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ECB monetary operations and the interbank repo market
Dunne, Peter G.; Fleming, Michael J.; Zholos, Andrey - 2013
We examine the relationship between monetary policy operations and interbank borrowing and lending of funds using sovereign bonds as collateral. We first establish that, in the precrisis period, there are important but rather weak relations between these funding sources and that this...
Persistent link: https://www.econbiz.de/10010222894
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Stock Market Liquidity and Macro-Liquidity Shocks : Evidence from the 2007-2009 Financial Crisis
Florackis, Chris - 2014
-liquidity measures between 1999-2012. Specifically, macro-liquidity shocks, which are extracted on the meeting days of the Bank of …
Persistent link: https://www.econbiz.de/10013067362
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Credit Rating Agency Announcements and the Eurozone Sovereign Debt Crisis
Baum, Christopher F. - 2013
This paper studies the impact of credit rating agency (CRA) announcements on the value of the Euro and the yields of French, Italian, German and Spanish long-term sovereign bonds during the culmination of the Eurozone debt crisis in 2011-2012. The employed GARCH models show that CRA downgrade...
Persistent link: https://www.econbiz.de/10013073134
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ECB Monetary Operations and the Interbank Repo Market
Dunne, Peter G. - 2014
We examine the relationship between monetary policy operations and interbank borrowing and lending of funds using sovereign bonds as collateral. We first establish that, in the precrisis period, there are important but rather weak relations between these funding sources and that this...
Persistent link: https://www.econbiz.de/10013061127
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Unconventional monetary policy and funding liquidity risk
Avernas, Adrien d'; Vandeweyer, Quentin; Darracq … - 2020
well capitalized, they have access to money markets and efficiently mitigate funding shocks. When aggregate bank capital is … low, a vicious cycle arises between declining asset prices and funding risks. The central bank can partially counter these … shadow banking sector. When the shadow banking sector is large, as in the US in 2008, the central bank can further stabilize …
Persistent link: https://www.econbiz.de/10012137673
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"Whatever it takes" to resolve the European sovereign debt crisis? : bond pricing regime switches and monetary policy effects
Afonso, António; Arghyrou, Michael Georgiou; Gadea, … - 2017
This paper investigates the role of unconventional monetary policy as a source of time-variation in the relationship between sovereign bond yield spreads and their fundamental determinants. Our results provide evidence of a new bond-pricing regime following the announcement of the Outright...
Persistent link: https://www.econbiz.de/10011735972
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"Whatever it takes" to resolve the European sovereign debt crisis? : bond pricing regime switches and monetary policy effects
Afonso, António; Arghyrou, Michael Georgiou; Gadea, … - 2017
This paper investigates the role of unconventional monetary policy as a source of time-variation in the relationship between sovereign bond yield spreads and their fundamental determinants. We use a two-step empirical approach. First, we apply a time-varying parameter panel modelling framework...
Persistent link: https://www.econbiz.de/10011759005
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The macro view
Balling, Morten (ed.); Berk, Jan Marc (ed.);  … - Colloquium The Quest for Stability <2009, Utrecht>; … - 2010
On September 3-4, 2009, SUERF and Utrecht University School of Economics jointly organized the 28th SUERF Colloquium on "The Quest for Stability" in Utrecht, the Netherlands. The papers contained in this SUERF Study jointly published with DNB and Rabobank are based on contributions to this...
Persistent link: https://www.econbiz.de/10011706504
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The impact of exogenous liquidity shocks on banks funding costs : microevidence from the unsecured interbank market
Sarmiento, Miguel - 2019 - second version: January 2019
of idiosyncratic liquidity shocks - arising from deposits outflow at the bank level - and of the aggregate liquidity … during idiosyncratic liquidity shocks, while central bank liquidity contributes to smooth the impact of aggregate liquidity …
Persistent link: https://www.econbiz.de/10011958312
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Fear the walking dead? : zombie firms in the euro area and their effect on healthy firms' credit conditions
Havemeister, Lea Katharina; Horn, Kristian - 2023
Zombie firms may adversely impact healthy firms through several transmission channels. Besides real spillover effects on productivity or investment, zombies may also cause negative financial spillover effects, where zombies receive credit at more favourable conditions than healthy firms. We...
Persistent link: https://www.econbiz.de/10014309045