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The price of liquidity: bank characteristics and market conditions
Fecht, Falko; Nyborg, Kjell G.; Rocholl, Jörg - Deutsche Bundesbank - 2008
We study differences in the price paid for liquidity across banks using price data at the individual bank level. Unique … to gauge the extent to which a bank is short or long liquidity. We find that the price a bank pays for liquidity depends … on the liquidity positions of other banks, as well as its own. There is evidence that liquidity squeezes occasionally …
Persistent link: https://www.econbiz.de/10005083283
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Maturity shortening and market failure
Thierfelder, Felix - Deutsche Bundesbank - 2012
Motivated by the financial crisis of 2007-2009 several papers have provided explanations for why liquidity may dry up … during market stress. This paper also looks at this issue but focuses on the question as to why the liquidity crunch was not … need to provide longer-term liquidity. The paper asks what market failure central banks were addressing by intervening and …
Persistent link: https://www.econbiz.de/10010535438
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Banking and sovereign risk in the euro area
Gerlach, Stefan; Schulz, Alexander; Wolff, Guntram B. - Deutsche Bundesbank - 2010
We study the determinants of sovereign bond spreads in the euro area since the introduction of the euro. We show that an aggregate risk factor is a main driver of spreads. This factor also plays an important indirect role for risk spreads through its interaction with the size and structure of...
Persistent link: https://www.econbiz.de/10008564415
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Does anticipation of government spending matter? Evidence from an expectation augmented VAR
Tenhofen, Jörn; Wolff, Guntram B. - Deutsche Bundesbank - 2007
How does private consumption react to an exogenous increase in government expenditure? Standard structural vector autoregressions (SVARs) usually report a positive GDP as well as consumption response, while event studies report a negative consumption response. We investigate in a SVAR whether...
Persistent link: https://www.econbiz.de/10005083242
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The macroeconomic effects of exogenous fiscal policy shocks in Germany: a disaggregated SVAR analysis
Wolff, Guntram B.; Tenhofen, Jörn; Heppke-Falk, Kirsten H. - Deutsche Bundesbank - 2006
We investigate the short-term effects of fiscal policy shocks on the German economy following the SVAR approach by Blanchard and Perotti (2002). We find that direct government expenditure shocks increase output and private consumption on impact with low statistical significance, while they...
Persistent link: https://www.econbiz.de/10005083253