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Liquidity hoarding and interbank market spreads
Heider, Florian; Hoerova, Marie; Holthausen, Cornelia - 2009
We study the functioning and possible breakdown of the interbank market in the presence of counterparty risk. We allow banks to have private information about the risk of their assets. We show how banks’ asset risk affects funding liquidity in the interbank market. Several interbank market...
Persistent link: https://www.econbiz.de/10009640453
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Balance Sheet Interlinkages and Macro-Financial Risk Analysis in the Euro Area
Kavonius, Ilja Kristian; Castrén, Olli - 2009
increase a sector’s vulnerability to shocks and contagion. …
Persistent link: https://www.econbiz.de/10009640455
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Interbank lending, credit risk premia and collateral
Heider, Florian; Hoerova, Marie - 2009
We study the functioning of secured and unsecured interbank markets in the presence of credit risk. The model generates empirical predictions that are in line with developments during the 2007-2009 financial crises. Interest rates decouple across secured and unsecured markets following an...
Persistent link: https://www.econbiz.de/10009640472
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The minimum liquidity deficit and the maturity structure of central banks' open market operations
Eisenschmidt, Jens; Holthausen, Cornelia - 2010
This paper studies the relationship between the size of the banking sector’s refinancing needs vis-à-vis the central bank and auction rates in its open market operations in times of financial market stress. In a theoretical model, it is found that marginal rates at central bank auctions may...
Persistent link: https://www.econbiz.de/10009640515
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Macro-financial vulnerabilities and future financial stress
Lo Duca, Marco; Peltonen, Tuomas A. - 2011
This paper develops a framework for assessing systemic risks and for predicting (out-of-sample) systemic events, i.e. periods of extreme financial instability with potential real costs. We test the ability of a wide range of “stand alone” and composite indicators in predicting systemic...
Persistent link: https://www.econbiz.de/10009640687
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Financial imbalances and financial fragility
Boissay, Frédéric - 2011
This paper develops a general equilibrium model to analyze the link between financial imbalances and financial crises. The model features an interbank market subject to frictions and where two equilibria may (co-)exist. The normal times equilibrium is characterized by a deep market with highly...
Persistent link: https://www.econbiz.de/10009640693
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Debt bias in corporate taxation and the costs of banking crises in the EU
Langedijk, Sven - 2014
Persistent link: https://www.econbiz.de/10010478771
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Country and sector-specific spillover effects in the euro area, the United States and Japan
Kaltenhaeuser, Bernd - 2003
Within a two-step GARCH framework we explore the linkages between equity returns of ten sectors in the euro area, the United States and Japan, respectively. Our estimation framework allows a distinction to be made between spillover effects originating from one of the three currency areas and...
Persistent link: https://www.econbiz.de/10009635881
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Measuring contagion with a Bayesian, time-varying coefficient model
Ciccarelli, Matteo; Rebucci, Alessandro - 2003
To measure contagion empirically, we propose using a Bayesian time-varying coefficient model estimated with Markov … not require knowledge of the timing of the crisis. It distinguishes contagion not only from interdependence but also from … structural breaks. It can be used to investigate positive as well as negative contagion. The proposed measure appears to work …
Persistent link: https://www.econbiz.de/10009635914
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Exchange rates and fundamentals
Engel, Charles; West, Kenneth David - 2003
Standard economic models hold that exchange rates are influenced by fundamental variables such as relative money supplies, outputs, inflation rates and interest rates. Nonetheless, it has been well documented that such variables little help predict changes in floating exchange rates u0097 that...
Persistent link: https://www.econbiz.de/10009635953