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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

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

(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

Why are banks not recapitalized during crises?

Crosignani, Matteo - 2017

, in the context of the eurozone periphery, the increase in domestic government bond holdings, the reduction of bank credit …

Persistent link: https://www.econbiz.de/10011978342

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

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

Discussion of "Systemic Risk and the Solvency-Liquidity Nexus of Banks"

Adrian, Tobias - 2015

Pierret (2015) presents empirical analysis of the solvency-liquidity nexus for the banking system, documenting that a shock to the level of banks' solvency risk is followed by lower short-term debt. Conversely, higher short-term debt Granger-causes higher solvency risk. These results point...

Persistent link: https://www.econbiz.de/10010502655

The effect of the central bank liquidity support during pandemics : evidence from the 1918 influenza pandemic

Anderson, Haelim Park; Chang, Jin Wook; Copeland, Adam - 2020

The coronavirus outbreak raises the question of how central bank liquidity support affects financial stability and … promotes economic recovery. Using newly assembled data on cross-county flu mortality rates and state-charter bank balance … withdrawals. Banks that were members of the Federal Reserve System were able to access central bank liquidity, enabling them to …

Persistent link: https://www.econbiz.de/10012224329

Dealer financial conditions and lender-of-last-resort facilities

Acharya, Viral V.; Fleming, Michael J.; Hrung, Warren B.; … - 2014

We examine the financial conditions of dealers that participated in two of the Federal Reserve's lender-of-last-resort (LOLR) facilities -- the Term Securities Lending Facility (TSLF) and the Primary Dealer Credit Facility (PDCF) -- that provided liquidity against a range of assets during...

Persistent link: https://www.econbiz.de/10010404154