This paper develops a model of financial institutions that borrow short term and invest in longterm assets that can be traded in frictionless markets. Because these financial intermediaries perform maturity transformation, they are subject to potential runs. We derive distinct liquidity,...

This paper develops an infinite-horizon model of financial institutions that borrow short-term and invest in long-term assets that can be traded in frictionless markets. Because these financial intermediaries perform maturity transformation, they are subject to potential runs. We derive distinct...

This paper investigates the impact of news media sentiment on financial market returns and volatility in the long-term. We hypothesize that the way the media formulate and present news to the public produces different perceptions and, thus, incurs different investor behavior. To analyze such...

The ECB has accepted increasing amounts of rubbish collateral since the crisis started leading to exposure to serious private sector credit risk (i.e. default risk) on its collateralised lending and reverse operations ('repo'). This has led some commentators to argue that the ECB needs 'fiscal...

The ECB has accepted increasing amounts of rubbish collateral since the crisis started leading to exposure to serious private sector credit risk (i.e. default risk) on its collateralised lending and reverse operations (repo). This has led some commentators to argue that the ECB needs fiscal...

The ECB has accepted increasing amounts of rubbish collateral since the crisis started leading to exposure to serious private sector credit risk (i.e. default risk) on its collateralised lending and reverse operations (repo). This has led some commentators to argue that the ECB needs fiscal...

The recent financial crisis has shown that short-term collateralized borrowing may be a highly unstable source of funds in times of stress. The present paper develops a dynamic equilibrium model and analyzes under what conditions such instability can be a consequence of market-wide changes in...

Existing literature has identified domestic restrictive monetary policy and deteriorating funding conditions as the predominant factors explaining the increase in net interoffice accounts of global banks, that is, the net liabilities of parent offices due to their related foreign offices. The...

Following the Treasury-Federal Reserve Accord of March 3, 1951, the Federal Open Market Committee (FOMC) focused on free reserves - the difference between excess reserves (reserve deposits in excess of reserve requirements) and borrowed reserves - as the touchstone of U.S. monetary policy....