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Fire buys of central bank collateral assets
Roure, Calebe de - 2017
In times of financial distress, central banks provide unlimited liquidity to avoid fire sales. In response, banks raise … investigate how unlimited liquidity provision affects collateral prices. Also, I match banks' trades with their balance sheet and … show how funding liquidity impacts premia payment. I quantify the Fire Buy premium to be 15.6 bps; and the Risk …
Persistent link: https://www.econbiz.de/10011587096
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Liquidity provision as a monetary policy tool : the ECB's non-standard measures after the financial crisis
Quint, Dominic; Tristani, Oreste - 2017
area. In a structural VAR, we identify a liquidity shock rooted in the interbank market and use its impulse response … Gertler and Kiyotaki (2010). We highlight two main results. First, an identified liquidity shock causes a sizable and … in 2008–09. Second, the liquidity injected in the market by the ECB played an important role in attenuating the …
Persistent link: https://www.econbiz.de/10011764878
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The financial market effects of the ECB's asset purchase programs
Lewis, Vivien; Roth, Markus - 2017
The European Central Bank's asset purchase programs, while intended to stabilize the economy, may have unintended side effects on financial stability. This paper aims at gauging the effects on financial markets, the banking sector, and lending to non-financial firms. Using a structural vector...
Persistent link: https://www.econbiz.de/10011712553
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Banks fearing the drought? : liquidity hoarding as a response to idiosyncratic interbank funding dry-ups
Littke, Helge; Ossandon Busch, Matias - 2021
We investigate whether idiosyncratic interbank funding shocks affecting a bank headquarters can trigger a liquidity … emergency liquidity. Our findings suggest that the geographical fragmentation of branches' funding limits their ability to …
Persistent link: https://www.econbiz.de/10012516271
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Buried in the vaults of central banks : monetary gold hoarding and the slide into the Great Depression
Karau, Sören - 2020 - This draft: October 2020
I study whether monetary gold hoarding was the main cause of the Great Depression in a structural VAR analysis. The notion that monetary forces played an important role in bringing about the depression is well established in the narrative literature, but has more recently met some skepticism by...
Persistent link: https://www.econbiz.de/10012405992
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Central bank funding and credit risk-taking
Bednarek, Peter; Dinger, Valeriya; Kaat, Daniel Marcel te; … - 2020
This paper examines the relationship between central bank funding and credit risk-taking. Employing comprehensive bank-firm-level data from the German credit registry during 2009:Q1-2014:Q4, we find that borrowing from the central bank is associated with rebalancing of bank portfolios towards...
Persistent link: https://www.econbiz.de/10012250631
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Information effects of euro area monetary policy : new evidence from high-frequency futures data
Kerssenfischer, Mark - 2019
Central bank announcements move financial markets. The response of inflation and growth expectations, on the other hand, is often small or even counterintuitive. Based on tick-by-tick futures prices on bonds and stock prices, I confirm these seemingly puzzling results for the euro area and...
Persistent link: https://www.econbiz.de/10011972952
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Central bank information shocks and exchange rates
Franz, Thorsten - 2020 - This version: February 2020
The dynamic effects of ECB announcements, disentangled into pure monetary policy and central bank information shocks, on the euro (EUR) exchange rate are examined using a Bayesian Proxy Vector Autoregressive (VAR) model fed with high-frequency data. Contractionary monetary policy shocks result...
Persistent link: https://www.econbiz.de/10012180641
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Do conventional monetary policy instruments matter in unconventional times?
Buchholz, Manuel; Schmidt, Kirsten; Tonzer, Lena - 2019
-sensitive business model are more likely to reduce reserve holdings and allocate freed-up liquidity to loans. The result is driven by …
Persistent link: https://www.econbiz.de/10012041944
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CBDC policies in open economies
Kumhof, Michael; Pinchetti, Marco; Phurichai … - 2023
Persistent link: https://www.econbiz.de/10014320218