Narrow search
Showing 1 - 10 of 232
Cover Image
MRO bidding in the presence of LTROs: an empirical analysis of the pre-crisis period
Vogel, Edgar - 2014
Using individual data from the Eurosystem’s liquidity providing tenders for the pre-crisis period we investigate banks’ joint bidding behaviour in Main Refinancing Operation (MRO) and Longer Term Refinancing Operations (LTRO). We test whether banks bid at lower rates in MROs before the LTRO...
Persistent link: https://www.econbiz.de/10011605798
Cover Image
MRO Bidding in the Presence of LTROs : An Empirical Analysis of the Pre-crisis Period
Vogel, Edgar - 2014
Using individual data from the Eurosystem's liquidity providing tenders for the pre-crisis period we investigate banks' joint bidding behaviour in Main Refinancing Operation (MRO) and Longer Term Refinancing Operations (LTRO). We test whether banks bid at lower rates in MROs before the LTRO and...
Persistent link: https://www.econbiz.de/10013040608
Cover Image
Re-use of collateral: Leverage, volatility, and welfare
Brumm, Johannes; Grill, Michael; Kubler, Felix; … - 2018
We assess the quantitative implications of collateral re-use on leverage, volatility, and welfare within an infinite … used to back more transactions. Re-use thus contributes to the buildup of leverage and significantly increases volatility … leverage and lower welfare. So the analysis in this paper provides a rationale for limiting, yet not banning, re-use in …
Persistent link: https://www.econbiz.de/10012142062
Cover Image
Contagious herding and endogenous network formation in financial networks
Georg, Co-Pierre - 2014
When banks choose similar investment strategies, the financial system becomes vulnerable to common shocks. Banks decide about their investment strategy ex-ante based on a private belief about the state of the world and a social belief formed from observing the actions of peers. When the social...
Persistent link: https://www.econbiz.de/10011605745
Cover Image
What Drives the Network’s Growth? An Agent-Based Study of the Payment Card Market
Alexandrova-Kabadjova, Biliana - 2010
This paper investigates the impact on the network growth of the level of merchant discount, the level of Multilateral Interchange Fee (MIF), and the consumers' and the merchants' awareness of positive network effects. In an artificial market, in which issuers and acquirers belong to the same...
Persistent link: https://www.econbiz.de/10013149845
Cover Image
The systemic implications of bail-in: a multi-layered network approach
Hüser, Anne-Caroline; Hałaj, Grzegorz; Kok, Christoffer; … - 2017
We present a tractable framework to assess the systemic implications of bail-in. To this end, we construct a multi-layered network model where each layer represents the securities cross holdings of a specific seniority among the largest euro area banking groups. On this basis, the bail-in of a...
Persistent link: https://www.econbiz.de/10011606055
Cover Image
Interconnected banks and systemically important exposures
Roncoroni, Alan; Battiston, Stefano; D'Errico, Marco; … - 2019
We study the interplay between two channels of interconnectedness in the banking system. The first one is a direct interconnectedness, via a network of interbank loans, banks' loans to other corporate and retail clients, and securities holdings. The second channel is an indirect...
Persistent link: https://www.econbiz.de/10012389534
Cover Image
Interbank asset-liability networks with fire sale management
Feinstein, Zachary; Ha±aj, Grzegorz - 2023
Interconnectedness is an inherent feature of the modern financial system. While it contributes to efficiency of financial services, it also creates structural vulnerabilities: pernicious shock transmission and amplification impacting banks' capitalization. This has recently been seen during the...
Persistent link: https://www.econbiz.de/10014374594
Cover Image
Interconnected Banks and Systemically Important Exposures
Roncoroni, Alan - 2019
We study the interplay between two channels of interconnectedness in the banking system. The first one is a direct interconnectedness, via a network of interbank loans, banks' loans to other corporate and retail clients, and securities holdings. The second channel is an indirect...
Persistent link: https://www.econbiz.de/10012858962
Cover Image
Multi-Layered Interbank Model For Assessing Systemic Risk
Montagna, Mattia - 2016
In this paper, we develop an agent-based multi-layered interbank network model based on a sample of large EU banks. The model allows for taking a more holistic approach to interbank contagion than is standard in the literature. A key finding of the paper is that there are material...
Persistent link: https://www.econbiz.de/10012984392