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Hattori, Masazumi; Shin, Hyun Song - Institute for Monetary and Economic Studies, Bank of Japan - 2007

Yen carry trades have traditionally been viewed in narrow terms purely as a foreign exchange transaction. However, evidence from the waxing and waning of balance sheets of foreign banks operating in Japan points to a broader notion of the carry trade. Yen liabilities fund not only pure currency...

Persistent link: https://www.econbiz.de/10004975764

Securitization, Transparency and Liquidity

Pagano, Marco; Volpin, Paolo - Centro Studi di Economia e Finanza (CSEF) - 2008

We present a model in which issuers of asset backed securities choose to release coarse information to enhance the liquidity of their primary market, at the cost of reducing secondary market liquidity or even causing it to freeze. The degree of transparency is inefficiently low if the social...

Persistent link: https://www.econbiz.de/10005087538

Good Securitization, Bad Securitization

Plantin, Guillaume - Institute for Monetary and Economic Studies, Bank of Japan - 2011

I use a simple banking model to study the circumstances under which excessive and inefficient securitization may occur …. I first stress that increasing securitization rates that reduce banks' incentives to screen borrowers and thus lead to … the informational efficiency of the securitization market, then there is room for excessive securitization. The model …

Persistent link: https://www.econbiz.de/10008837594

Credit Ratings Failures and Policy Options

Pagano, Marco; Volpin, Paolo - Centro Studi di Economia e Finanza (CSEF) - 2009

This paper examines the role of credit rating agencies in the subprime crisis that triggered the 2007-08 financial turmoil. We focus on two aspects of ratings that contributed to the boom and bust of the market for structured debt: rating inflation and coarse information disclosure. The paper...

Persistent link: https://www.econbiz.de/10008561014

Internalization, Clearing and Settlement, and Liquidity

Degryse, Hans; van Achter, M.; Wuyts, G. - Tilburg University, Center for Economic Research - 2012

Abstract: We study the relation between liquidity in financial markets and post-trading fees (i.e. clearing and settlement fees). The clearing and settlement agent (CSD) faces different marginal costs for different types of transactions. Costs are lower for an internalized transaction, i.e. when...

Persistent link: https://www.econbiz.de/10011090324

Preferential regulatory treatment and banks' demand for government bonds

Bonner, Clemens - de Nederlandsche Bank - 2014

Government bonds receive preferential treatment in financial regulation. The purpose of this paper is to analyze the impact of this preferential treatment on banks' demand for government bonds. Using unique transaction-level data, our analysis suggests that preferential treatment in liquidity...

Persistent link: https://www.econbiz.de/10010812608

Simulations in the Dutch interbank payment system: A sensitivity analysis

Heijmans, Ronald - de Nederlandsche Bank - 2009

This paper presents an analysis on the sensitivity of the Dutch interbank payment system with respect to the value transferred and the amount of available collateral. The Dutch system can be characterised as a system with a few large and many relatively small participants.Historical data has...

Persistent link: https://www.econbiz.de/10005101806

A tale of the water-supplying plumber: intraday liquidity provision in payment systems

Ledrut, Elisabeth - de Nederlandsche Bank - 2006

This paper provides an overview of the literature on intraday credit in payment systems to date and explores the dilemma central banks face when deciding on their intraday credit policies. On the one hand, any strategy in which the costs of liquidity are not fully borne by payment system...

Persistent link: https://www.econbiz.de/10005101828

Simulating retaliation in payment systems: Can banks control their exposure to a failing participant?

Ledrut, Elisabeth - de Nederlandsche Bank - 2007

This paper assesses the impact of an operational failure at one of the biggest participants in the Dutch interbank payment system, varying the time at which the disruption takes place. Liquidity levels equal historical levels. The impact of such a disruption is quantified in terms of the...

Persistent link: https://www.econbiz.de/10005053799

Credit Cycle and Adverse Selection Effects in Consumer Credit Markets – Evidence from the HELOC Market

Calem, P.; Cannon, M.; Nakamura, L.I. - Tilburg University, Center for Economic Research - 2011

We empirically study how the underlying riskiness of the pool of home equity line of credit originations is affected over the credit cycle. Drawing from the largest existing database of U.S. home equity lines of credit, we use county-level aggregates of these loans to estimate panel regressions...

Persistent link: https://www.econbiz.de/10011092716