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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

Dealing with Financial Crises: How Much Help from Research?

Pagano, Marco - Centro Studi di Economia e Finanza (CSEF) - 2014

Has economic research been helpful in dealing with the financial crises of the early 2000s? On the whole, the answer is negative, although there are bright spots. Economists have largely failed to predict both crises, largely because most of them were not analytically equipped to understand...

Persistent link: https://www.econbiz.de/10010885020

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

Extreme Stock Return Co-movements of Financial Institutions: Contagion or Interdependence?

Minderhoud, Koen - de Nederlandsche Bank - 2003

This paper investigates contagion of major financial institutions by focusing on extreme stock return co-movements. Our measure of contagion within banking and insurance sectors is the number of coincidences of daily extreme returns that cannot be explained by a linear propagation model of...

Persistent link: https://www.econbiz.de/10005101914

Systemic Risk, Interbank Relations and Liquidity Provision by theCentral Bank

Freixas, X.; Parigi, B.; Rochet, J-C. - de Nederlandsche Bank - 2000

We model systemic risk in an interbank market. Banks face liquidity needs as consumers are uncertain about where they need to consume. Interbank credit lines allow to cope with these liquidity shocks while reducing the cost of maintaining reserves. However, the interbank market exposes the...

Persistent link: https://www.econbiz.de/10005101949