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A dynamic theory of collateral quality and long-term interventions
Lee, Michael Junho; Neuhann, Daniel - 2019
We study a dynamic model of collateralized lending under adverse selection in which the quality of collateral assets is endogenously determined by hidden effort. Complementarities in incentives lead to non-ergodic dynamics: Asset quality and output grow when asset quality is high, but stagnate...
Persistent link: https://www.econbiz.de/10012038843
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Responses to the financial crisis, treasury debt, and the impact on short-term money markets /Warren B. Hrung; Jason S. Seligman
Hrung, Warren B.; Seligman, Jason S. - 2011
Several programs have been introduced by US fiscal and monetary authorities in response to the financial crisis. We examine the responses involving Treasury debt - the Term Securities Lending Facility (TSLF), the Supplemental Financing Program, increases in Treasury issuance, and open market...
Persistent link: https://www.econbiz.de/10008935795
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Monetary cycles, financial cycles, and the business cycle
Adrian, Tobias; Estrella, Arturo; Shin, Hyun Song - 2010
One of the most robust stylized facts in macroeconomics is the forecasting power of the term spread for future real activity. The economic rationale for this forecasting power usually appeals to expectations of future interest rates, which affect the slope of the term structure. In this paper,...
Persistent link: https://www.econbiz.de/10003948217
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Does going easy on distressed banks help economic growth?
Hundtofte, Sean - 2017
banks. I estimate the real effects of such regulatory forbearance by comparing differences in state-level economic outcomes …
Persistent link: https://www.econbiz.de/10011729616
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Uncertain booms and fragility
Lee, Michael Junho - 2018
I develop a framework of the buildup and outbreak of financial crises in an asymmetric information setting. In equilibrium, two distinct economic states arise endogenously: "normal times", periods of modest investment, and "booms", periods of expansionary investment. Normal times occur when the...
Persistent link: https://www.econbiz.de/10011880642
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Heterogeneity and stability : bolster the strong, not the weak
Choi, Dong Beom - 2013
This paper provides a model of systemic panic among financial institutions with heterogeneous fragilities. Concerns about potential spillovers from each other generate strategic interaction among institutions, triggering a preemption game in which one tries to exit the market before the others...
Persistent link: https://www.econbiz.de/10010201301
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Estimating macroeconomic models of financial crises: an endogenous regime-switching approach
Benigno, Gianluca; Foerster, Andrew; Otrok, Christopher M. - 2020
We estimate a workhorse dynamic stochastic general equilibrium (DSGE) model with an occasionally binding borrowing constraint. First, we propose a new specification of the occasionally binding constraint, where the transition between the unconstrained and constrained states is a stochastic...
Persistent link: https://www.econbiz.de/10012309200
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Who can tell which banks will fail?
Blickle, Kristian; Brunnermeier, Markus Konrad; Luck, … - 2022
an equal outflow of retail and nonfinancial wholesale deposits from both ex-post failing and surviving banks. This … implies that regular depositors are unable to identify failing banks. In contrast, the interbank market precisely identifies … which banks will fail: the interbank market collapses for failing banks entirely but continues to function for surviving …
Persistent link: https://www.econbiz.de/10013161892
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Financial stability considerations for monetary policy : empirical evidence and challenges
Boyarchenko, Nina; Favara, Giovanni; Schularick, Moritz - 2022
This paper reviews literature on the empirical relationship between vulnerabilities in the financial system and the macroeconomy, and how monetary policy affects that connection. Financial vulnerabilities build up over time, with both risk appetite and risk taking rising during economic...
Persistent link: https://www.econbiz.de/10013161882
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Bank liquidity provision and Basel liquidity regulations
Roberts, Daniel; Sarkar, Asani; Shachar, Or - 2018
We examine liquidity creation per unit of assets by banks subject to the Liquidity Coverage Ratio (LCR) using the … asset pair with different LCR weights, and the differential implementation of LCR by the very large and less-large LCR banks …. We find that, since 2013, there has been reduced liquidity creation by LCR banks compared to non-LCR banks, occurring …
Persistent link: https://www.econbiz.de/10011868438