Central-bank collateral policy governs the convertibility of assets into central-bank money provided directly by the … yield curve through collateral policy …

Should central banks lend against low quality collateral? We characterize efficient central bank collateral policy in a … model where a bank borrows from the interbank market or the central bank. Collateral has favorable incentive effects but is … costly to transfer to lenders who value the collateral less because of imperfect collateral quality. We show that a fall in …

bank collateral and why a sudden non-anticipated reduction of asset liquidity, or a tightening of the collateral framework …' funding liquidity and solvency. Both asset liquidity and central bank haircuts are modelled as power functions within the unit … interval. Funding stability is captured as strategic bank run game in pure strategies between depositors. Asset liquidity, the …

The paper studies the central bank collateral framework and its impact on banks' liquidity under an adverse stress test … scenario. We construct a stress test model that accounts for a granular and multi-faceted representation of the liquidity of … Southern European countries. Results show that illiquidity can trigger insolvency and that liquidity adjustment can last …

The paper studies the central bank collateral framework and its impact on banks’ liquidity under an adverse stress test … scenario. We construct a stress test model that accounts for a granular and multi-faceted representation of the liquidity of … Southern European countries. Results show that illiquidity can trigger insolvency and that liquidity adjustment can last …