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Liquidity hoarding and interbank market spreads: the role of counterparty risk
Heider, Florian; Hoerova, Marie; Holthausen, Cornelia - 2009
banks to have private information about the risk of their assets. We show how banks’ asset risk affects funding liquidity in … state with adverse selection and elevated rates; and iii) market breakdown with liquidity hoarding. We provide an … of unsecured rates and excess reserves banks hold, as well as the inability of massive liquidity injections by central …
Persistent link: https://www.econbiz.de/10011605172
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Repo markets, counterparty risk and the 2007/2008 liquidity crisis
Ewerhart, Christian; Tapking, Jens - 2008
A standard repurchase agreement between two counterparties is considered to examine the endogenous choice of collateral assets, the feasibility of secured lending, and welfare implications of the central bank’s collateral framework. As an important innovation, we allow for two-sided...
Persistent link: https://www.econbiz.de/10011604955
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Rational blinders: strategic selection of risk models and bank capital regulation
Colliard, Jean-Edouard - 2014
The regulatory use of banks' internal models aims at making capital requirements more accurate and reducing regulatory arbitrage, but may also give banks incentives to choose their risk models strategically. Current policy answers to this problem include the use of risk-weight floors and...
Persistent link: https://www.econbiz.de/10011605686
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The impact of public guarantees on bank risk taking: evidence from a natural experiment
Gropp, Reint E.; Gruendl, Christian; Guettler, Andre - 2010
In 2001, government guarantees for savings banks in Germany were removed following a law suit. We use this natural experiment to examine the effect of government guarantees on bank risk taking, using a large data set of matched bank/borrower information. The results suggest that banks whose...
Persistent link: https://www.econbiz.de/10011605318
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Bank mergers, competition and liquidity
Carletti, Elena; Hartmann, Philipp; Spagnolo, Giancarlo - 2003
Persistent link: https://www.econbiz.de/10011604338
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Run-prone banking and asset markets
Hoerova, Marie - 2007
insure consumers against privately observed liquidity shocks. Asset market investments insure consumers against losses from … bank runs. If the probability of a run is small, then banks specialize fully into the provision of liquidity insurance …: They provide a higher degree of liquidity insurance when compared to the economy with banks alone. If the probability of a …
Persistent link: https://www.econbiz.de/10011604891
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Central bank transparency and private information in a dynamic macroeconomic model
Pearlman, Joseph G. - 2005
We investigate the role of economic transparency within the framework of one of Townsend’s models of ‘forecasting the forecasts of others’. The equilibrium has the property that ‘higher order beliefs’ are coordinated into a finite-dimensional setup that is amenable to address monetary...
Persistent link: https://www.econbiz.de/10011604501
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Structural econometric approach to bidding in the main refinancing operations of the Eurosystem
Cassola, Nuno; Ewerhart, Christian; Morana, Claudio - 2007
liquidity uncertainty and decreases with the number of participants. …
Persistent link: https://www.econbiz.de/10011604839
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Financial market integration and loan competition: when is entry deregulation socially beneficial?
Kaas, Leo - 2004
The paper analyzes how the removal of barriers to entry in banking affect loan competition, bank stability and economic welfare. We consider a model of spatial loan competition where a market that is served by less efficient banks is opened to entry by banks that are more efficient in screening...
Persistent link: https://www.econbiz.de/10011604449
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Risk-sharing or risk-taking? Counterparty risk, incentives and margins
Biais, Bruno; Heider, Florian; Hoerova, Marie - 2012
We analyze optimal hedging contracts and show that although hedging aims at sharing risk, it can lead to more risk-taking. News implying that a hedge is likely to be loss-making undermines the risk-prevention incentives of the protection seller. This incentive problem limits the capacity to...
Persistent link: https://www.econbiz.de/10011605458