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Monetary Policy and Excessive Bank Risk Taking

Agur, I.; Demertzis, M. - Tilburg University, Center for Economic Research - 2010

If monetary policy is to aim at financial stability, how would it change? To analyze this question, this paper develops a general-form model with endogenous bank risk profiles. Policy rates affect both bank incentives to search for yield and the cost of wholesale funding. Financial stability...

Persistent link: https://www.econbiz.de/10011091287

Liquidity Hoarding and Interbank Market Spreads : The Role of Counterparty Risk

Heider, F.; Hoerova, M.; Holthausen, C. - Tilburg University, Center for Economic Research - 2009

rate spread and full participation; 2) elevated spread and adverse selection; and 3) liquidity hoarding leading to a market …

Persistent link: https://www.econbiz.de/10011092152

Monetary Policy Rules, Adverse Selection and Long-Run Financial Risk

Eijffinger, Sylvester; Blommestein, H.J.; Qian, Z. - Tilburg University, Center for Economic Research - 2011

This paper constructs a macro-finance model with two types of borrowers: entrepreneurs who engage in productive activities and gamblers who play in lotteries. It links a central bank's interest rate policy to expected cash ows of both types of borrowers. Via this link we study how the...

Persistent link: https://www.econbiz.de/10011090362

Financial Connections and Systemic Risk

Allen, F.; Babus, A.; Carletti, E. - Tilburg University, Center for Economic Research - 2010

We develop a model where institutions form connections through swaps of projects in order to diversify their individual risk. These connections lead to two different network structures. In a clustered network groups of financial institutions hold identical portfolios and default together. In an...

Persistent link: https://www.econbiz.de/10011091107

A Dilution Cost Approach to Financial Intermediation and Securities Markets

Bolton, P.; Freixas, X. - Tilburg University, Center for Economic Research - 1998

Persistent link: https://www.econbiz.de/10011091806

Does Monetary Policy Affect the Central Bank's Role in Bank Supervision?

Ioannidou, Vasso - Tilburg University, Center for Economic Research - 2002

Persistent link: https://www.econbiz.de/10011092048

Bank Liquidity, Interbank Markets, and Monetary Policy

Freixas, X.; Martin, A.; Skeie, D. - Tilburg University, Center for Economic Research - 2010

uncertainty regarding their liquidity needs. This paper studies the efficiency of the interbank lending market in allocating funds …. We consider two different types of liquidity shocks leading to di¤erent implications for optimal policy by the central … bank. We show that, when confronted with a distribu- tional liquidity-shock crisis that causes a large disparity in the …

Persistent link: https://www.econbiz.de/10011092909

The Impact of the LCR on the Interbank Money Market

Eijffinger, Sylvester; Bonner, C. - Tilburg University, Center for Economic Research - 2012

Abstract: This paper analyses the impact of the Basel 3 Liquidity Coverage Ratio (LCR) on the unsecured interbank money … just above/below their short-term regulatory liquidity requirement pay and charge higher interest rates for unsecured …, being close to the minimum liquidity requirement induces banks to decrease lending volumes. Given the high importance of a …

Persistent link: https://www.econbiz.de/10011092711

What are the Effects of Monetary Policy on Output? Results from an Agnostic Identification Procedure

Uhlig, H.F.H.V.S. - Tilburg University, Center for Economic Research - 1999

This paper proposes to estimate the effects of monetary policy shocks by a new \agnostic" method, imposing sign restrictions on the impulse responses of prices, nonborrowed reserves and the federal funds rate in response to a monetary policy shock. No restrictions are imposed on the response of...

Persistent link: https://www.econbiz.de/10011091675

Bank Activity and Funding Strategies : The Impact on Risk and Return

Huizinga, Harry P.; Demirgüc-Kunt, A. - Tilburg University, Center for Economic Research - 2009

This paper examines the implications of bank activity and short-term funding strategies for bank risk and return using an international sample of 1334 banks in 101 countries leading up to the 2007 financial crisis. Expansion into non-interest income generating activities such as trading...

Persistent link: https://www.econbiz.de/10011092794

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