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Structural Liquidity as the Indicator of Interest Rate Policy

Gambarov, Georgy - In: Applied Econometrics 7 (2007) 3, pp. 3-10

The article reviews basic principles and directions of the interest rate policy of the Bank of Russia in the second half of 2006. It presents some developments in bank liquidity indicators and by using a simple statistical model provides an explanation of introduction of new bank liquidity...

Persistent link: https://www.econbiz.de/10009291923

Using Counterfactual Simulations to Assess the Danger of Contagion in Interbank Markets

Upper, Christian - 2013

Researchers at central banks increasingly turn to counterfactual simulations to estimate the danger of contagion owing to exposures in the interbank loan market. The present paper summarises the findings of such simulations, provides a critical assessment of the modelling assumptions on which...

Persistent link: https://www.econbiz.de/10014224176

Liquidity risk and funding cost

Bechtel, Alexander; Ranaldo, Angelo; Wrampelmeyer, Jan - 2019

We propose and test a new channel that links funding liquidity risk and interest rates in short-term funding markets. Borrowers with high liquidity risk are willing to pay a markup to lock in their funding, independent of risk premiums demanded by lenders. We test the channel using unique...

Persistent link: https://www.econbiz.de/10012050871

Payment changes and default risk: The impact of refinancing on expected credit losses

Tracy, Joseph; Wright, Joshua - 2012

reduction that we estimate would result from refinancing under HARP, we find that the cumulative five-year default rate on prime …

Persistent link: https://www.econbiz.de/10010283565

Debt-Deflation: Concepts, and a Stylised Model

Peter, Goetz von - EconWPA - 2005

This paper proposes a model of how agents adjust their asset holdings in response to losses in general equilibrium. By emphasising the relation between deflation and financial distress, we capture some original features of the early debt-deflation literature, such as distress selling,...

Persistent link: https://www.econbiz.de/10005126279

Debt-deflation: concepts and a stylised model

Peter, Goetz von - Bank for International Settlements (BIS) - 2005

Persistent link: https://www.econbiz.de/10005063361

Payment changes and default risk : the impact of refinancing on expected credit losses

Tracy, Joseph S.; Wright, Joshua D. - 2012

reduction that we estimate would result from refinancing under HARP, we find that the cumulative five-year default rate on prime … per dollar of balance for mortgages that refinance under HARP. -- refinancing ; default …

Persistent link: https://www.econbiz.de/10009546645

An assessment of the Bank of Canada's term PRA facility

Enenajor, Emanuella; Sebastian, Alex; Witmer, Jonathan - 2010

This paper empirically assesses the effectiveness of the Bank of Canada's term Purchase and Resale Agreement (PRA) facility in reducing short-term bank funding pressures, as measured by the CDOR-OIS spread. It examines the behaviour of this spread around both term PRA announcement dates and term...

Persistent link: https://www.econbiz.de/10003996872

Mortgage Refinancing, Consumer Spending, and Competition : Evidence from the Home Affordable Refinance Program

Agarwal, Sumit - 2020

mortgage refinancing activity and spur consumption by focusing on the Home Affordable Refinance Program (HARP). The policy … in refinancing activity by HARP. More than three million eligible borrowers with primarily fixed-rate mortgages … spending by borrowers increased significantly after refinancing and regions more exposed to the program saw a relative increase …

Persistent link: https://www.econbiz.de/10012856000

Does Junior Inherit? Refinancing and the Blocking Power of Second Mortgages

Bond, Philip - 2020

Refinancing a first mortgage puts legal principles in conflict when other, junior, liens also exist. On one hand, the … principle that seniority follows time priority leaves the new refinancing mortgage junior to mortgages that were junior to the … original, refinanced first mortgage. On the other hand, the principle of equitable subrogation gives the refinancing mortgage …

Persistent link: https://www.econbiz.de/10012857139