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Systemic instability of the interbank credit market : a contribution to a resilient financial system
Gries, Thomas; Mitschke, Alexandra - 2019
availability of liquidity. Following a shock materialization, a sequential flow adjustment process sets in. While the market …
Persistent link: https://www.econbiz.de/10012296413
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Identifying systemically important financial institutions : a network approach
Rovira Kaltwasser, Pablo; Spelta, Alessandro - In: Computational Management Science : CMS 16 (2019) 1/2, pp. 155-185
Persistent link: https://www.econbiz.de/10011993457
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Short-term liquidity management mechanisms in the absence of Islamic interbank loan markets
Yandiev, Magomet - In: Macroprudential regulation and policy for the Islamic …, (pp. 153-159). 2016
Persistent link: https://www.econbiz.de/10011568104
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Predatory trading, stigma and the Fed's Term Auction facility
La'O, Jennifer - In: Journal of monetary economics 65 (2014), pp. 57-75
Persistent link: https://www.econbiz.de/10010485268
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Systemic liquidity contagion in the European interbank market
Macchiati, Valentina; Brandi, Giuseppe; Di Matteo, Tiziana - In: Journal of economic interaction and coordination 17 (2022) 2, pp. 443-474
Persistent link: https://www.econbiz.de/10013271944
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The financial accelerator in the euro area : new evidence using a mixture VAR model
Bennani, Hamza; Burgard, Jan Pablo; Neuenkirch, Matthias - 2021 - First draft: November 23, 2020 ; this version: May 17, 2021
We estimate a logit mixture vector autoregressive model describing monetary policy transmission in the euro area over the period 2003Q1-2019Q4 with a special emphasis on credit conditions. With the help of this model, monetary policy transmission can be described as mixture of two states (e.g.,...
Persistent link: https://www.econbiz.de/10013328355
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Identifying monetary policy and central bank information shocks using high-frequency exchange rates
Holtemöller, Oliver; Kriwoluzky, Alexander; Kwak, Boreum - 2019
This work investigates effects of conventional monetary policy and central bank information shocks from monetary policy announcements on the U.S. economy. We identify the surprises caused by changes in target rate and central bank’s private information embedded in high frequency exchange rate...
Persistent link: https://www.econbiz.de/10012304714
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Natural rate chimera and bond pricing reality
Brand, Claus; Goy, Gavin; Lemke, Wolfgang - 2020
Incorporating arbitrage-free term-structure dynamics into a semi-structural macro-model, we jointly estimate the real equilibrium interest rate (r*), trend inflation, and term premia for the United States and the euro area, using a Bayesian approach. The natural real rate and trend inflation are...
Persistent link: https://www.econbiz.de/10012425011
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Endogenous forward guidance
Chafwehé, Boris; Oikonomou, Rigas; Priftis, Romanos; … - 2019
commiting to keep interest rates low at the exit of the liquidity trap, to stabilize inflation today. 2. From debt … interest rates. Liquidity trap (LT) episodes are longer, however, the impact of interest rate policy commitments on inflation … positive at the onset of the episode, through promising higher inflation rates in future periods. We embed our theory into a …
Persistent link: https://www.econbiz.de/10012304687
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Capital and resolution policies : the US interbank market
Capponi, Agostino; Dooley, John M.; Oet, Mikhail V.; … - In: Journal of financial stability 30 (2017), pp. 229-239
Persistent link: https://www.econbiz.de/10011825608