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Eisenbach, Thomas M.; Phelan, Gregory - 2018

In standard Walrasian macro-finance models, pecuniary externalities such as fire sales lead to overinvestment in illiquid assets or underprovision of liquidity. We investigate whether imperfect competition (Cournot) improves welfare through internalizing the externality and find that this is far...

Persistent link: https://www.econbiz.de/10011806238

Credit risk transfer and de facto GSE reform

Finkelstein, David L.; Strzodka, Andreas; Vickery, James - 2018

We summarize and evaluate Fannie Mae and Freddie Mac's credit risk transfer (CRT) programs, which have been used since 2013 to shift a portion of credit risk on more than $1.8 trillion of mortgages to private sector investors. We argue that the CRT programs have been successful in reducing the...

Persistent link: https://www.econbiz.de/10011806244

The prudential toolkit with shadow banking

Hachem, Kinda; Kunci, Martin - 2025 - Revised March 2025

Several countries now require banks or money market funds to impose state-contingent costs on shortterm creditors to absorb financial stress. We study these requirements as part of the broader prudential toolkit in a model with five key ingredients: banks may face an aggregate stress state with...

Persistent link: https://www.econbiz.de/10015329942

(Pro?)-cyclicality of collateral haircuts and systemic illiquidity

Glaser, Florian; Panz, Sven - 2016

Procyclicality of collateral haircuts and margins has become a widely proclaimed behavior and is currently discussed not only by academic literature but also by regulatory authorities in Europe. Procyclicality of haircuts is assumed to be a trigger of liquidity spirals due to its tightening...

Persistent link: https://www.econbiz.de/10011975294

Interbank credit exposures and financial stability

Schneorson, Oren - 2022

connectivity may destabilize the financial system via the bank-run channel. This is because it decreases the risk-sharing benefits … of interbank connectivity. A bank-run model features two islands that are connected via a long term debt claim. Varying … the size of this claim (interbank connectivity), I study how the decision to 'run on the bank' is affected. I run a …

Persistent link: https://www.econbiz.de/10013350529

Double bank runs and liquidity risk management

Ippolito, Filippo; Peydró, José-Luis; Polo, Andrea; … - 2016

By providing liquidity to depositors and credit line borrowers, banks are exposed to doubleruns on assets and liabilities. For identification, we exploit the 2007 freeze of the European interbank market and the Italian Credit Register. After the shock, there are sizeable, aggregate double-runs....

Persistent link: https://www.econbiz.de/10011974718

Do interbank interest rates reflect the financial soundness of borrowing banks?

Bwire, Thomas; Brownbridge, Martin; Rubatsimbira, Doreen K. - 2019

Persistent link: https://www.econbiz.de/10012137736

How do global banks scramble for liquidity? : evidence from the asset-backed commercial paper freeze of 2007

Acharya, Viral V.; Afonso, Gara; Kovner, Anna - 2013

In August of 2007, banks faced a freeze in funding liquidity from the asset-backed commercial paper (ABCP) market. We investigate how banks scrambled for liquidity in response to this freeze and its implications for corporate borrowing. Commercial banks in the United States raised deposits and...

Persistent link: https://www.econbiz.de/10009781869

How excessive is banks' maturity transformation?

Segura, Anatoli; Suárez, Javier - 2016

We quantify the gains from regulating maturity transformation in a model of banks which finance long-term assets with non-tradable debt. Banks choose the amount and maturity of their debt trading off investors' preference for short maturities with the risk of systemic crises. Pecuniary...

Persistent link: https://www.econbiz.de/10011974655

A quantitative analysis of the countercyclical capital buffer

Faria-e-Castro, Miguel - 2021

What are the quantitative macroeconomic effects of the countercyclical capital buffer (CCyB)? I study this question in a nonlinear DSGE model with occasional financial crises, which is calibrated and combined with US data to estimate sequences of structural shocks. Raising capital buffers during...

Persistent link: https://www.econbiz.de/10012550321