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How do banking groups react to macroprudential policies? Cross-border spillover effects of higher capital buffers on lending, risk-taking and internal markets

Cappelletti, Giuseppe; Marques, Aurea Ponte; Salleo, Carmelo - 2020

We study the impact of macroprudential capital buffers on banking groups' lending and risk-taking decisions, also … buffers, subsidiaries deleverage lending and risk-taking towards non-financial corporations and marginally expanded lending … affiliated banks' lending activity. Therefore, to ensure the effectiveness of macroprudential policy, it is essential that …

Persistent link: https://www.econbiz.de/10012422159

The economics of central bank digital currency

Ahnert, Toni; Assenmacher-Wesche, Katrin; Hoffmann, Peter; … - 2022

This paper provides a structured overview of the burgeoning literature on the economics of CBDC. We document the economic forces that shape the rise of digital money and review motives for the issuance of CBDC. We then study the implications for the financial system and discuss of a number of...

Persistent link: https://www.econbiz.de/10014278554

The macroeconomics of liquidity in financial intermediation

Porcellacchia, Davide; Sheedy, Kevin D. - 2024

In financial crises, the premium on liquid assets such as US Treasuries increases alongside credit spreads. This paper explains the link between the liquidity premium and spreads. We present a theory of endogenous bank fragility arising from a coordination friction among bank creditors. The...

Persistent link: https://www.econbiz.de/10014543641

A unified framework for CBDC design: remuneration, collateral haircuts and quantity constraints

Assenmacher-Wesche, Katrin; Berentsen, Aleksander; … - 2021

steer the quantity of CBDC, the central bank can set the lending and deposit rates for CBDC as well as collateral and …

Persistent link: https://www.econbiz.de/10012605274

Aggregation-theoretic monetary aggregation over the euro area, when countries are heterogeneous

Barnett, William A. - 2003

Persistent link: https://www.econbiz.de/10011604306

Liquidity shocks and asset price boom/bust cycles

Adalid, Ramón; Detken, Carsten - 2007

We provide systematic evidence for the association of liquidity shocks and aggregate asset prices during mechanically identified asset price boom/bust episodes for 18 OECD countries since the 1970s, while taking care of the endogeneity of money and credit. Our derivation of liquidity shocks...

Persistent link: https://www.econbiz.de/10011604778

Quantity theory is alive: the role of international portfolio shifts

De Santis, Roberto A. - 2012

We challenge the view that the relationship between money and prices is too loose in countries with low inflation rates and argue that cross-border portfolio shifts are the root cause of the volatility in real money balances. The novelty of this paper is that we model jointly in the euro area...

Persistent link: https://www.econbiz.de/10011605480

Forecasting euro area inflation using targeted predictors: is money coming back?

Falagiarda, Matteo; Sousa, João - 2017

This paper sheds new light on the information content of monetary and credit aggregates for future price developments in the euro area. Overall, we find strong variation in the information content of these variables over time. We show that monetary and credit aggregates are very often selected...

Persistent link: https://www.econbiz.de/10011606060

CBDC and business cycle dynamics in a New Monetarist New Keynesian model

Assenmacher-Wesche, Katrin; Bitter, Lea; Ristiniemi, Annukka - 2023

To study implications of an interest-bearing CBDC on the economy, we integrate a New Monetarist-type decentralised market that explicitly accounts for the means-of-exchange function of bank deposits and CBDC into a New Keynesian model with financial frictions. The central bank influences the...

Persistent link: https://www.econbiz.de/10014374684

Nominal and real interest rates during an optimal disinflation in New Keynesian models.

Hagedorn, Marcus - 2008

Central bankers’ conventional wisdom suggests that nominal interest rates should be raised to implement a lower inflation target. In contrast, I show that the standard New Keynesian monetary model predicts that nominal interest rates should be decreased to attain this goal. Real interest...

Persistent link: https://www.econbiz.de/10011604924