static specifications, a one-percentage-point increase in the primary deficit relative to GDP increases contemporaneous long-term interest...
Persistent link: https://www.econbiz.de/10005067414
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The Effect of Monetary Policy on Exchange Rates During Currency Crises: The Role of Debt, Institutions and Financial Openness
Eijffinger, Sylvester C W; Goderis, Benedikt - C.E.P.R. Discussion Papers - 2007
This paper examines the effect of monetary policy on the exchange rate during currency crises. Using data for a number of crisis episodes between 1986 and 2004, we find strong evidence that raising the interest rate: (i) has larger adverse balance sheet effects and is therefore less effective in...
Persistent link: https://www.econbiz.de/10005792063
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Optimal fiscal policy
Lukkezen, Jasper; Teulings, Coen N - C.E.P.R. Discussion Papers - 2013
This paper derives and estimates rules for fiscal policy that prescribe the optimal response to changes in unemployment and debt. We combine the reducedform model of the economy from a linear VAR with a non-linear welfare function and obtain analytic solutions for optimal policy. The variables...
Persistent link: https://www.econbiz.de/10011084121
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In Search of a Theory of Debt Management
Faraglia, Elisa; Marcet, Albert; Scott, Andrew - C.E.P.R. Discussion Papers - 2008
A growing literature integrates theories of debt management into models of optimal fiscal policy. One promising theory argues that the composition of government debt should be chosen so that fluctuations in the market value of debt offset changes in expected future deficits. This complete market...
Persistent link: https://www.econbiz.de/10005136601
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Modelling Long Bonds - The Case of Optimal Fiscal Policy
Faraglia, Elisa; Marcet, Albert; Scott, Andrew - C.E.P.R. Discussion Papers - 2014
We show how to model portfolio models in the presence of long bonds. Specifically we study optimal fiscal policy under incomplete markets where the government issues bonds of maturity N 1. Assuming the existence of long bonds introduces an additional intertemporal mechanism that makes taxes...
Persistent link: https://www.econbiz.de/10011083295
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Bond Market Clienteles, the Yield Curve, and the Optimal Maturity Structure of Government Debt
Guibaud, Stéphane; Nosbusch, Yves; Vayanos, Dimitri - C.E.P.R. Discussion Papers - 2013
We propose a clientele-based model of the yield curve and optimal maturity structure of government debt. Clienteles are generations of agents at different lifecycle stages in an overlapping-generations economy. An optimal maturity structure exists in the absence of distortionary taxes and...
Persistent link: https://www.econbiz.de/10011083839