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The (unintended?) consequences of the largest liquidity injection ever
Crosignani, Matteo; Faria-e-Castro, Miguel; Fonseca, Luís - 2016
We study the design of lender of last resort interventions and show that the provision of long-term liquidity …-term domestic government bonds that could be pledged to obtain central bank liquidity. This "collateral trade" effect is large, as …
Persistent link: https://www.econbiz.de/10011975661
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A profit-to-provisioning approach to setting the countercyclical capital buffer : the Czech example
Pfeifer, Lukáš; Hodula, Martin - 2018
Over the last few years, national macroprudential authorities have developed different strategies for setting the countercyclical capital buffer (CCyB) rate in the banking sector. The existing approaches are based on various indicators used to identify the current phase of the financial cycle....
Persistent link: https://www.econbiz.de/10011978802
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Systemic illiquidity in the interbank network
Ferrara, Gerardo; Langfield, Sam; Liu, Zijun; Ota, Tomohiro - 2018
We study systemic illiquidity using a unique dataset on banks' daily cash flows, short-term interbank funding and liquid asset buffers. Failure to roll-over short-term funding or repay obligations when they fall due generates an externality in the form of systemic illiquidity. We simulate a...
Persistent link: https://www.econbiz.de/10011978830
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A dynamic theory of mutual fund runs and liquidity management
Zeng, Yao - 2017
I model an open-end mutual fund investing in illiquid assets and show that the fund's endogenous cash management can generate shareholder runs even with a flexible NAV. The fund optimally re-builds its cash buffers at time t + 1 after outflows at t to prevent future forced sales of illiquid...
Persistent link: https://www.econbiz.de/10011976823
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Financial fragility in open-ended mutual funds : the role of liquidity management tools
Dunne, Peter G.; Emter, Lorenz; Fecht, Falko; Giuliana, … - 2023
We study the role of liquidity management tools (LMTs) in mitigating financial fragility in investment funds during the …
Persistent link: https://www.econbiz.de/10014230325
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Do liquidity limits amplify money market fund redemptions during the COVID crisis?
Dunne, Peter G.; Giuliana, Raffaele - 2021
Regulation of Money Market Funds (MMFs) in the EU requires some categories of MMFs to consider applying liquidity … management tools if they breach a minimum 'weekly' liquidity requirement. Anticipation of the application of such tools is a … liquidity thresholds explains differences in redemptions both at the start of the COVID-19 crisis and in the following months …
Persistent link: https://www.econbiz.de/10012670037
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Strategic complementarity in banks' funding liquidity choices and financial stability
Silva, André - 2016
This paper examines whether banks' liquidity and maturity mismatch decisions are affected by the choices of competitors … and the impact of these coordinated funding liquidity policies on financial stability. Using a novel identification … strategy where interactions are structured through decision networks, I show that banks do consider their peers' liquidity …
Persistent link: https://www.econbiz.de/10011975055
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Macroprudential policy with liquidity panics
Garcia-Macia, Daniel; Villacorta, Alonso - 2016
of a freeze, inducing firms to hoard even more liquid assets. Liquidity panics provide a new rationale for stricter … liquidity requirements, as this policy alleviates the informational frictions in the banking sector and paradoxically can end up …
Persistent link: https://www.econbiz.de/10011975272
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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
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What drives sovereign debt portfolios of banks in a crisis context?
Lamas, Matías; Mencía, Javier - 2019
strong link is present between central bank liquidity support and sovereign holdings, opportunistic strategies or reach … advantage of their higher risk-bearing capacity to gain exposure (via central bank liquidity) to the set of riskier sovereign …
Persistent link: https://www.econbiz.de/10011978836