significantly after the initial shock. We find evidence of a threshold in the benefits of expanding the collateral framework and …The paper studies the central bank collateral framework and its impact on banks' liquidity under an adverse stress test … scenarios: the EBA regulatory stress test exercise, a shock to Russia and the Eastern European countries, and a shock to the …

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 …

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 …

Eurosystem against non-HQLA collateral. This paper quantifies the extent of this liquidity transformation and finds that on … pledged vs new collateral, and the second approach compares the liquidity profile of the pool of pledged securities with banks …' total eligible securities holdings. Both approaches show that banks use their least liquid assets as collateral first and …