credit via revaluation of collateral and subsequent lending decisions. Specifically we examine banks' treatment of real … estate collateral during the Covid-19 crisis. First we find evidence of significant frictions in the transmission of asset … price dynamics to collateral values. Despite this we find that lending relationships reliant on real estate collateral …

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 …

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 …

The paper studies the central bank collateral framework and its impact on banks' liquidity under an adverse stress test … significantly after the initial shock. We find evidence of a threshold in the benefits of expanding the collateral framework and … institutions can rely on the collateral framework channel. …

We show that the liquidation value of collateral depends on who is pledging it. We employ transaction-level data on … collateral that they pledge. The premium in corporate loan markets amounts to 25 basis points. Our results imply that liquidation … value contains a component at the borrower-collateral level, and that lenders monitor and price-in the interdependency …

In this paper we examine the effects of limited liability on mortgage dynamics. While the literature has focused on …

euro area, repayments of the mortgage loans granted in the boom preceding the financial crisis have been dragging down net …

-sponsored mortgage guarantees by Fannie Mae and Freddie Mac. …