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Duffie, Darrell - 2014

demand of new margin and clearing practices and regulations. We decompose collateral demand for both customers and dealers … impact on collateral demand of more widespread initial margin requirements, increased novation of CDS to central clearing … parties (CCPs), an increase in the number of clearing members, the proliferation of CCPs of both specialized and non …

Persistent link: https://www.econbiz.de/10013059582

Financial Regulation, Financial Globalization and the Synchronization of Economic Activity

Kalemli-Ozcan, Sebnem - 2010

We identify the effect of financial integration on international business cycle synchronization, by utilizing a confidential database on banks' bilateral exposure and employing a country-pair panel instrumental variables approach. Countries that become more integrated over time have less...

Persistent link: https://www.econbiz.de/10013141875

Shock Amplification in an Interconnected Financial System of Banks and Investment Funds

Sydow, Matthias; Schilte, Aurore; Covi, Giovanni; … - 2021

This paper shows how the combined endogenous reaction of banks and investment funds to an exogenous shock can amplify or dampen losses to the financial system compared to results from single-sector stress testing models. We build a new model of contagion propagation using a very large and...

Persistent link: https://www.econbiz.de/10013216767

Interdependencies in the Euro Area Derivatives Clearing Network : A Multi-Layer Network Approach

Rosati, Simonetta - 2020

markets across the globe, call for taking a “macro” view on the interconnections arising in the clearing network. Based on the …

Persistent link: https://www.econbiz.de/10012844618

Is the EU Money Market Fund Regulation Fit for Purpose? Lessons from the COVID-19 Turmoil

Capotă, Laura-Dona; Grill, Michael; Molestina Vivar, Luis - 2022

The market turmoil in March 2020 highlighted key vulnerabilities in the EU money market fund (MMF) sector. This paper assesses the effectiveness of the EU's regulatory framework from a financial stability perspective, based on a panel analysis of EU MMFs at a daily frequency. First, we find that...

Persistent link: https://www.econbiz.de/10014236736

Interbank Market Integration, Loan Rates, and Firm Leverage

Ongena, Steven - 2010

We study the effect of interbank market integration on small firm finance in the build-up to the 2007-2008 financial crisis. We use a comprehensive data set that contains contract terms on individual loans to 6,047 firms across 14 European countries between 1998:01 and 2005:12. We account for...

Persistent link: https://www.econbiz.de/10013137713

Institutional Presence in Secondary Bank Bond Markets : How Does It Affect Liquidity and Volatility?

Oprica, Silviu - 2019

Using newly available information on euro area sectoral holdings of securities, this paper investigates to what extent the presence of institutional investors affects volatility and liquidity in secondary bank bond markets. We find that non-bank financial intermediaries, in particular money...

Persistent link: https://www.econbiz.de/10012871121

Investment Funds, Monetary Policy, and the Global Financial Cycle

Kaufmann, Christoph - 2021

financial markets world-wide gained importance during the post-crisis “second phase of global liquidity” (Shin, 2013). The …

Persistent link: https://www.econbiz.de/10013314948

A Model of System-Wide Stress Simulation : Market-Based Finance and the COVID-19 Event

Di Iasio, Giovanni; Alogoskoufis, Spyros; Kordel, Simon; … - 2022

We build a model to simulate how the euro area market-based financial system may function under stress. The core of the model is a set of representative agents reflecting key economic sectors, which interact in asset, funding, and derivatives markets and face solvency and liquidity constraints...

Persistent link: https://www.econbiz.de/10013405132

Markets, Banks, and Shadow Banks

Martinez-Miera, David - 2019

We analyze the effect of bank capital requirements on the structure and risk of a financial system where markets, regulated banks, and shadow banks coexist. Banks face a moral hazard problem in screening entrepreneurs' projects, and they choose whether to be regulated or not. If regulated, a...

Persistent link: https://www.econbiz.de/10012893588