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The Power of Collateral : The ECB and Bank Funding Strategies in Crisis

Gabor, Daniela - 2012

conceptualize the importance of collateral ? (b) how can the analytical integration of geographies of collateralized bank funding … of exit strategies through the lens of collateral? The paper argues that the short-term nature of collateral management …, in particular the key role that perceptions of collateral quality play in European banks' demand for sovereign bonds, is …

Persistent link: https://www.econbiz.de/10013106366

Contingent Credit Under Stress

Acharya, Viral V.; Jager, Maximilian; Steffen, Sascha - National Bureau of Economic Research - 2023

Over the past two decades, banks have increasingly focused on offering contingent credit in the form of credit lines as a primary means of corporate borrowing. We review the existing body of research regarding the rationales for banks' provision of liquidity insurance in the form of credit...

Persistent link: https://www.econbiz.de/10014437040

Contingent credit under stress

Acharya, Viral V.; Jager, Maximilian; Steffen, Sascha - 2023

Persistent link: https://www.econbiz.de/10014422389

Sovereign spreads, central bank collateral frameworks, and periphery premia in the Eurozone

Schuster, Florian - 2023

Eurosystem's move from unconditional to conditional collateral eligibility of sovereign bonds, as part of the 2005 Single List …

Persistent link: https://www.econbiz.de/10014364133

Systemic risk and monetary policy : the haircut gap channel of the lender of last resort

Jasova, Martina; Laeven, Luc; Mendicino, Caterina; … - 2021

Persistent link: https://www.econbiz.de/10012543134

Margins and financial collateral for derivatives contracts : how to deal with procyclical implications in a financial crisis

Tambucci, Martina - In: Journal of securities operations & custody 6 (2014) 3, pp. 240-263

Persistent link: https://www.econbiz.de/10010345137

Interest rates or haircuts? : prices versus quantities in the market for collateralized risky loans

Barsky, Robert B.; Bogusz, Theodore; Easton, Matthew - 2016

) and a specification of the amount of collateral per dollar of lending. The latter is summarized by the margin or "haircut …" associated with the loan. Some key models of endogenous collateral constraints imply that the primary equilibrating force will be … the part of borrowers has profound effects on asset prices. Quantitative analysis of a model of collateral equilibrium …

Persistent link: https://www.econbiz.de/10011569701

Announcements of ECB unconventional programs : implications for the sovereign risk of Italy

Falagiarda, Matteo; Reitz, Stefan - 2013

This paper studies the effects of ECB communications about unconventional monetary policy operations on the perceived sovereign risk of Italy over the last five years. More than fifty events concerning non-standard operations are identified and classified with respect to the specific ECB...

Persistent link: https://www.econbiz.de/10009783711

Does monetary policy impact market integration? : evidence from developed and emerging markets

Caporin, Massimiliano; Pelizzon, Loriana; Plazzi, Alberto - 2017

This paper shows that FED policy announcements lead to a significant increase in international co-movement in the cross-section of equity and particularly sovereign CDS market. The effect is strongest for emerging markets, when the FED relaxes unconventionary monetary policies, and for countries...

Persistent link: https://www.econbiz.de/10011874674

Liquidität, Risikoeinstellung des Kapitalmarktes und Konjunkturerwartung als Preisdeterminanten von Collateralized Debt Obligations (CDOs) : eine simulationsgestützte Analyse

Gann, Philipp - 2009

Gegenstand der vorliegenden Arbeit ist die Analyse des Einflusses der Faktoren Konjunkturerwartung, Risikoaversion des Kapitalmarktes und Liquidität auf die Marktwerte von Collateralized Debt Obligations (CDOs) verschiedener Seniorität. Es wird gezeigt, dass die Marktwerte von CDOs wesentlich...

Persistent link: https://www.econbiz.de/10003861125