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Dealer financial conditions and lender-of-last-resort facilities

Acharya, Viral V.; Fleming, Michael J.; Hrung, Warren B.; … - 2014

We examine the financial conditions of dealers that participated in two of the Federal Reserve's lender-of-last-resort (LOLR) facilities -- the Term Securities Lending Facility (TSLF) and the Primary Dealer Credit Facility (PDCF) -- that provided liquidity against a range of assets during...

Persistent link: https://www.econbiz.de/10010404154

Systemic risk in a network model of interbank markets with central bank activity

Georg, Co-Pierre; Poschmann, Jenny - 2010

The breakdown of the interbank money markets in the face of the recent financial crisis has forced central banks and governments to take extraordinary measures to sustain financial stability. In this paper we investigate which influence central bank activity has on interbank markets. In our...

Persistent link: https://www.econbiz.de/10003971540

Strategic supply function competition with private information

Vives, Xavier - 2009

and financial markets are presented. -- reverse auction ; demand schedule competition ; market power ; adverse selection …

Persistent link: https://www.econbiz.de/10003910453

Asset auctions, information, and liquidity

Vives, Xavier - 2010

A model is presented of a uniform price auction where bidders compete in demand schedules; the model allows for common … help explain the response of central banks to the crisis, and suggest potential improvements in the auction formats of …

Persistent link: https://www.econbiz.de/10003923763

Market power and welfare in asymmetric divisible good auctions

Manzano Tovar, Carolina; Vives, Xavier - 2016

We analyze a divisible good uniform-price auction that features two groups each with a finite number of identical …

Persistent link: https://www.econbiz.de/10011580637

Tilting the supply schedule to enhance competition in uniform-price auctions

Li Calzi, Marco; Pavan, Alessandro - 2003

Uniform-price auctions of a divisible good in fixed supply admit underpricing equilibria, where bidders submit high inframarginal bids to prevent competition on prices. The seller can obstruct this behavior by tilting her supply schedule and making the amount of divisible good on offer change...

Persistent link: https://www.econbiz.de/10011591198

Dealer Financial Conditions and Lender-of-Last Resort Facilities

Acharya, Viral V. - 2014

Persistent link: https://www.econbiz.de/10013053793

Tilting the Supply Schedule to Enhance Competition in Uniform-Price Auctions

LiCalzi, Marco; Pavan, Alessandro - 2003

Persistent link: https://www.econbiz.de/10011325063

Strategic supply function competition with private information

Vives, Xavier - 2009

A finite number of sellers (n) compete in schedules to supply an elastic demand. The costs of the sellers have uncertain common and private value components and there is no exogenous noise in the system. A Bayesian supply function equilibrium is characterized; the equilibrium is privately...

Persistent link: https://www.econbiz.de/10010276986

The Fragility of Discretionary Liquidity Provision : Lessons from the Collapse of the Auction Rate Securities Market

Han, Song - 2015

. The laboratory of our study is the recent collapse of the auction rate securities (ARS) market. Using a comprehensive … dataset constructed from auction reports and intraday transactions data on municipal ARS, we present quantitative evidence … that auction dealers acted at their own discretion as “market makers” before the market collapsed. We show that this …

Persistent link: https://www.econbiz.de/10013038246

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