Showing 1 - 10 of 12
Persistent link: https://www.econbiz.de/10012214285
Since the global financial crisis of 2007-09, policymakers and academics around the world have advocated the use of prudential tools for macroprudential purposes. This paper presents a macroprudential tabletop exercise that aimed at confronting Federal Reserve Bank presidents with a plausible,...
Persistent link: https://www.econbiz.de/10012970891
Since the global financial crisis of 2007-09, policy makers and academics around the world have advocated the use of prudential tools for macroprudential purposes. This paper presents a macroprudential tabletop exercise that aimed at confronting Federal Reserve Bank presidents with a plausible,...
Persistent link: https://www.econbiz.de/10012948278
Persistent link: https://www.econbiz.de/10009155214
Persistent link: https://www.econbiz.de/10009267693
Persistent link: https://www.econbiz.de/10009269782
Does central bank intervention improve liquidity in the interbank market during the current sub-prime crisis? To answer this question, we employ a unique dataset which reports trades and quotes of the e-MID, the only electronic, regulated interbank market in the world. Our results show that...
Persistent link: https://www.econbiz.de/10013158390
We utilize detailed, trader level data to examine the role of speculators during the failure of Amaranth Advisors, Inc. We find that speculators serve as a stabilizing force during this period, maintaining or increasing long positions even while prices are falling. We develop two testable...
Persistent link: https://www.econbiz.de/10012904039
We study the behavior of the interbank market before, during and after the 2008 financial crisis. Leveraging recent advances in network analysis, we study two network structures, a correlation network based on publicly traded bank returns, and a physical network based on interbank lending...
Persistent link: https://www.econbiz.de/10013013686
The recent financial crisis has focused attention on identifying and measuring systemic risk. In this paper, we propose a novel approach to estimate the portfolio composition of banks as function of daily interbank trades and stock returns. While banks’ assets are reported to regulators...
Persistent link: https://www.econbiz.de/10012016214