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Bank Networks: Contagion, Systemic Risk and Prudential Policy
Aldasoro, Inaki; Gatti, Domenico Delli; Faia, Ester - CESifo - 2015
We present a network model of the interbank market in which optimizing risk averse banks lend to each other and invest in non-liquid assets. Market clearing takes place through a tâtonnement process which yields the equilibrium price, while traded quantities are determined by means of a...
Persistent link: https://www.econbiz.de/10011155379
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Smells Like Fiscal Policy? Assessing the Potential Effectiveness of the ECB's OMT Program
Hristov, Nikolay; Hülsewig, Oliver; Siemsen, Thomas; … - CESifo - 2014
sovereign bond purchases on secondary markets, a stable relationship between bank lending rates and government bond rates is of … this relationship by focusing on the reaction of bank lending rates to movements in government bond rates over the period … limited as the link between bank lending rates and government bond rates has substantially weakened since the end of 2008. …
Persistent link: https://www.econbiz.de/10010877947
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Hypnosis Before Wake-up Call?! The Revival of Sovereign Credit Risk Perception in the EMU-Crisis
Bordon, Ingo G.; Schmid, Kai D.; Schmidt, Michael - CESifo - 2014
its impact upon bond yield spreads has become comparable to the time before the Maastricht treaty. …
Persistent link: https://www.econbiz.de/10010888450
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External Sovereign Debt in a Monetary Union: Bailouts and the Role of Corruption
Achury, Carolina; Koulovatianos, Christos; Tsoukalas, … - CESifo - 2011
We build a tractable stylized model of external sovereign debt and endogenous international interest rates. In corrupt economies with rent-seeking groups stealing public resources, a politico-economic equilibrium is characterized by permanent fiscal impatience which leads to excessive issuing of...
Persistent link: https://www.econbiz.de/10009228617
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Financial Contagion and the European Debt Crisis
Missio, Sebastian; Watzka, Sebastian - CESifo - 2011
Since the beginning of 2010, the Euro Area faces a severe sovereign debt crisis, now generally known as the Euro Crisis. While the Euro Crisis has its origin in Greece, problems have now spread to several other European countries as well. Dynamic conditional correlation models (DCC) are...
Persistent link: https://www.econbiz.de/10009278131
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Long-Term Interest Rates and Public Debt Maturity
Sakalauskaite, Ieva; Beetsma, Roel; Giuliodori, Massimo - CESifo - 2013
For a sample of sixteen OECD countries over the period 1980-2007 we show that, for given debt-GDP ratio, an increase in the maturity of the public debt by one year lowers its long-term interest rate by around 20-30 basis points. This effect is stronger for countries with higher average inflation...
Persistent link: https://www.econbiz.de/10010697222
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Liquidity, Term Spreads and Monetary Policy
Aksoy, Yunus; Basso, Henrique S. - CESifo - 2012
We propose a model that delivers endogenous variations in term spreads driven by banks’ portfolio decision while facing the risk of maturity transformation. First, we show that fluctuations of the future profitability of banks’ portfolios affect their ability to cover for any liquidity needs...
Persistent link: https://www.econbiz.de/10010690388
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Asset Pricing Implications of a New Keynesian Model: A Note
Heer, Burkhard; Klarl, Torben; Maussner, Alfred - CESifo - 2012
De Paoli, Scott, and Weeken [2010, Asset pricing implications of a New Keynesian model. Journal of Economic Dynamics and Control 34, 2056-73] study equity and bonds prices in a New Keynesian model with sticky nominal prices. This note argues that their model generates a behavior of the labor...
Persistent link: https://www.econbiz.de/10010599728
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Analysis of Monetary Policy and Financial Stability: A New Paradigm
Goodhart, Charles A. E.; Osorio, Carolina; Tsomocos, … - CESifo - 2009
This paper introduces agent heterogeneity, liquidity, and endogenous default to a DSGE framework. Our model allows for a comprehensive assessment of regulatory and monetary policy, as well as welfare analysis in the different sectors of the economy. Due to liquidity and endogenous default, the...
Persistent link: https://www.econbiz.de/10008583683
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Resolving the Spanning Puzzle in Macro-Finance Term Structure Models
Bauer, Michael D.; Rudebusch, Glenn D. - CESifo - 2015
.e., perfectly correlated with) model-implied bond yields. However, this theoretical implication appears inconsistent with … regressions showing that much macroeconomic variation is unspanned and that the unspanned variation helps forecast excess bond …
Persistent link: https://www.econbiz.de/10011155372