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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
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Capital controls and foreign exchange policy
Fratzscher, Marcel - European Central Bank - 2012
The empirical analysis of the paper suggests that an FX policy objective and concerns about an overheating of the domestic economy have been the two main motives for the (re-)introduction and persistence of capital controls over the past decade. Capital controls are strongly associated with...
Persistent link: https://www.econbiz.de/10010686784
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Bubble thy neighbor: portfolio effects and externalities from capital controls
Forbes, Kristin; Fratzscher, Marcel; Kostka, Thomas; … - European Central Bank - 2012
We use changes in Brazil’s tax on capital inflows from 2006 to 2011 to test for direct portfolio effects and externalities from capital controls on investor portfolios. The analysis is structured based on information from investor interviews. We find that an increase in Brazil’s tax on...
Persistent link: https://www.econbiz.de/10010686793
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Capital controls and international financial stability: a dynamic general equilibrium analysis in incomplete markets
Buss, Adrian - European Central Bank - 2013
In this paper, we conduct an analysis of the implications of capital controls for financial stability. We study a financial transaction (Tobin) tax applicable to cross-border capital flows in a multi-good, multi-country dynamic equilibrium model with incomplete financial markets and...
Persistent link: https://www.econbiz.de/10010686801
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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
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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
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House Prices, Money, Credit and the Macroeconomy.
Goodhart, Charles; Hofmann, Boris - European Central Bank - 2008
This paper assesses the linkages between money, credit, house prices and economic activity in industrialised countries over the last three decades. The analysis is based on a fixed-effects panel VAR estimated using quarterly data for 17 industrialized countries spanning the period 1970-2006. The...
Persistent link: https://www.econbiz.de/10005816184
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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
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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
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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