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How does the Repo market behave under stress? : evidence from the COVID-19 crisis

Hüser, Anne-Caroline; Lepore, Caterina; Veraart, Luitgard - 2021

We examine how the repo market operates during liquidity stress by applying network analysis to novel transaction … behaviour of banks and non-banks in recent liquidity stress and on widening participation in CCPs by nonbanks …

Persistent link: https://www.econbiz.de/10012796211

Liquidity ratios as monetary policy tools : some historical lessons for macroprudential policy

Monnet, Eric; Vari, Miklos - 2019

on numerous historical documents, we show that liquidity ratios similar to the Liquidity Coverage Ratio (LCR) were … mechanisms described by contemporary central bankers, in which an increase in the liquidity ratio has contractionary effects …

Persistent link: https://www.econbiz.de/10012103606

Managing macrofinancial risk

Adrian, Tobias; Vitek, Francis - 2020

We augment a linearized dynamic stochastic general equilibrium (DSGE) model with a tractable endogenous risk mechanism, to support the joint analysis of monetary and macroprudential policy. This state dependent conditional heteroskedasticity mechanism specifies the conditional variances of...

Persistent link: https://www.econbiz.de/10012300643

Managing Systemic Liquidity Risk in Financially Dollarized Economies

Levy Yeyati, Eduardo - 2005

This paper evaluates ways to protect highly dollarized banking systems from systemic liquidity runs (such as the ones … the use of limited dollar liquidity to ensure the convertibility of transactional deposits with a mechanism that … automatically limits the convertibility of dollar term deposits once triggered by a predetermined decline in banks'' liquidity …

Persistent link: https://www.econbiz.de/10014404199

Day-To-Day Monetary Policy and the Volatility of the Federal Funds Interest Rate

Prati, Alessandro - 2000

We propose a model of the interbank money market with an explicit role for central bank intervention and periodic reserve requirements, and study the interaction of profit-maximizing banks with a central bank targeting interest rates at high frequency. The model yields predictions on biweekly...

Persistent link: https://www.econbiz.de/10014399599

Financial Structure, Bank Lending Rates, and the Transmission Mechanism of Monetary Policy

Kourelis, Angeliki - 1994

The stickiness of bank lending rates with respect to money market rates is often regarded as an obstacle to the smooth transmission of monetary policy impulses. Yet, no systematic measure of the different degree of lending rate stickiness across countries has been attempted. This paper provides...

Persistent link: https://www.econbiz.de/10014396171

Banks' Reserve Management, Transaction Costs, and the Timing of Federal Reserve Intervention

Bertola, Giuseppe - 2000

analyze a model of the federal funds market where uncertain liquidity flows and transaction costs induce banks to delay …

Persistent link: https://www.econbiz.de/10014400093

A Model of the Lender of Last Resort

Huang, Haizhou - 1999

This paper develops a model of the lender of last resort. It provides an analytical basis for “too big too fail” and a rationale for “constructive ambiguity”. Key results are that if contagion (moral hazard) is the main concern, the Central Bank (CB) will have an excessive (little)...

Persistent link: https://www.econbiz.de/10014400390

Central Bank Vulnerability and the Credibility of Commitments : A Value-At-Risk Approach to Currency Crises

Schumacher, Liliana - 1998

A loss of solvency increases central bank vulnerability, reducing the credibility of commitments to defend a nominal regime, including an exchange rate peg. This paper develops a methodology to assess central bank solvency and exposure to risk. The measure, based on Value-at-Risk, is frequently...

Persistent link: https://www.econbiz.de/10014400710

The Bright and the Dark Side of Cross-Border Banking Linkages

Muñoz, Sònia - 2011

When a country''s banking system becomes more linked to the global banking network, does that system get more or less prone to a banking crisis? Using model simulations and econometric estimates based on a world-wide dataset, we find an M-shaped relationship between financial stability of a...

Persistent link: https://www.econbiz.de/10014398526

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