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The Importance of Being Special : Repo Markets During the Crisis
Corradin, Stefano - 2017
Specialness - the premium of procuring a specific security in the repo market - increased in the second half of 2011 for Italian government bonds. We assess the impact on specialness of the outright purchase program of the Eurosystem during the same period. Bonds bought by the Eurosystem had...
Persistent link: https://www.econbiz.de/10012953479
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On the Optimal Control of Interbank Contagion in the Euro Area Banking System
Fukker, Gábor; Kok, Christoffer - 2021
In this paper we present a methodology of model-based calibration of additional capital needed in an interconnected financial system to minimize potential contagion losses. Building on ideas from combinatorial optimization tailored to controlling contagion in case of complete information about...
Persistent link: https://www.econbiz.de/10013226863
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Contagion Accounting
Aldasoro, Iñaki; Hüser, Anne-Caroline; Kok, Christoffer - 2021
We provide a simple and tractable accounting-based stress-testing framework to assess loss dynamics in the banking sector, in a context of leverage targeting. Contagion can occur through direct interbank exposures, and indirect exposures due to overlapping portfolios with the associated price...
Persistent link: https://www.econbiz.de/10013314832
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Cyclical Systemic Risk and Downside Risks to Bank Profitability
Lang, Jan Hannes - 2020
This paper studies the impact of cyclical systemic risk on future bank profitability for a large representative panel … risk predict large drops in the average bank-level return on assets (ROA) with a lead time of 3-5 years. Based on quantile … local projections we further show that the negative impact of cyclical systemic risk on the left tail of the future bank …
Persistent link: https://www.econbiz.de/10012834322
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Window Dressing of Regulatory Metrics : Evidence from Repo Markets
Bassi, Claudio; Behn, Markus; Grill, Michael; Waibel, Martin - 2023
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
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From Cash- to Securities-Driven Euro Area Repo Markets : The Role of Financial Stress and Safe Asset Scarcity
Brand, Claus - 2019
Focusing on repo specialness premia, using ISIN-specific transaction-by-transaction data of one-day maturity repos, we document a gradual shift from cash- to securities-driven transactions in euro area repo markets over the period 2010-2018. Compared to earlier studies focusing only on specific...
Persistent link: https://www.econbiz.de/10012893730
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The dynamics of spillover effects during the European sovereign debt crisis
Alter, Adrian; Beyer, Andreas - 2013
In this paper we develop empirical measures for the strength of spillover effects. Modifying and extending the framework by Diebold and Yilmaz (2011), we quantify spillovers between sovereign credit markets and banks in the euro area. Spillovers are estimated recursively from a vector...
Persistent link: https://www.econbiz.de/10011605603
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Margin regulation and volatility
Brumm, Johannes; Kubler, Felix; Grill, Michael; … - 2014
In this paper we examine the quantitative effects of margin regulation on volatility in asset markets. We consider a general equilibrium infinite-horizon economy with heterogeneous agents and collateral constraints. There are two assets in the economy which can be used as collateral for...
Persistent link: https://www.econbiz.de/10011605743
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The systemic implications of bail-in: a multi-layered network approach
Hüser, Anne-Caroline; Hałaj, Grzegorz; Kok, Christoffer; … - 2017
banking groups. On this basis, the bail-in of a bank can be simulated to identify the direct contagion risk to the other banks …
Persistent link: https://www.econbiz.de/10011606055
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Government guarantees and the two-way feedback between banking and sovereign debt crises
Leonello, Agnese - 2017
This paper studies the effects of government guarantees on the interconnection between banking and sovereign debt crises in a framework where both the banks and the government are fragile and the credibility and feasibility of the guarantees are determined endogenously. The analysis delivers...
Persistent link: https://www.econbiz.de/10011804382