Search Results - subject:"REPOS"

Did you mean: subject:"repo" (1,233 results)

The price of liquidity: the effects of market conditions and bank characteristics

Fecht, Falko; Nyborg, Kjell G.; Rocholl, Jörg - European Central Bank - 2011

We study the prices that individual banks pay for liquidity (captured by borrowing rates in repos with the central bank …

Persistent link: https://www.econbiz.de/10009278181

The shadow costs of repos and bank liability structure

Klimenko, Nataliya; Moreno-Bromberg, Santiago - In: Journal of economic dynamics & control 65 (2016), pp. 1-29

Persistent link: https://www.econbiz.de/10011708297

The price of liquidity: Bank characteristics and market conditions

Fecht, Falko; Nyborg, Kjell G.; Rocholl, Jörg - 2010

prices that banks pay for liquidity, captured here by borrowing rates in repos with the central bank and benchmarked by the …

Persistent link: https://www.econbiz.de/10010315393

The Price of Liquidity: Bank Characteristics and Market Conditions

FECHT, Falko; NYBORG, Kjell G.; ROCHOLL, Jörg - 2010

prices that banks pay for liquidity, captured here by borrowing rates in repos with the central bank and benchmarked by the …

Persistent link: https://www.econbiz.de/10008922904

Risk-Taking and Asset-Side Contagion in an Originate-to-Distribute Banking Model

Pinna, A. - Centro Ricerche Nord Sud (CRENoS) - 2010

During the Subprime crisis the entire banking industry risked collapsing under an unprecedented lack of liquidity. This work tries and find what channel allowed a relatively small systemic shock, the increased mortgage delinquency in the US housing market, to spread worldwide with such a...

Persistent link: https://www.econbiz.de/10008679916

Government Actions and Interventions : More harm than good?

Taylor, John B. - In: Development Outreach 11 (2009) 3, pp. 50-53

There is empirical evidence that government actions and interventions prolonged and worsened the financial crisis, because they were based on faulty diagnosis of the problem and did not follow clear predictable principles.

Persistent link: https://www.econbiz.de/10015360096

Repos, Fire Sales, and Bankruptcy Policy

Antinolfi, Gaetano; Carapella, Francesca; Kahn, Charles; … - In: Review of Economic Dynamics 18 (2015) 1, pp. 21-31

This paper studies the optimal bankruptcy policy for repurchase agreements (repos) with respect to their exemption from … fire-sales. We find that exempting repos from the automatic stay may increase the size of the repo market by enhancing the …

Persistent link: https://www.econbiz.de/10011160657

The shadow cost of repos and bank liability structure

Klimenko, Nataliya; Moreno-Bromberg, Santiago - 2015

Making use of a structural model that allows for optimal liquidity management, we study the role that repos play in a … by a combination of repos, long–term debt, deposits and equity. Repos are a cheap source of funding, but they are subject … to an exogenous rollover risk. We show that the use of repos inflicts two types of indirect (“shadow”) costs on the bank …

Persistent link: https://www.econbiz.de/10011293473

Repos, fire sales, and bankruptcy policy

Antinolfi, Gaetano; Carapella, Francesca; Kahn, Charles M. - In: Review of economic dynamics 18 (2015) 1, pp. 21-31

Persistent link: https://www.econbiz.de/10011564074

An overview of the valuation of collateralized derivative contracts

Laurent, Jean-Paul; Amzelek, Philippe; Bonnaud, Joe - In: Review of Derivatives Research 17 (2014) 3, pp. 261-286

<Para ID="Par1">We consider the valuation of collateralized derivative contracts such as interest rate swaps or forward FX contracts. We allow for posting securities or cash in different currencies. In the latter case, we focus on using overnight index rates on the interbank market. Using time varying haircuts,...</para>

Persistent link: https://www.econbiz.de/10010989559