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Real effects of financial market integration : evidence from an ECB collateral framework change

Hüttl, Pia; Kaldorf, Matthias - 2022 - Revised version: 6. February 2023

Does central bank collateral policy contribute to financial market integration? We address this question by exploiting that, in 2007, the European Central Bank replaced national collateral frameworks by a single list. Under the single list regime, euro area banks could pledge all euro area bank...

Persistent link: https://www.econbiz.de/10013549091

US vs. Euro Area : Who Drives Cross-Border Bank Lending to EMS?

Cerutti, Eugenio - 2019

This paper analyzes the drivers of cross-border bank lending to 49 Emerging Markets (EMs) during the period 1990Q1-2014Q4, by assessing the impact of monetary, financial and real sector shocks in both the US and the euro area. The literature has traditionally highlighted the influence of US...

Persistent link: https://www.econbiz.de/10012859870

The ECB's QE and Euro Cross-Border Bank Lending

Avdjiev, Stefan - 2016

There is growing evidence that the currency distribution of cross-border credit affects international monetary policy spillovers. While the existing literature has concentrated primarily on the US dollar, this article focuses on the euro. We find that the ECB's quantitative easing of January...

Persistent link: https://www.econbiz.de/10012982627

Macro and micro of external finance premium and monetary policy transmission

Altavilla, Carlo; Gürkaynak, Refet S.; Quaedvlieg, Rogier - 2024

We establish basic facts about the external finance premium. Tens of millions of individual loan contracts extended to euro area firms allow studying the determinants of the external finance premium at the country, bank, firm, and contract levels of disaggregation. At the country level, the...

Persistent link: https://www.econbiz.de/10014527119

The SSM at 1

Laeven, Luc; Draghi, Mario; Dombret, Andreas R.; … - SUERF - The European Money and Finance Forum; Deutsche …; … - 2016

On 3 December EY hosted a SUERF conference on banking reform with Sir Howard Davies, the Chairman of RBS, and Dame Colette Bowe, the Chairman of the Banking Standards Board, as the two keynote speakers. Professor David Miles (Imperial College) gave the SUERF 2015 Annual Lecture on Capital and...

Persistent link: https://www.econbiz.de/10011557140

Price and liquidity discovery in European sovereign bonds and futures

Jappelli, Ruggero; Lucke, Konrad; Pelizzon, Loriana - 2022

This work uses financial markets connected by arbitrage relations to investigate the dynamics of price and liquidity … discovery, which refer to the cross-instrument forecasting power for prices and liquidity, respectively. Specifically, we seek … the liquidity discovery induced by the COVID-19 pandemic. Within a cointegration model, we find that price discovery …

Persistent link: https://www.econbiz.de/10013194146

International Liquidity Shocks and Domestic Loan Supply in the Euro Area

Zwick, Lina - 2015

activities due to international liquidity shortages. To probe this explanation, this paper analyzes the macroeconomic effects of … adverse international liquidity shocks for eleven Euro Area countries between 2003 and 2013 on a quarterly basis. The … international liquidity shocks are identified by applying a panel vector autoregressive (VAR) model with sign restrictions. The …

Persistent link: https://www.econbiz.de/10013018113

Drivers of global liquidity and global bank flows : a view from the euro area

Everett, Mary - 2016

This paper exploits a novel bank-level monthly dataset to assess the effects of global liquidity on the global flows of … supports a range of determinants of global liquidity - including global risk, global bank equity and unconventional monetary … indicates heterogeneity in the influence of global liquidity on global flows across euro area bank type, defined by their …

Persistent link: https://www.econbiz.de/10011446311

Non-performing loans, cost of capital, and lending supply : lessons from the Eurozone banking crisis

Chiesa, Gabriella; Mansilla-Fernández, José Manuel - 2018

-performing loans (NPLs) on bank cost of capital, credit and liquidity creation in the Eurozone. Empirical results confirm the model …-term. Moreover, the increased cost of capital reduces credit and liquidity creation, and the more so the less capitalized is the bank …

Persistent link: https://www.econbiz.de/10011913717

Market Liquidity Risk Premia in Eurozone Government Bonds' Yield Spreads

Kahlert, Dennis - 2017

This paper is about market liquidity risk premia in Eurozone sovereign bond spreads between 2008 and 2015. By … and market liquidity spread components in government bonds and investigate their dynamics across the Euro Area. Short … analysis to the liquidity driven bond/CDS basis to examine the proportion of systematic and idiosyncratic determinants of …

Persistent link: https://www.econbiz.de/10012969408