Narrow search
Showing 1 - 10 of 676
Cover Image
Bank Credit Tightening, Debt Market Frictions and Corporate Yield Spreads
Massa, Massimo; Zhang, Lei - C.E.P.R. Discussion Papers - 2015
We study how debt market frictions constraining the ability to replace bank with bond financing during a tightening in … bank credit supply affect corporate yield spreads. We document that more inflexible firms suffer bigger increases in bond … yield spreads as bank credit supply tightens. Debt inflexibility also amplifies the impact of firm-specific tightening in …
Persistent link: https://www.econbiz.de/10011252612
Cover Image
A DSGE model of banks and financial intermediation with default risk
Wickens, Michael R. - C.E.P.R. Discussion Papers - 2011
This paper takes the view that a major contributing factor to the financial crisis of 2008 was a failure to correctly assess and price the risk of default. In order to analyse default risk in the macroeconomy, a simple general equilibrium model with banks and financial intermediation is...
Persistent link: https://www.econbiz.de/10009293986
Cover Image
Money and Liquidity in Financial Markets
Nyborg, Kjell G; Östberg, Per - C.E.P.R. Discussion Papers - 2010
We argue that there is a connection between the interbank market for liquidity and the broader financial markets, which has its basis in demand for liquidity by banks. Tightness in the interbank market for liquidity leads banks to engage in what we term "liquidity pull-back," which involves...
Persistent link: https://www.econbiz.de/10008550326
Cover Image
The Price of Liquidity: Bank Characteristics and Market Conditions
Fecht, Falko; Nyborg, Kjell G; Rocholl, Jörg - C.E.P.R. Discussion Papers - 2010
We identify frictions in the market for liquidity as well as bank-specific and market-wide factors that affect the … prices that banks pay for liquidity, captured here by borrowing rates in repos with the central bank and benchmarked by the … overnight index swap. We have price data at the individual bank level and, unique to this paper, data on individual banks …
Persistent link: https://www.econbiz.de/10008530368
Cover Image
Rollover Risk and Market Freezes
Acharya, Viral V; Gale, Douglas M; Yorulmazer, Tanju - C.E.P.R. Discussion Papers - 2009
We consider the debt capacity of a risky asset when debt is being rolled over and there is a liquidation cost in case of default. We show that debt capacity depends on how information about the quality of the asset is revealed. When the information structure is based on “optimistic”...
Persistent link: https://www.econbiz.de/10004980204
Cover Image
Liquidity Risk and Correlation Risk: A Clinical Study of the General Motors and Ford Downgrade of May 2005
Acharya, Viral V; Schaefer, Stephen M; Zhang, Yili - C.E.P.R. Discussion Papers - 2007
The GM and Ford downgrade to junk status during May 2005 caused a wide-spread sell-off in their corporate bonds. Using a novel dataset, we document that this sell-off appears to have generated significant liquidity risk for market-makers, as evidenced in the significant imbalance in their quotes...
Persistent link: https://www.econbiz.de/10005123999
Cover Image
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
. 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
Cover Image
Housing Market Dynamics: On the Contribution of Income Shocks and Credit Constraints
Ortalo-Magné, François; Rady, Sven - C.E.P.R. Discussion Papers - 2001
This Paper presents a dynamic theory of housing market fluctuations. It develops a life-cycle model where households are heterogeneous with respect to income and preferences, and mortgage lending is restricted by a down-payment requirement. The market interaction of young credit-constrained...
Persistent link: https://www.econbiz.de/10005498172
Cover Image
Credit Supply and the Price of Housing
Favara, Giovanni; Imbs, Jean - C.E.P.R. Discussion Papers - 2010
We show that since 1994, branching deregulations in the U.S have significantly affected the supply of mortgage credit, and ultimately house prices. With deregulation, the number and volume of originated mortgage loans increase, while denial rates fall. But the deregulation has no effect on a...
Persistent link: https://www.econbiz.de/10008784771
Cover Image
Option-Based Credit Spreads
Culp, Christopher L.; Nozawa, Yoshio; Veronesi, Pietro - C.E.P.R. Discussion Papers - 2014
of asset uncertainty, and bank-related rollover risk. …
Persistent link: https://www.econbiz.de/10011145468