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Precautionary liquidity shocks, excess reserves and business cycles
Bratsiotis, George; Theodoridis, Konstantinos - 2020
This paper identifies a precautionary banking liquidity shock via a set of sign, zero and forecast variance … financial intermediation with credit and liquidity frictions. The precautionary liquidity shock is shown to work through two …
Persistent link: https://www.econbiz.de/10012483779
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Shocking interest rate floors
Canetg, Fabio; Kaufmann, Daniel - 2019
We identify the dynamic causal effects of interest rate floor shocks, exploiting regular auctions of Swiss central bank debt securities (SNB Bills). A theoretical model shows that variation in the volume of, and yield on, central bank debt changes the interest rate floor. In addition, the model...
Persistent link: https://www.econbiz.de/10012006918
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Shocking interest rate floors
Canetg, Fabio; Kaufmann, Daniel - 2019
We identify the dynamic causal effects of interest rate floor shocks, exploiting regular auctions of Swiss central bank debt securities (SNB Bills). A theoretical model shows that variation in the volume of, and yield on, central bank debt changes the interest rate floor. In addition, the model...
Persistent link: https://www.econbiz.de/10012007704
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Interest, Reserves, and Prices
Benigno, Gianluca; Benigno, Pierpaolo - 2021
-Wicksellian paradigm. A general form of an aggregate-demand equation reveals a role for liquidity, as well as less effective movements in …
Persistent link: https://www.econbiz.de/10013222541
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The impact of exogenous liquidity shocks on banks funding costs : microevidence from the unsecured interbank market
Sarmiento, Miguel - 2019 - second version: January 2019
This paper examines the impact of exogenous liquidity shocks in the unsecured interbank market. We evaluate the effects … of idiosyncratic liquidity shocks - arising from deposits outflow at the bank level - and of the aggregate liquidity … shock related to the U.S. tapering observed between May and September of 2013. We find that both liquidity shocks are …
Persistent link: https://www.econbiz.de/10011958312
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Monetary Policy, Liquidity Stress and Learning Dynamics
Marzioni, Stefano - 2011
rule moving from an explicit target in terms of a liquidity stress indicator. The implications of this approach on …
Persistent link: https://www.econbiz.de/10013123491
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A fistful of dollars : transmission of global funding shocks to EMs
Kumar, Shekhar Hari; Mathur, Aakriti - 2020
interbank markets. Money markets enable banks to engage in risk-sharing against liquidity shocks and are sensitive to global … liquidity shocks to EMs as compared to benchmark short-term bond yields. Next, we disentangle the transmission into its various … of macro-prudential policy like reserve requirements can help alleviate liquidity shocks to the EM banking system …
Persistent link: https://www.econbiz.de/10012171269
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Assessing the impact of demand shocks on the US term premium
Barnett, Russell; Zmitrowicz, Konrad - 2018
During and after the Great Recession of 2008-09, conventional monetary policy in the United States and many other advanced economies was constrained by the effective lower bound (ELB) on nominal interest rates. Several central banks implemented large-scale asset purchase (LSAP) programs, more...
Persistent link: https://www.econbiz.de/10011873794
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US Monetary Policy Spillovers and Spillbacks
Thomas, Lina - 2023
I study spillovers of US monetary policy to the rest of the world, as well as spillbacks to the US economy in an empirical multi-country model over time. Within the multilateral framework, I distinguish the bilateral effect from the network effects that arise from interactions among recipient...
Persistent link: https://www.econbiz.de/10014256990
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Precautionary Liquidity Shocks, Excess Reserves and Business Cycles
Bratsiotis, George; Theodoridis, Konstantinos - 2021
This paper identifies a precautionary banking liquidity shock via a set of sign, zero and forecast variance … financial intermediation with credit and liquidity frictions. The precautionary liquidity shock is shown to work through two …
Persistent link: https://www.econbiz.de/10013250157