unsecured lending and substantial increases in haircuts on posted collateral. This paper seeks to understand the implications of …

central bank collateral framework and regulation determine jointly the ability of the banking system to deliver maturity … bank collateral and why a sudden non-anticipated reduction of asset liquidity, or a tightening of the collateral framework …, can destabilize short term liabilities of banks. Finally, the model allows discussing how the collateral framework can be …

The paper studies the central bank collateral framework and its impact on banks’ liquidity under an adverse stress test … significantly after the initial shock. We find evidence of a threshold in the benefits of expanding the collateral framework and … institutions can rely on the collateral framework channel …

This paper examines the role of collateral in the financial system, with special emphasis on the implications for … financial collateral assets. Then we examine financial stability issues and the case for regulating the use of collateral. We … use of collateral is neither a sufficient nor a necessary condition for financial stability. To ensure the stability of …

the credit risk of their corporate loan portfolios when the latter are used as collateral in the Eurosystem’s monetary … actually used as Eurosystem collateral, particularly for large loans. The less conservative estimates of risk by IRBs relative … findings suggest the existence of a collateral-related channel through which the use of IRB ratings may influence the internal …

repurchase agreements ('Repos'). By varying haircuts applied to securities that serve as collateral in repurchase agreements the …

on a simple asset pricing model and employing a dataset of hypothetical Eurosystem collateral positions, we simulate and … quantify the resulting change in collateral value pledged by counterparties to the Eurosystem, resulting from a transaction … cost shock. A 10 basis point increase in transaction costs entails a direct -0.30% decrease of collateral value and a -0 …