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Intraday Two-Part Tariff in Payment Systems

Ota, Tomohiro - 2011

intraday liquidity management. A model is developed to compare the performance of two different mechanisms to reduce payment … better outcome unless the payment system experiences a system-wide liquidity shock. We show that settlement delay can be … socially efficient, contrary to general understanding of the literature, when it reduces the aggregate cost of liquidity. The …

Persistent link: https://www.econbiz.de/10013124371

Liquidity Transformation, Collateral Assets and Counterparties

de Roure, Calebe - 2019

liquidity in the Bank of England's (BoE) operations. Between 2010 and 2016 there was regular usage of two BoE facilities … facilities to meet their liquidity needs. Collateral assets used for FLS are less liquid, since almost all assets are loan … provide market liquidity without absorbing undue risks onto its balance sheet …

Persistent link: https://www.econbiz.de/10012862159

Bank Leverage, Credit Traps and Credit Policies

Foulis, Angus - 2015

We construct an overlapping generations macroeconomic model with which to study the causes, consequences and remedies to ‘credit traps' — prolonged periods of stagnant real activity accompanied by low productivity, financial sector undercapitalisation, and the misallocation of credit. In our...

Persistent link: https://www.econbiz.de/10013018289

Extracting Information from Structured Credit Markets

Noss, Joseph - 2010

Structured credit instruments offer an insight into markets’ perceptions of the extent of future credit defaults. Claims of different seniorities incur losses only if defaults reach different magnitudes, so their relative value offers an insight into the likelihood of losses being of different...

Persistent link: https://www.econbiz.de/10014188541

Measuring Financial Cycle Time

Filardo, Andrew J. - 2019

Motivated by the traditional business cycle approach of Burns and Mitchell (1946), we explore cyclical similarities in financial conditions over time in order to improve our understanding of financial cycles. Looking back at 120 years of data, we find that financial cycles exhibit behaviour...

Persistent link: https://www.econbiz.de/10012894116

Monetary Policy Spillovers in the First Age of Financial Globalisation : A Narrative VAR Approach 1884–1913

Green, Georgina - 2018

This paper investigates whether movements in the Bank of England's interest rate hindered the development of the United States by transmitting or amplifying crises during the first age of financial globalisation. Evidence that US monetary and financial developments entered into the Bank's...

Persistent link: https://www.econbiz.de/10012925215

Dash for dollars

Cesa-Bianchi, Ambrogio; Eguren Martin, Fernando - 2021

-dollar sample it was the spreads of longer maturity bonds that widened more markedly. Price pressures arising from a liquidity …

Persistent link: https://www.econbiz.de/10013216598

Foreign Vulnerabilities, Domestic Risks : The Global Drivers of GDP-at-Risk

Lloyd, Simon; Manuel, Ed; Panchev, Konstantin - 2021

We study how foreign financial developments influence the conditional distribution of domestic GDP growth. Within a quantile regression setup, we propose a method to parsimoniously account for foreign vulnerabilities using bilateral-exposure weights when assessing downside macroeconomic risks....

Persistent link: https://www.econbiz.de/10013211974

Targeting Financial Stability : Macroprudential or Monetary Policy?

Aikman, David - 2018

This paper explores monetary-macroprudential policy interactions in a simple, calibrated New Keynesian model incorporating the possibility of a credit boom precipitating a financial crisis and a loss function reflecting financial stability considerations. Deploying the countercyclical capital...

Persistent link: https://www.econbiz.de/10012917140

Central Counterparties and the Topology of Clearing Networks

Galbiati, Marco - 2013

Given a network of client-clearer relationships, we define central clearing as a function transforming bilateral trading exposures into centrally cleared exposures. By using numerical simulations, we study how this function is affected by the network's topology, focusing on the exposures of the...

Persistent link: https://www.econbiz.de/10013077494