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Cross-border liquidity, relationships and monetary policy : evidence from the Euro area interbank crisis

Abbassi, Puriya; Bräuning, Falk; Fecht, Falko; … - 2014 - This version: November 2014

We analyze the impact of financial crises and monetary policy on the supply of wholesale funding liquidity, and also on … on interbank access and volume is stronger than on spreads. Liquidity supply restrictions are exacerbated for cross … price dispersion substantially decreases when the Eurosystem promises unlimited access to liquidity at a fixed price in …

Persistent link: https://www.econbiz.de/10010471858

Stressed, not frozen: The federal funds market in the financial crisis

Afonso, Gara; Kovner, Anna; Schoar, Antoinette - 2010

particular, we do not find that worse performing banks began hoarding liquidity and indiscriminately reducing their lending. …

Persistent link: https://www.econbiz.de/10010287137

Mortgage default in an estimated model of the U.S. housing market

Lambertini, Luisa; Victoria, Nuguer; Uysal, Pinar - 2017

This paper models the housing sector, mortgages and endogenous default in a DSGE setting with nominal and real rigidities. We use data for the period 1981-2006 to estimate our model using Bayesian techniques. We analyze how an increase in risk in the mortgage market raises the default rate and...

Persistent link: https://www.econbiz.de/10011660977

Flight to what? : dissecting liquidity shortages in the financial crisis

Dong, Feng; Wen, Yi - 2017 - This version: August, 2017

We endogenize the liquidity and the quality of private assets in a tractable incomplete-market model with heterogeneous … agents. The model decomposes the convenience yield of government bond into a "liquidity premium" (flight to liquidity) and a … and bond premiums, the model reveals that a sharp reduction in the quality, instead of the liquidity, of private assets …

Persistent link: https://www.econbiz.de/10011780935

From boom to bust: how different has microfinance been from traditional banking?

Wagner, Charlotte - 2010

This paper presents an in-depth analysis of developments in the microfinance sector before and after the Lehman Brothers collapse in 2008 by comparing them with developments in traditional banking sectors of emerging market economies and developing countries. The findings indicate that...

Persistent link: https://www.econbiz.de/10010303840

Bank risk-taking, securitization, supervision and low interest rates: Evidence from the euro area and the U.S. lending standards

Maddaloni, Angela; Peydró, José-Luis - 2010

Using a unique dataset of the Euro area and the U.S. bank lending standards, we find that low (monetary policy) short-term interest rates soften standards, for household and corporate loans. This softening – especially for mortgages – is amplified by securitization activity, weak supervision...

Persistent link: https://www.econbiz.de/10011605294

Finanzmarkt: Regulierung auf dem richtigen Weg?

Dullien, Sebastian; Paul, Stephan; Conrad, Christian A.; … - In: Wirtschaftsdienst 92 (2012) 7, pp. 431-448

Fünf Jahre nach dem Ausbruch der Finanzmarktkrise hat sich einiges getan: Die USA und die Mitgliedstaaten der Europäischen Union haben verschiedene Regulierungen auf den Weg gebracht. Die Autoren beurteilen dies allerdings unterschiedlich. Zum einen seien die Regulierungen nicht ausreichend...

Persistent link: https://www.econbiz.de/10010471353

The increased importance of asset price misalignments for business cycle dynamics

Bask, Mikael; Madeira, João - 2011

We outline a dynamic stochastic general equilibrium (DSGE) model with trend extrapo-lation in asset pricing that we fit to quarterly U.S. macroeconomic time series with Baye-sian techniques. To be more precise, we modify the DSGE model in Smets and Wouters (2007) by incorporating asset traders...

Persistent link: https://www.econbiz.de/10010321374

Trusting the bankers : a new look at the credit channel of monetary policy

Ciccarelli, Matteo; Maddaloni, Angela; Peydró, José-Luis - 2010

Any empirical analysis of the credit channel faces a key identification challenge: changes in credit supply and demand are difficult to disentangle. To address this issue, we use the detailed answers from the US and the confidential and unique Euro area bank lending surveys. Embedding this...

Persistent link: https://www.econbiz.de/10003993969

The Triffin dilemma again

Campanella, Edoardo - 2010

Tiny changes in the American monetary policy can have dramatic effects on the rest of the world because of dollar's double role of national and international currency. This is the Triffin dilemma. The paper shows how it works through three examples: price of commodities, dollarization, and the...

Persistent link: https://www.econbiz.de/10008648332

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