projects. In equilibrium, the collateralization-screening mix depends on the value of aggregate collateral. High collateral … important dynamic implications. During credit booms driven by high collateral values (e.g. real estate booms), the economy … accumulates physical capital but depletes information about investment projects. As a result, collateral-driven booms end in deep …

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

secured and unsecured markets following an adverse shock to credit risk. The scarcity of underlying collateral may amplify the …

The paper studies the central bank collateral framework and its impact on banks’ liquidity under an adverse stress test … significantly after the initial shock. We find evidence of a threshold in the benefits of expanding the collateral framework and … institutions can rely on the collateral framework channel …

the credit risk of their corporate loan portfolios when the latter are used as collateral in the Eurosystem’s monetary … actually used as Eurosystem collateral, particularly for large loans. The less conservative estimates of risk by IRBs relative … findings suggest the existence of a collateral-related channel through which the use of IRB ratings may influence the internal …

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 …