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Alogoskoufis, Spyros; Langfield, Sam - 2019

Euro area governments have committed to break the doom loop between banks and sovereigns. But policymakers disagree on how to treat sovereign exposures in bank regulation. Our contribution is to model endogenous sovereign portfolio reallocation by banks in response to regulatory reform....

Persistent link: https://www.econbiz.de/10012061145

From the horse's mouth : surveying responses to stress by banks and insurers

Brinkhoff, Jeroen; Langfield, Sam; Weeken, Olaf - 2018

Existing stress tests do not capture feedback loops between individual institutions and the financial system. To identify feedback loops, the European Systemic Risk Board has developed macroprudential surveys that ask banks and insurers how they would behave in a macroeconomic stress scenario....

Persistent link: https://www.econbiz.de/10011925698

Regulating the doom loop

Alogoskoufis, Spyros; Langfield, Sam - 2018

Euro area governments have committed to break the doom loop between bank risk and sovereign risk. But policymakers have not reached consensus on whether and how to reform the regulatory treatment of banks' sovereign exposures. To inform policy discussions, this paper simulates portfolio...

Persistent link: https://www.econbiz.de/10011978559

Systemic illiquidity in the interbank network

Ferrara, Gerardo; Langfield, Sam; Liu, Zijun; Ota, Tomohiro - 2016

Persistent link: https://www.econbiz.de/10011480422

Indirect contagion : the policy problem

Clerc, Laurent; Giovannini, Alberto; Langfield, Sam; … - 2016

contractual links. The first is the market price channel, in which scarce funding liquidity and low market liquidity reinforce … case of illiquidity spirals, firms do not internalise the negative externality of holding low levels of funding liquidity … contagion - namely macroprudential liquidity regulation; restrictions on margins and haircuts; and information disclosure. …

Persistent link: https://www.econbiz.de/10011972870

Systemic illiquidity in the interbank network

Ferrara, Gerardo; Langfield, Sam; Liu, Zijun; Ota, Tomohiro - 2018

We study systemic illiquidity using a unique dataset on banks' daily cash flows, short-term interbank funding and liquid asset buffers. Failure to roll-over short-term funding or repay obligations when they fall due generates an externality in the form of systemic illiquidity. We simulate a...

Persistent link: https://www.econbiz.de/10011978830