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Collateral damage? : micro-simulation of transaction cost shocks on the value of central bank collateral

Alvise Lennkh, Rudolf (contributor); … - European Central Bank - 2015

Transaction cost shocks in financial markets are known to affect asset prices. This paper analyses how changes in transaction costs may affect the value of assets that banks use to collateralise borrowings in monetary policy operations. Based on a simple asset pricing model and employing a...

Persistent link: https://www.econbiz.de/10015299052

Financial returns, sentiment and market volatility : a dynamic assessment

Borgioli, Stefano (contributor); … - European Central Bank - 2024

In 1936, John Maynard Keynes proposed that emotions and instincts are pivotal in decision-making, particularly for investors. Both positive and negative moods can influence judgments and decisions, extending to economic and financial choices. Intuitions, emotional states, and biases...

Persistent link: https://www.econbiz.de/10015321745

Unrealised losses in banks' bond portfolios measured at amortised cost

European Central Bank - 2023

view to enhancing the assessment of risk in the held-to-maturity portfolios of euro area banks and to furthering its … monitoring of interest rate risk and liquidity risk. …

Persistent link: https://www.econbiz.de/10015323887

Rational blinders strategic selection of risk models and bank capital regulation : N° 1641 / February 2014

Colliard, Jean-Edouard (contributor) - European Central Bank - 2014

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 leverage ratios. I show that banks for which those are binding reduce their credit … supply, which drives interest rates up, invites other banks to adopt optimistic models and possibly increases aggregate risk …

Persistent link: https://www.econbiz.de/10015302481