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is generally small. Surprisingly, we find that spill-overs of bank-related events are not significantly different from …
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When a bank experiences a negative shock to its equity, one way to return to target leverage is to sell assets. If … asset sales occur at depressed prices, then one bank's sales may impact other banks with common exposures, resulting in … explains how the distribution of bank leverage and risk exposures contributes to a form of systemic risk. We compute bank …
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run simulations of bank valuations and asset prices under a set of stress scenarios. …
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The Global Financial Crisis fostered the design and adoption of macroprudential policies throughout the world. This raises important questions for monetary policy. What, if any, is the relationship between monetary and macroprudential policies? In particular, how does the effectiveness of...
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. Upon the arrival of a signal about banks' future defaults, investors update their expectations of bank solvency. If their …
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It is argued that bidders in liquidity-providing central bank operations should typically possess declining marginal … valuations. Based on this hypothesis, we construct an equilibrium in central bank refinancing operations organised as variable …
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