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What drives sovereign debt portfolios of banks in a crisis context?
Lamas, Matías; Mencía, Javier - 2019
strong link is present between central bank liquidity support and sovereign holdings, opportunistic strategies or reach … advantage of their higher risk-bearing capacity to gain exposure (via central bank liquidity) to the set of riskier sovereign …
Persistent link: https://www.econbiz.de/10011978836
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Overview of central banks' in-house credit assessment systems in the euro area
Auria, Laura; Bingmer, Markus; Caicedo Graciano, Carlos … - 2021
Persistent link: https://www.econbiz.de/10012878810
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The bank-sovereign loop and financial stability in the Euro area
Fontana, Alessandro; Langedijk, Sven - 2019
We propose a simple model that captures the link between bank and sovereign credit risk. It allows evaluating policy options to address this 'doom loop' in which the government may need to raise debt to recapitalise banks, and an increase in government debt raises sovereign risk and in turn...
Persistent link: https://www.econbiz.de/10012053254
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Überschuldung und Staatsinsolvenz in der Europäischen Union : Gutachten
2011 - Stand Januar 2011
Persistent link: https://www.econbiz.de/10013444744
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Regime-dependent sovereign risk pricing during the euro crisis
Delatte, Anne-Laure; Fouquau, Julien; Portes, Richard - 2016
Previous work has documented a greater sensitivity of long-term government bond yields to fundamentals in Euro area stress countries during the euro crisis, but we know little about the driver(s) of regime-switches. Our estimates based on a panel smooth threshold regression model quantify and...
Persistent link: https://www.econbiz.de/10011974869
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Collateral scarcity premia in euro area repo markets
Ferrari, Massimo; Guagliano, Claudia; Mazzacurati, Julien - 2017
and market participants would find it more costly to trade, with a negative impact on market liquidity and the real …
Persistent link: https://www.econbiz.de/10011978326
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Liquidity in resolution : comparing frameworks for liquidity provision across jurisdictions
Grund, Sebastian; Nomm, Nele; Walch, Florian - 2020
financial stability. This paper extends the existing research by zooming in on the specific topic of liquidity provision to … banks in resolution. It examines the provision of liquidity in the United States, the United Kingdom, Japan, Canada and the … liquidity provision and the roles of the public budget and the central bank. The comparison also reveals that the role of fiscal …
Persistent link: https://www.econbiz.de/10012319162
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Availability of high-quality liquid assets and monetary policy operations : an analysis for the euro area
Grandia, Roel (ed.); Hänling, Petra (ed.);  … - Europäische Zentralbank - 2019
This paper provides an overview of supply and demand factors influencing the availability of euro-denominated debt instruments that qualify as high-quality liquid assets (HQLA) in the euro area. The paper estimates the supply of HQLA issued by the public and private sectors as well as the...
Persistent link: https://www.econbiz.de/10011976095
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The distribution of excess liquidity in the euro area
Baldo, Luca; Hallinger, Benoît; Helmus, Caspar; … - 2017
Since 2008, excess liquidity - defined as the sum of holdings of central bank reserves in excess of reserve … small, slowly changing group of credit institutions. Despite the stability of the concentration of excess liquidity in … directing flows in the period 2015-16. In addition, the more recent concentration of excess liquidity is explained by the …
Persistent link: https://www.econbiz.de/10011747703
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Excess liquidity and bank lending risks in the euro area : monetary dialogue September 2018 : study requested by the ECON Committee
Darvas, Zsolt M.; Pichler, David - Europäisches Parlament / Policy Department for … - 2018
Persistent link: https://www.econbiz.de/10011974581