central bank collateral framework and regulation determine jointly the ability of the banking system to deliver maturity … bank collateral and why a sudden non-anticipated reduction of asset liquidity, or a tightening of the collateral framework …' funding liquidity and solvency. Both asset liquidity and central bank haircuts are modelled as power functions within the unit …

Defaults of financial institutions can cause large, disorderly liquidations of repo collateral. This paper analyzes the … dynamics of such liquidations. The model shows that (i) the equilibrium price of the collateral asset can overshoot; (ii) the …' by competing sellers of collateral; (iii) repo lenders should take into account creditor structure, strategic interaction …