decouple across secured and unsecured markets following an adverse shock to credit risk. The scarcity of underlying collateral …

on a simple asset pricing model and employing a dataset of hypothetical Eurosystem collateral positions, we simulate and … quantify the resulting change in collateral value pledged by counterparties to the Eurosystem, resulting from a transaction … cost shock. A 10 basis point increase in transaction costs entails a direct -0.30% decrease of collateral value and a -0 …

We assess the quantitative implications of collateral re-use on leverage, volatility, and welfare within an infinite …-horizon asset-pricing model with heterogeneous agents. In our model, the ability of agents to reuse frees up collateral that can be …

their regulatory ratio by altering their collateral pledging with the European Central Bank. We use the existence of … assets. Using security-level information on collateral pledged with the central bank, we find that banks without a preceding … national liquidity requirement pledge more and less liquid collateral than banks with a preceding national liquidity …

How do housing bubbles affect other economic sectors? We show that in the presence of collateral constraints, a bubble …

unsecured lending and substantial increases in haircuts on posted collateral. This paper seeks to understand the implications of …

repurchase agreements ('Repos'). By varying haircuts applied to securities that serve as collateral in repurchase agreements the …

In this paper, we build a Kiyotaki-Moore style collateral amplification framework which generates large endogenous … collateral but also their future debt market access. The possibility of such market exclusion can lead to the emergence of … intangible collateral in equilibrium alongside the tangible collateral which is usually studied in the literature. Fluctuations …