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Systemic risk in clearing houses : evidence from the European repo market
Boissel, Charles; Derrien, François; Örs, Evren; … - 2016
captures three effects: (1) the effectiveness of the haircut policy, (2) CCP member default risk (conditional on sovereign … default) and (3) CCP default risk (conditional on both sovereign and CCP member default). The data show that, during the … sovereign debt crisis of 2011, repo rates strongly respond to movements in sovereign risk, in particular for GIIPS countries …
Persistent link: https://www.econbiz.de/10011974873
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Securities trading by banks and credit supply : micro-evidence from the crisis
Abbassi, Puriya; Iyer, Rajkamal; Peydró, José-Luis; … - 2016
We analyze securities trading by banks during the crisis and the associated spillovers to the supply of credit. We use a proprietary dataset that has the investments of banks at the security level for 2005-2012 in conjunction with the credit register from Germany. We find that - during the...
Persistent link: https://www.econbiz.de/10011974673
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Short-selling bans and bank stability
Beber, Alessandro; Fabbri, Daniela; Pagano, Marco; … - 2018
In both the subprime crisis and the euro-area crisis, regulators imposed bans on short sales, aimed mainly at preventing stock price turbulence from destabilizing financial institutions. Contrary to the regulators' intentions, financial institutions whose stocks were banned experienced greater...
Persistent link: https://www.econbiz.de/10011978462
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(Pro?)-cyclicality of collateral haircuts and systemic illiquidity
Glaser, Florian; Panz, Sven - 2016
Procyclicality of collateral haircuts and margins has become a widely proclaimed behavior and is currently discussed not only by academic literature but also by regulatory authorities in Europe. Procyclicality of haircuts is assumed to be a trigger of liquidity spirals due to its tightening...
Persistent link: https://www.econbiz.de/10011975294
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Financial contagion with spillover effects : a multiplex network approach
Peralta, Gustavo; Crisóstomo, Ricardo - 2016
experiment demonstrates the benefits of counterparty diversification as a way of reducing systemic risk. The second experiment …
Persistent link: https://www.econbiz.de/10011975678
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How do structural policies affect financial crisis risk? : evidence from past crises across OECD and emerging economies
Ahrend, Rudiger; Goujard, Antoine - 2012
This paper examines how structural policies can influence a country's risk of suffering financial turmoil. Using a … can affect financial stability by either shaping the financial account structure, by reducing the risk of international … financial contagion, or by directly reducing the risk of financial crises. Differentiated capital controls are found to affect …
Persistent link: https://www.econbiz.de/10009691018
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Do liquidity limits amplify money market fund redemptions during the COVID crisis?
Dunne, Peter G.; Giuliana, Raffaele - 2021
Regulation of Money Market Funds (MMFs) in the EU requires some categories of MMFs to consider applying liquidity management tools if they breach a minimum 'weekly' liquidity requirement. Anticipation of the application of such tools is a plausible amplifier of run risks. Using a larger European...
Persistent link: https://www.econbiz.de/10012670037
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Stress-testing of liquidity risk in TARGET2
Papsdorf, Patrick (contributor); Arciero, Luca (contributor) - Europäische Zentralbank / Group on TARGET2 Stress Testing - 2017
The paper reports the outcome of the stress-testing of liquidity risk in the TARGET2 payment system, with the study …
Persistent link: https://www.econbiz.de/10011627053
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The impact of climate transition risks on financial stability : a systemic risk approach
Ojea-Ferreiro, Javier; Reboredo, Juan Carlos; Ugolini, … - 2022
risk metrics computed from a copula-based model of dependence between financial firm returns and financial asset market … returns: climate transition expected returns, climate transition value-at-risk, and climate transition expected shortfall …. Empirical evidence for European financial firms over the period 2013-2020 indicates that the climate transition risk varies …
Persistent link: https://www.econbiz.de/10013041402
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The collateral frameworks of the Eurosystem, the Federal Reserve System and the Bank of England and the financial market turmoil
Cheun, Samuel; Köppen-Mertes, Isabel von - 2009
Persistent link: https://www.econbiz.de/10011627112