Similar Search Results

Interbank lending, credit risk premia and collateral

Heider, Florian; Hoerova, Marie - European Central Bank - 2009

decouple across secured and unsecured markets following an adverse shock to credit risk. The scarcity of underlying collateral …

Persistent link: https://www.econbiz.de/10008549311

The accumulation of foreign reserves

Pineau, Georges; Dorrucci, Ettore - European Central Bank - 2006

In a number of countries, especially emerging market economies, the public sector has in recent years been accumulating sizeable cross-border financial assets, mainly in the form of official foreign exchange reserves. World reserves have risen from USD 1.2 trillion in January 1995 to above USD 4...

Persistent link: https://www.econbiz.de/10005530645

The impact of sovereign wealth funds on global financial markets

Beck, Roland; Fidora, Michael - European Central Bank - 2008

This paper analyses the impact of sovereign wealth funds (SWFs) on global financial markets. It presents back-of-the-envelope calculations which simulate the potential impact of a transfer of traditional foreign exchange reserves to SWFs on global capital flows. If SWFs behave as CAPM-type...

Persistent link: https://www.econbiz.de/10005530670

Optimal reserve composition in the presence of sudden stops: the euro and the dollar as safe haven currencies

Beck, Roland; Rahbari, Ebrahim - European Central Bank - 2008

We analytically derive optimal central bank portfolios in a minimum variance framework with two assets and "transaction demands" caused by sudden stops in capital inflows. In this model, the transaction demands become less important relative to traditional portfolio objectives as debt to reserve...

Persistent link: https://www.econbiz.de/10005816138

Asset prices, collateral and unconventional monetary policy in a DSGE model

Hilberg, Björn; Hollmayr, Josef - European Central Bank - 2011

repurchase agreements (“Repos”). By varying haircuts applied to securities that serve as collateral in repurchase agreements the …

Persistent link: https://www.econbiz.de/10009276056

Central clearing and collateral demand

Duffie, Darrell; Scheicher, Martin; Vuillemey, Guillaume - European Central Bank - 2014

We use an extensive data set of bilateral exposures on credit default swap (CDS) to estimate the impact on collateral … demand of new margin and clearing practices and regulations. We decompose collateral demand for both customers and dealers … impact on collateral demand of more widespread initial margin requirements, increased novation of CDS to central clearing …

Persistent link: https://www.econbiz.de/10010753736

The collateral frameworks of the Eurosystem, the Federal Reserve System and the Bank of England and the financial market turmoil

Cheun, Samuel; Köppen-Mertes, Isabel von; Weller, Benedict - European Central Bank - 2009

changed the way in which they implement monetary policy. This has drawn particular attention to the type of collateral used … operations. This paper provides an overview of the features of the different operational and collateral frameworks of three … initial design of the operational and collateral framework. JEL Classification: E52, E58, G01, G20. …

Persistent link: https://www.econbiz.de/10008497579

Disentangling the bond-CDS nexus: a stress test model of the CDS market

Vuillemey, Guillaume; Peltonen, Tuomas A. - European Central Bank - 2013

for CDS sellers is found to be sudden increases in collateral requirements on multiple correlated CDS exposures. Close …

Persistent link: https://www.econbiz.de/10010709534

Financial reputation, market interventions and debt issuance by banks: a truncated two-part model approach

Camba-Méndez, Gonzalo; Carbó-Valverde, Santiago; … - European Central Bank - 2014

In this paper we study the impact that financial reputation and official market interventions have on the timing and amount of debt issuance decisions by banks. To do so, we propose an extension of the two-part modelling framework of Cragg (1971, eq. 7 and 9) to accommodate random effects. We...

Persistent link: https://www.econbiz.de/10011067222

Repo markets, counterparty risk and the 2007/2008 liquidity crisis

Ewerhart, Christian; Tapking, Jens - European Central Bank - 2008

A standard repurchase agreement between two counterparties is considered to examine the endogenous choice of collateral … assets, the feasibility of secured lending, and welfare implications of the central bank’s collateral framework. As an …

Persistent link: https://www.econbiz.de/10005222299