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The market turmoil in March 2020 highlighted key vulnerabilities in the EU money market fund (MMF) sector. This paper assesses the effectiveness of the EU's regulatory framework from a financial stability perspective, based on a panel analysis of EU MMFs at a daily frequency. First, we find that...
Persistent link: https://www.econbiz.de/10013390997
. Without regulation, funds hold insufficient deposits and must sell bonds when hit by large redemptions. Bond liquidation is …
Persistent link: https://www.econbiz.de/10013329424
has partial control over bank regulation it can exercise regulatory lenience. Two, the Fed's stronger output orientation … procyclical capital regulation. - Monetary policy ; capital regulation ; crisis …
Persistent link: https://www.econbiz.de/10003986675
This paper investigates both the magnitude and the drivers of bank window dressing behaviour in euro-denominated repo markets. Using a confidential transaction-level data set, our analysis illustrates that banks engineer an economically sizeable contraction in their repo transactions around...
Persistent link: https://www.econbiz.de/10013547917
to (i) the liquidity regulation of AMs and (ii) the solvency regulation of IIs can improve upon the competitive …
Persistent link: https://www.econbiz.de/10012511085
We compare networks constructed using five commonly used methods and publicly available daily market data to networks based on reported exposures along several dimensions of the balance sheet, i.e., loans, bonds, equity. Our findings suggest that while the global network structure remains...
Persistent link: https://www.econbiz.de/10014482892
existing capital regulation by tackling this issue. Welfare-maximizing DPTs are effective (more than the CCyB) in smoothing the … a Basel III-type of capital regulation through various channels. …
Persistent link: https://www.econbiz.de/10012241228
how to treat sovereign exposures in bank regulation. Our contribution is to model endogenous sovereign portfolio …
Persistent link: https://www.econbiz.de/10012061145
regulation on the national level. …
Persistent link: https://www.econbiz.de/10011994641
We examine rating behaviour after the introduction of new regulations regarding Credit Rating Agencies (CRAs) in the European securitisation market. Employing a large sample of 12,469 ABS tranches issued between 1998 and 2018, we examine the information content of yield spreads of ABS at the...
Persistent link: https://www.econbiz.de/10014507193