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Market discipline and liquidity risk : evidence from the interbank funds market
Sarmiento, Miguel - 2016
demand for liquidity in the interbank market as wells as banks' access to this market. Results indicate that riskier banks … pay higher prices and borrow less liquidity, concurrent with the existence of market discipline. More capitalized and … higher prices and hoard liquidity when liquidity positions across them are more imbalanced and during a monetary policy …
Persistent link: https://www.econbiz.de/10011554714
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The price of money : now collateral policy affects the yield curve
Nyborg, Kjell G.; Woschitz, Jiri - 2021
Central-bank collateral policy governs the convertibility of assets into central-bank money provided directly by the central bank. Focusing on government bonds, we develop clean identification of variation in such convertibility by exploiting differential treatment of same-country government...
Persistent link: https://www.econbiz.de/10012799625
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The Impact of the Bank of England's Corporate Bond Purchase Scheme on Yield Spreads
Boneva, Lena - 2018
As part of its August 2016 policy package, the Bank of England announced a scheme to purchase up to £10 billion of corporate bonds. Only sterling investment-grade bonds issued by firms making a ‘material' contribution to the UK economy were eligible to be purchased. So eligible bonds...
Persistent link: https://www.econbiz.de/10012923645
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Monetary policy implementation and liquidity management of the Czech banking system
Brůna, Karel - In: European financial and accounting journal : EFAJ 5 (2010) 3/4, pp. 15-41
the volume of liquidity in the banking system is held in line with the demand of banks for reserves. In this paper main … factors of banking system liquidity are analyzed in the context of bank’s imperfect intertemporal substitution of reserves and … rates prove Czech National Bank’s ability to stabilise O/N interest rates disregard overall excess liquidity in the banking …
Persistent link: https://www.econbiz.de/10011459806
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The euro interbank repo market
Mancini, Loriano; Ranaldo, Angelo; Wrampelmeyer, Jan - 2014 - This version: March 2014
The search for a market design that ensures stable bank funding is at the top of regulators' policy agenda. This paper empirically shows that the central counterparty (CCP)-based euro interbank repo market features this stability. Using a unique and comprehensive data set, we show that the...
Persistent link: https://www.econbiz.de/10010410308
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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
We develop an empirical framework that links micro-liquidity, macro-liquidity and stock prices. We provide evidence of … a strong link between macro-liquidity shocks and the returns of UK stock portfolios constructed on the basis of micro-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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Treasury Safety, Liquidity, and Money Premium Dynamics : Evidence from Recent Debt Limit Impasses
Cashin, David B. - 2020
Treasury securities normally possess unparalleled safety and liquidity and, consequently, carry a money premium. We use … the money premium, safety, and liquidity. Our results shed light on Treasury market dynamics specifically, and debt more …. Meanwhile, changes in liquidity only affected the money premium during the impasses. Next, we show that Treasury safety and …
Persistent link: https://www.econbiz.de/10012834175
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Unconventional Monetary Policy and Funding Liquidity Risk
d'Avernas, Adrien - 2020
This paper investigates the efficiency of various monetary policy instruments to stabilize asset prices in a liquidity … dynamics. Increasing the supply of reserves reduces liquidity risk in the traditional banking sector, but fails to reach the …
Persistent link: https://www.econbiz.de/10012844931
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The Liquidity Effects of Official Bond Market Intervention
De Pooter, Michiel - 2016
To "ensure depth and liquidity," the European Central Bank intervened in sovereign debt markets through its Securities … bond liquidity premia. From reduced-form estimates, we find robust, economically significant impact and lasting reductions … in sovereign bonds' liquidity premia in response to official purchases. We develop a search-based asset-pricing model to …
Persistent link: https://www.econbiz.de/10013007977