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Mancini, Loriano; Ranaldo, Angelo; Wrampelmeyer, Jan - 2014 - This version: March 2014

sense that repo lending increases with risk, while spreads, maturities, and haircuts remain stable. Our comparison across …

Persistent link: https://www.econbiz.de/10010410308

Repo over the financial crisis

Copeland, Adam; Martin, Antoine - 2021

This paper uses new data to provide a comprehensive view of repo activity during the 2007-09 financial crisis for the first time. We show that activity declined much more in the bilateral segment of the market than in the tri-party segment. Surprisingly, we find that a large share of the decline...

Persistent link: https://www.econbiz.de/10012797870

On collateral : implications for financial stability and monetary policy

Corradino, Stefano; Heider, Florian; Hoerova, Marie - 2017

This paper examines the role of collateral in the financial system, with special emphasis on the implications for financial stability and the conduct of monetary policy. First, we review what drives the demand and supply for both real and financial collateral assets. Then we examine financial...

Persistent link: https://www.econbiz.de/10011745798

Lender of last resort versus buyer of last resort : the impact of the European Central Bank actions on the bank-sovereign nexus

Acharya, Viral V.; Pierret, Diane; Steffen, Sascha - 2016 - This version: February 29, 2016

In summer 2011, elevated sovereign risk in Eurozone peripheral countries increased the solvency risk of Eurozone banks … funding pressure for banks, but did not help to contain sovereign risk. In fact, banks of the peripheral countries used the … public funds to increase their exposure to risky domestic debt, so that when solvency risk in the Eurozone worsened the run …

Persistent link: https://www.econbiz.de/10011436391

The Run on Repo and the Fed's Response

Gorton, Gary B. - 2019

The Financial Crisis began and accelerated in short-term money markets. One such market is the multi-trillion dollar sale-and-repurchase (repo) market, where prices show strong reactions during the crisis. The academic literature and policy community remain unsettled about the role of repo runs,...

Persistent link: https://www.econbiz.de/10012898736

Repo Turmoil and Lessons for Liquidity Policy

Tynes, Andrew - 2021

This project considers repo market stress in September 2019. First, I find that the multiple causes of that market disruption suggest the need for more comprehensive review of liquidity policy frameworks. I then review recent proposals to prevent future repo funding disruptions, evaluating them...

Persistent link: https://www.econbiz.de/10013239208

The importance of being special : repo markets during the crisis

Corradin, Stefano; Maddaloni, Angela - 2017

Specialness - the premium of procuring a specific security in the repo market - increased in the second half of 2011 for Italian government bonds. We assess the impact on specialness of the outright purchase program of the Eurosystem during the same period. Bonds bought by the Eurosystem had...

Persistent link: https://www.econbiz.de/10011647833

Bailout Uncertainty in a Microfounded General Equilibrium Model of the Financial System

Cukierman, Alex - 2011

between risk and uncertainty is implemented by applying the Gilboa-Schmeidler (1989) maxmin with multiple priors framework to …

Persistent link: https://www.econbiz.de/10013122330

Essays on monetary policy, safe assets, and the repo market

Bechtel, Alexander - 2021

Persistent link: https://www.econbiz.de/10012647998

Dealing with financial crises : how much help from research?

Pagano, Marco - 2014

Has economic research been helpful in dealing with the financial crises of the early 2000s? On the whole, the answer is negative, although there are bright spots. Economists have largely failed to predict both crises, largely because most of them were not analytically equipped to understand...

Persistent link: https://www.econbiz.de/10010413174

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