Similar Search Results

Sohn, Hyun-U; Sornette, Didier - 2020

We propose an extension of the class of rational expectations bubbles (REBs) to the more general rational beliefs setting of Kurz (1994a,b). In a potentially non-stationary but stationarizable environment, among an heterogenous population of agents, it is possible to hold more than one...

Persistent link: https://www.econbiz.de/10012181099

Banks' demand for reserves when future monetary policy is uncertain

Nautz, Dieter - In: Journal of monetary economics 42 (1998) 1, pp. 161-183

Persistent link: https://www.econbiz.de/10001239407

Bank capital, liquid reserves, and insolvency risk

Hugonnier, Julien; Morellec, Erwan - 2015

We develop a dynamic model of banking to assess the effects of liquidity and leverage requirements on banks' insolvency … regulatory requirements. Our analytic characterization of the bank policy choices shows that imposing solely liquidity … requirements leads to lower bank losses in default at the cost of an increased likelihood of default. Combining liquidity …

Persistent link: https://www.econbiz.de/10011293576

A model of liquidity hoarding and term premia in inter-bank markets

Acharya, Viral V.; Skeie, David - In: Journal of monetary economics 58 (2011) 4, pp. 436-447

Persistent link: https://www.econbiz.de/10009317523

Risky arbitrage and collateral policies

Zhang, Ally Quan - 2017 - Last Update: October 6, 2017

collateral constraint helps maintain the stability at the cost of market liquidity supply …

Persistent link: https://www.econbiz.de/10011874838

Risk spillovers and interconnectedness between systemically important institutions

Andrieş, Alin Marius; Ongena, Steven; Sprincean, Nicu; … - 2020 - This version: May 9, 2020

In this paper we gauge the degree of interconnectedness and quantify the linkages between global and other systemically important institutions, and the global financial system. We document that the two groups and the financial system become more interconnected during the global financial crisis...

Persistent link: https://www.econbiz.de/10012219367

The price of protection : derivatives, default risk, and margining

Gibson, Rajna; Murawski, Carsten - 2008

We investigate the effects of margining, a widely-used mechanism to attach collateral to derivatives contracts, on derivatives' trading volume, default risk, and on the welfare in the banking sector. First, we develop a stylized banking sector equilibrium model to derive a set of testable...

Persistent link: https://www.econbiz.de/10003966202

Liquidity, innovation and growth

Berentsen, Aleksander; Rojas Breu, Mariana; Shi, Shouyong - In: Journal of monetary economics 59 (2012) 8, pp. 721-737

Persistent link: https://www.econbiz.de/10009702394

Price impact of aggressive liquidity provision

Gençay, Ramazan; Mahmoodzadeh, Soheil; Rojček, Jakub; … - 2016

This paper analyzes brief episodes of high-intensity quotes turnover and revision-"bursts" in quotes-in the U.S. equity market. Such events occur very frequently, several hundred times a day for actively traded stocks. We find significant price impact associated with these market makers...

Persistent link: https://www.econbiz.de/10011516027

Liquidation with self-exciting price impact

Cayé, Thomas; Muhle-Karbe, Johannes - 2014

We study optimal execution with "self-exciting" price impact, where persistent trades not only incur price impact but also increase the execution costs for successive orders. This model is motivated by an equilibrium between fundamental sellers, market makers, and end users. For risk-neutral...

Persistent link: https://www.econbiz.de/10011293738

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