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Funding behaviour of debt management offices and the ECB's Public Sector Purchase Programme
Plessen-Mátyás, Katharina; Kaufmann, Christoph; … - 2021
This paper investigates whether the funding behaviour of euro area debt management offices (DMOs) changed with the start of the ECB's Public Sector Purchase Programme (PSPP). Our results show that (i) lower yield levels and (ii) PSPP purchases supported higher maturities at issuance. The former...
Persistent link: https://www.econbiz.de/10012518265
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Economic crises and the eligiblity for the lender of last resort : evidence from 19th century France
Bignon, Vincent; Jobst, Clemens - 2017
This paper uses panel econometric techniques to estimate a macro-financial model for fee and commission income over total assets for a broad sample of euro area banks. Using the estimated parameters, it conducts a scenario analysis projecting the fee and commission income ratio over a three...
Persistent link: https://www.econbiz.de/10011637365
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Interbank lending, credit risk premia and collateral
Heider, Florian; Hoerova, Marie - 2009
secured and unsecured markets following an adverse shock to credit risk. The scarcity of underlying collateral may amplify the … crisis ; Interbank market ; Liquidity ; Credit risk ; Collateral …
Persistent link: https://www.econbiz.de/10003963805
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From cash- to securities-driven euro area repo markets : the role of financial stress and safe asset scarcity
Brand, Claus; Ferrante, Lorenzo; Hubert, Antoine - 2019
reflected by large discrepancies in country-specific interest rates on General Collateral. To ensure robustness of our empirical …
Persistent link: https://www.econbiz.de/10011975490
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Capital and liquidity buffers and the resilience of the banking system in the euro area
Budnik, Katarzyna; Bochmann, Paul - 2017
How do capital and liquidity buffers affect the evolution of bank loans in periods of financial and economic distress? To answer this question we study the responses of 219 individual banks to aggregate demand, standard and unconventional monetary policy shocks in the euro area between 2007 and...
Persistent link: https://www.econbiz.de/10011771997
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Central bank asset purchases and auction cycles revisited : new evidence from the euro area
Ferrara, Federico M. - 2024
This study provides new evidence on the relationship between unconventional monetary policy and auction cycles in the euro area. Using proprietary data on purchases of public sector securities implemented by the Eurosystem, the paper examines the flow effects of asset purchase programmes on...
Persistent link: https://www.econbiz.de/10014527031
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The rise of bond financing in Europe
Darmouni, Olivier; Papoutsi, Melina - 2022
The rise of bond financing in EuropeUsing large panel data of public and private firms, this paper dissects the growth of bond financing in the Euro Area through the lens of the cross-section of issuers. In recent years, the composition of bond issuers has shifted, with the entry of many smaller...
Persistent link: https://www.econbiz.de/10013198743
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Corporate loans, banks' internal risk estimates and central bank collateral : evidence from the euro area
Calza, Alessandro; Hey, Julius-Benjamin; Parrini, Alessandro - 2021
the credit risk of their corporate loan portfolios when the latter are used as collateral in the Eurosystem's monetary … actually used as Eurosystem collateral, particularly for large loans. The less conservative estimates of risk by IRBs relative … findings suggest the existence of a collateral-related channel through which the use of IRB ratings may influence the internal …
Persistent link: https://www.econbiz.de/10012596313
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Does liquidity regulation impede the liquidity profile of collateral?
Schmidt, Kirsten - 2019
their regulatory ratio by altering their collateral pledging with the European Central Bank. We use the existence of … assets. Using security-level information on collateral pledged with the central bank, we find that banks without a preceding … national liquidity requirement pledge more and less liquid collateral than banks with a preceding national liquidity …
Persistent link: https://www.econbiz.de/10011994641
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The price of liquidity : the effects of market conditions and bank characteristics
Fecht, Falko; Nyborg, Kjell G.; Rocholl, Jörg - 2011
We study the prices that individual banks pay for liquidity (captured by borrowing rates in repos with the central bank and benchmarked by the overnight index swap) as a function of market conditions and bank characteristics. These prices depend in particular on the distribution of liquidity...
Persistent link: https://www.econbiz.de/10009380429