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Designing a Central Bank for Europe: A Cautionary Tale from the Early Years of the Federal Reserve System

Eichengreen, Barry - C.E.P.R. Discussion Papers - 1991

Important questions concerning the structure and operation of a European Central Bank remain unanswered. Although there exists no precedent for the process of institution-building in which the European Community is currently engaged, the founding and early operations of the Federal Reserve...

Persistent link: https://www.econbiz.de/10005791345

Betting the House

Jordà, Òscar; Schularick, Moritz; Taylor, Alan M. - C.E.P.R. Discussion Papers - 2014

Is there a link between loose monetary conditions, credit growth, house price booms, and financial instability? This … paper analyzes the role of interest rates and credit in driving house price booms and busts with data spanning 140 years of …

Persistent link: https://www.econbiz.de/10011145419

Bidding and Performance in Repo Auctions: Evidence from ECB Open Market Operations

Bindseil, Ulrich; Nyborg, Kjell G; Strebulaev, Ilya - C.E.P.R. Discussion Papers - 2004

Repo auctions are multiunit auctions regularly used by central banks to inject liquidity into the banking sector. Banks have a fundamental need to participate because they have to satisfy reserve requirements. Superficially, repo auctions resemble treasury auctions; the format and rules are...

Persistent link: https://www.econbiz.de/10005067452

A Model of the Open Market Operations of the European Central Bank

Ayuso, Juan; Repullo, Rafael - C.E.P.R. Discussion Papers - 2000

We construct a model to analyse the two types of tender procedures used by the European Central Bank (ECB) in its open market operations. We assume that the ECB minimizes the expected value of a loss function that depends on the quadratic difference between the interbank rate and a target...

Persistent link: https://www.econbiz.de/10005504412

Time Consistency When Open Market Operations are the Monetary Policy Instrument: Is There Really a Deflation Bias?

Rankin, Neil - C.E.P.R. Discussion Papers - 2001

We re-examine optimal monetary policy in a dynamic general equilibrium model where open market operations are the only policy instrument. The government optimizes purely over private agents’ welfare. We use a money-in-the-utility-function approach with a welfare cost of ‘current’...

Persistent link: https://www.econbiz.de/10005661830

Accounting discretion of banks during a financial crisis

Huizinga, Harry; Laeven, Luc - C.E.P.R. Discussion Papers - 2009

This paper presents evidence of banks using accounting discretion to overstate the value of distressed assets. In particular, we show that the stock market applies far greater discounts to a bank’s real estate loans and mortgage-backed securities than are implicit in the book values of these...

Persistent link: https://www.econbiz.de/10004973976

Uncertainty Aversion and Systemic Risk

Dicks, David L.; Fulghieri, Paolo - C.E.P.R. Discussion Papers - 2015

We propose a new theory of systemic risk based on Knightian uncertainty (or "ambiguity"). We show that, due to uncertainty aversion, beliefs on future asset returns are endogenous, and bad news on one asset class induces investors to be more pessimistic about other asset classes as well. This...

Persistent link: https://www.econbiz.de/10011213303

Rare Events, Financial Crises, and the Cross-Section of Asset Returns

Bianchi, Francesco - C.E.P.R. Discussion Papers - 2015

Similarities between the Great Depression and the Great Recession are documented with respect to the behavior of financial markets. A Great Depression regime is identified by using a Markov-switching VAR. The probability of this regime has remained close to zero for many decades, but spiked for...

Persistent link: https://www.econbiz.de/10011213314

When Credit Bites Back: Leverage, Business Cycles, and Crises

Jordà, Òscar; Schularick, Moritz; Taylor, Alan M. - C.E.P.R. Discussion Papers - 2011

This paper studies the role of credit in the business cycle, with a focus on private credit overhang. Based on a study …; and for both types of recession, more credit-intensive expansions tend to be followed by deeper recessions and slower … controls and their lags. Then we study how past credit accumulation impacts the behavior of not only output but also other key …

Persistent link: https://www.econbiz.de/10009365001

A Pyrrhic Victory? Bank Bailouts and Sovereign Credit Risk

Acharya, Viral V; Drechsler, Itamar; Schnabl, Philipp - C.E.P.R. Discussion Papers - 2011

We show that financial sector bailouts and sovereign credit risk are intimately linked. A bailout benefits the economy … two-way feedback between financial and sovereign credit risk using data on the credit default swaps (CDS) of the Eurozone …, the latter being consistent with an effect of the quality of sovereign guarantees on bank credit risk. …

Persistent link: https://www.econbiz.de/10009365002

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