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during the 19th century to facilitate interregional payments and flows of liquidity and credit. Vast sums moved through the … the system's resilience to solvency and liquidity shocks and whether these shocks might have been contagious. We find that … the interbank system became more resilient to solvency shocks but less resilient to liquidity shocks as banks sharply …
Persistent link: https://www.econbiz.de/10011578151
The convention in calculating trading costs in corporate bond markets is to assume that dealers provide liquidity to … provide liquidity in corporate bond markets, and thus, average bid-ask spreads underestimate trading costs that customers … demanding liquidity pay. Compared with periods before the 2008 financial crisis, substantial amounts of liquidity provision have …
Persistent link: https://www.econbiz.de/10011803677
Persistent link: https://www.econbiz.de/10012388264
as to provide liquidity and risk-sharing services to the real economy. Our modifications create wedges in the asset and … joint implementation of a capital and a liquidity regulation …
Persistent link: https://www.econbiz.de/10011803125
This paper examines whether banks strategically incorporate their competitors' liquidity mismatch policies when … exploiting the presence of partially overlapping peer groups, I show that banks' liquidity transformation activity is driven by …' default risk and overall systemic risk, highlighting the importance of regulating liquidity risk from a macroprudential …
Persistent link: https://www.econbiz.de/10012182410
I develop a model where the sovereign debt capacity depends on the capitalization of domestic banks. Low-capital banks optimally tilt their government bond portfolio toward domestic securities, linking their destiny to that of the sovereign. If the sovereign risk is sufficiently high,...
Persistent link: https://www.econbiz.de/10011710170
We investigate how liquidity regulations affect banks by examining a dormant monetary policy tool that functions as a … liquidity regulation. Our identification strategy uses a regression kink design that relies on the variation in a marginal high … credit supply. Liquidity requirements also depress banks' profitability, though some of the regulatory costs are passed on to …
Persistent link: https://www.econbiz.de/10012181216
We construct a novel U.S. data set that matches bank holding company credit default swap (CDS) positions to detailed U.S. credit registry data containing both loan and corporate bond holdings to study the effects of banks' CDS use on corporate credit quality. Banks may use CDS to mitigate agency...
Persistent link: https://www.econbiz.de/10011932424
We present a dynamic structural model of subprime adjustable-rate mortgage (ARM) borrowers making payment decisions taking into account possible consequences of different degrees of delinquency from their lenders. We empirically implement the model using unique data sets that contain information...
Persistent link: https://www.econbiz.de/10011499436
Persistent link: https://www.econbiz.de/10009405762