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Central Counterparty Loss Allocation and Transmission of Financial Stress
Heath, Alexandra; Kelly, Gerard; Manning, Mark - Reserve Bank of Australia - 2015
clearing configurations, but extends the analysis in two main ways. First, rather than using simulated data, it uses actual …
Persistent link: https://www.econbiz.de/10011202988
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Central Counterparty Links and Clearing System Exposures
Cox, Nathanael; Garvin, Nicholas; Kelly, Gerard - Reserve Bank of Australia - 2013
exposed to one another through the possibility of a CCP default. The change in system exposure resulting from these two …
Persistent link: https://www.econbiz.de/10010815228
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The impact of the financial crisis on transfer systems.
Lucas, Y. - In: Quarterly selection of articles - Bulletin de la Banque … (2009) 14, pp. 39-45
During the financial crisis of the last few months, transfer systems have been faced with extreme, operating conditions. In spite of the scale of the shocks, transfer systems have functioned well and demonstrated their resilience. The financial crisis has also highlighted the importance of...
Persistent link: https://www.econbiz.de/10009274740
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Central Clearing and Asset Prices
Menkveld, Albert J.; Pagnotta, Emiliano; Zoican, Marius A. - Tinbergen Instituut - 2013
We investigate the effects of introducing a central clearing counterparty (CCP) on securities prices by adopting as an …
Persistent link: https://www.econbiz.de/10011256681
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Inflation, Growth and Exchange Rate Regimes in Small Open Economies
Hernandez-Verme, Paula - Volkswirtschaftliche Fakultät, … - 2002
Summary. This is an extended working paper version of the paper that appeared in Economic Theory. It paper compares the merits of alternative exchange rate regimes in small open economies where financial intermediaries perform a real allocative function, there are multiple reserve requirements,...
Persistent link: https://www.econbiz.de/10005037728
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Reprint of: Market liquidity in the financial crisis: The role of liquidity commonality and flight-to-quality
Rösch, Christoph G.; Kaserer, Christoph - In: Journal of Banking & Finance 45 (2014) C, pp. 152-170
We examine the dynamics and the drivers of market liquidity during the financial crisis, using a unique volume-weighted spread measure. According to the literature we find that market liquidity is impaired when stock markets decline, implying a positive relation between market and liquidity...
Persistent link: https://www.econbiz.de/10011065648
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Market liquidity in the financial crisis: The role of liquidity commonality and flight-to-quality
Rösch, Christoph G.; Kaserer, Christoph - In: Journal of Banking & Finance 37 (2013) 7, pp. 2284-2302
We examine the dynamics and the drivers of market liquidity during the financial crisis, using a unique volume-weighted spread measure. According to the literature we find that market liquidity is impaired when stock markets decline, implying a positive relation between market and liquidity...
Persistent link: https://www.econbiz.de/10011065669
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Currency Union with and without Banking Union.
Bignon, V.; Breton, R.; Rojas Breu, M. - Banque de France - 2013
This paper analyzes a two-country model of currency, banks and endogenous default to study whether impediments to …
Persistent link: https://www.econbiz.de/10010816016
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Monetary Union, Banks and Financial Integration
Breton, Régis; Rojas Breu, Mariana; Bignon, Vincent - Université Paris-Dauphine (Paris IX) - 2013
This paper analyzes a two-country model of money and banks to examine the conditions under which the creation of a monetary union between two countries is optimal. Is is shown that if agents resort to banks to adjust their monetary holdings through borrowing and if nobody can force them to repay...
Persistent link: https://www.econbiz.de/10010712484
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Variables which Affect Default Rate of Chilean Loans
Francisco Ormazabal C. - In: Revista de Analisis Economico – Economic Analysis Review 29 (2014) 1, pp. 3-16
This paper contributes relevant empirical evidence which indicates the existence of difference in default rate of loans … between male and female. It concludes that independent of type of loans, the default rate of female is less than male …. Moreover this paper analyzes the effect of other variables as married status and size/income over default rate. …
Persistent link: https://www.econbiz.de/10011115425