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Re-use of collateral in the repo market
Fuhrer, Lucas Marc; Schumacher, Silvio; Guggenheim, Basil - Schweizerische Nationalbank (SNB) - 2015
This paper introduces a methodology to estimate the re-use of collateral based on actual transaction data. With a comprehensive dataset from the Swiss franc repo market we are able to provide the first systematic empirical study on the re-use of collateral. We find that re-use was most popular...
Persistent link: https://www.econbiz.de/10011122252
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Interoperability between central counterparties
Mägerle, Jürg; Nellen, Thomas - Schweizerische Nationalbank (SNB) - 2011
In reaction to recent requests for interoperability between central counterparties of European stock markets, regulators have issued new guidelines to contain systemic risk. Our analysis confirms that the currently applied cross-CCP risk management model can be a source of contagion,...
Persistent link: https://www.econbiz.de/10009367191
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Repatriation of Debt in the Euro Crisis: Evidence for the Secondary Market Theory
Sauré, Philip Ulrich; Brutti, Filippo - Schweizerische Nationalbank (SNB) - 2014
-border portfolio allocation. Three empirical regularities stand out: i) repatriation of debt occurred mainly in crisis countries; ii …
Persistent link: https://www.econbiz.de/10010895108
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Daytime is money
Kraenzlin, Sébastien; Nellen, Thomas - Schweizerische Nationalbank (SNB) - 2010
-versus-payment substitute credit risk with liquidity risk which in turn increases the value of intraday liquidity. The analysis is central bank …
Persistent link: https://www.econbiz.de/10008515787
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Access policy and money market segmentation
Kraenzlin, Sébastien Philippe; Nellen, Thomas - Schweizerische Nationalbank (SNB) - 2012
We analyse deviations between interest rates paid in the Swiss franc unsecured money market and the respective Libor rate. First, banks that have access to the secured interbank market and the SNB's monetary policy operations pay less than banks without access. Second, domestically unchartered,...
Persistent link: https://www.econbiz.de/10010583705
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Daytime is money
Kraenzlin, Sébastien; Nellen, Thomas - Schweizerische Nationalbank (SNB) - 2010
-versus-payment substitute credit risk with liquidity risk which in turn increases the value of intraday liquidity. The analysis is central bank …
Persistent link: https://www.econbiz.de/10008917453
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Bargaining Power in the Repo Market
Kraenzlin, Sébastien Philippe; von Scarpatetti, Benedikt - Schweizerische Nationalbank (SNB) - 2011
In this paper, we analyze the price setting behavior of banks in the Swiss franc repo market by means of network topology concepts and measures. The sample ranges from October 1999 to December 2009. Hence, it covers a large part of the money market turmoil that started in August 2007. Among...
Persistent link: https://www.econbiz.de/10010895106
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Who Needs Credit and Who Gets Credit in Eastern Europe?
Brown, Martin; Ongena, Steven; Yesin, Pınar Ayşe Yeşin; … - Schweizerische Nationalbank (SNB) - 2010
Based on survey data covering 8,387 firms in 20 countries we compare credit demand and credit supply for firms in … Eastern Europe to those for firms in selected Western European countries. We find that, while 30% of firms do not need credit … in Eastern Europe, their need for credit is higher than in Western Europe. The firm-level determinants of credit needs in …
Persistent link: https://www.econbiz.de/10008523823
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The Emergence of Information Sharing in Credit Markets
Brown, Martin; Zehnder, Christian - Schweizerische Nationalbank (SNB) - 2008
We examine how asymmetric information and competition in the credit market affect voluntary information sharing between … lenders. We study an experimental credit market in which information sharing can help lenders to distinguish good borrowers … credit market increases the frequency of information sharing between lenders significantly. Competition between lenders …
Persistent link: https://www.econbiz.de/10005069893
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The Emergence of Information Sharing in Credit Markets
Brown, Martin; Zehnder, Christian - Schweizerische Nationalbank (SNB) - 2008
We examine how asymmetric information and competition in the credit market affect voluntary information sharing between … lenders. We study an experimental credit market in which information sharing can help lenders to distinguish good borrowers … credit market increases the frequency of information sharing between lenders significantly. Competition between lenders …
Persistent link: https://www.econbiz.de/10008925050