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regression discontinuity setup. The study uses a total of 285 pairs of contiguous counties along 38 segments of such regulation …
Persistent link: https://www.econbiz.de/10013316911
. Without regulation, funds hold insufficient deposits and must sell bonds when hit by large redemptions. Bond liquidation is …
Persistent link: https://www.econbiz.de/10013403692
This paper investigates both the magnitude and the drivers of bank window dressing behaviour in euro-denominated repo markets. Using a confidential transaction-level data set, our analysis illustrates that banks engineer an economically sizeable contraction in their repo transactions around...
Persistent link: https://www.econbiz.de/10014257807
has partial control over bank regulation it can exercise regulatory lenience. Two, the Fed's stronger output orientation … procyclical capital regulation …
Persistent link: https://www.econbiz.de/10013141874
The market turmoil in March 2020 highlighted key vulnerabilities in the EU money market fund (MMF) sector. This paper assesses the effectiveness of the EU's regulatory framework from a financial stability perspective, based on a panel analysis of EU MMFs at a daily frequency. First, we find that...
Persistent link: https://www.econbiz.de/10014236736
In this paper we examine the quantitative effects of margin regulation on volatility in asset markets. We consider a … of collateral constraints leads to strong excess volatility. Thus, a regulation of margin requirements may have … stabilizing effects. However, in line with the empirical evidence on margin regulation in U.S. stock markets, we show that changes …
Persistent link: https://www.econbiz.de/10013051665
This paper provides the first empirical evidence that bank regulation is associated with cross-border spillover effects … of host-country regulation …
Persistent link: https://www.econbiz.de/10013099025
We develop a dynamic structural model of bank behaviour that provides a microeconomic foundation for bank capital and liquidity structures and analyses the effects of changes in regulatory capital and liquidity requirements as well as their interaction. Our findings suggest that adjustments in...
Persistent link: https://www.econbiz.de/10012893728
This paper investigates the economic viability and welfare contribution of alternatives to issuer-paid credit rating agencies (CRAs). To this end, it introduces a heterogeneous competition model for credit and ratings markets. Frictions among issuers or investors induce rating inflation from...
Persistent link: https://www.econbiz.de/10013051165
I develop a model of money market funds (MMFs) to study the ability of sponsor support to provide stability to the industry. I find that strategic complementarities in the sponsors' support decisions can make MMFs vulnerable to runs different from the canonical bank-runs: it may lead to runs of...
Persistent link: https://www.econbiz.de/10013025469