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Cross-border liquidity, relationships and monetary policy : evidence from the Euro area interbank crisis
Abbassi, Puriya; Bräuning, Falk; Fecht, Falko; … - 2014 - This version: November 2014
We analyze the impact of financial crises and monetary policy on the supply of wholesale funding liquidity, and also on … on interbank access and volume is stronger than on spreads. Liquidity supply restrictions are exacerbated for cross … price dispersion substantially decreases when the Eurosystem promises unlimited access to liquidity at a fixed price in …
Persistent link: https://www.econbiz.de/10010471858
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A new database for financial crises in European countries : ECB/ESRB EU crises database
Lo Duca, Marco; Koban, Anne; Basten, Marisa; Bengtsson, … - 2017
This paper presents a new database for financial crises in European countries, which serves as an important step towards establishing a common ground for macroprudential oversight and policymaking in the EU. The database focuses on providing precise chronological definitions of crisis periods to...
Persistent link: https://www.econbiz.de/10011972947
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A new database for financial crises in European countries : ECB/ESRB EU crises database : developed by FSC MPAG and ESRB AWG
Lo Duca, Marco; Koban, Anne; Basten, Marisa; Bengtsson, … - 2017
This paper presents a new database for financial crises in European countries, which serves as an important step towards establishing a common ground for macroprudential oversight and policymaking in the EU. The database focuses on providing precise chronological definitions of crisis periods to...
Persistent link: https://www.econbiz.de/10011698592
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Central bank collateral frameworks
Nyborg, Kjell G. - 2015
on financial markets and the wider economy. They can, for example, bias the private provision of real liquidity and …
Persistent link: https://www.econbiz.de/10011296085
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Predicting Distress in European Banks
Betz, Frank - 2013
The paper develops an early-warning model for predicting vulnerabilities leading to distress in European banks using both bank and country-level data. As outright bank failures have been rare in Europe, the paper introduces a novel dataset that complements bankruptcies and defaults with state...
Persistent link: https://www.econbiz.de/10013074637
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The distribution of excess liquidity in the euro area
Baldo, Luca; Hallinger, Benoît; Helmus, Caspar; … - 2017
Since 2008, excess liquidity - defined as the sum of holdings of central bank reserves in excess of reserve … small, slowly changing group of credit institutions. Despite the stability of the concentration of excess liquidity in … directing flows in the period 2015-16. In addition, the more recent concentration of excess liquidity is explained by the …
Persistent link: https://www.econbiz.de/10011747703
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Cross-Border Liquidity, Relationships and Monetary Policy : Evidence from the Euro Area Interbank Crisis
Abbassi, Puriya - 2016
We analyze the impact of financial crises and monetary policy on the supply of wholesale funding liquidity, and also on … on interbank access and volume is stronger than on spreads. Liquidity supply restrictions are exacerbated for cross … price dispersion substantially decreases when the Eurosystem promises unlimited access to liquidity at a fixed price in …
Persistent link: https://www.econbiz.de/10012988708
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The Run on Repo and the Liquidity Shortage Problems of the Current Global Financial Crisis : Europe vs US
Moro, Beniamino - 2013
crisis reduced the pool of assets considered acceptable as collateral, resulting in a liquidity shortage. With declining …
Persistent link: https://www.econbiz.de/10013078465
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The Distribution of Excess Liquidity in the Euro Area
Baldo, Luca - 2017
Since 2008, excess liquidity – defined as the sum of holdings of central bank reserves in excess of reserve … small, slowly changing group of credit institutions.Despite the stability of the concentration of excess liquidity in … directing flows in the period 2015-16. In addition, the more recent concentration of excess liquidity is explained by the …
Persistent link: https://www.econbiz.de/10012943463
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Fire buys of central bank collateral assets
Roure, Calebe de - 2017
In times of financial distress, central banks provide unlimited liquidity to avoid fire sales. In response, banks raise … investigate how unlimited liquidity provision affects collateral prices. Also, I match banks' trades with their balance sheet and … show how funding liquidity impacts premia payment. I quantify the Fire Buy premium to be 15.6 bps; and the Risk …
Persistent link: https://www.econbiz.de/10011587096