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A detrimental feedback loop : deleveraging and adverse selection
Bertsch, Christoph - 2013
' long-term leverage choices and an "interim" inefficiency because it distorts agents' short-term liquidity management. I … decreasing their leverage which in turn amplifies the adverse selection problem in asset markets. In the extreme case, this leads …
Persistent link: https://www.econbiz.de/10010202960
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A detrimental feedback loop: deleveraging and adverse selection
Bertsch, Christoph - Sveriges Riksbank - 2013
' long-term leverage choices and an "interim" inefficiency because it distorts agents' short-term liquidity management. I … decreasing their leverage which in turn amplifies the adverse selection problem in asset markets. In the extreme case, this leads …
Persistent link: https://www.econbiz.de/10010818850
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A leverage-based measure of financial instability
Tepper, Alexander; Borowiecki, Karol Jan - 2014
We employ a model of leverage-induced explosive behavior in financial markets to develop a measure of financial market … investors are forced to liquidate. The size and leverage of all levered investors and the elasticity of demand of unlevered …
Persistent link: https://www.econbiz.de/10010404536
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A leverage-based measure of financial instability
Tepper, Alexander; Borowiecki, Karol Jan - 2014
We employ a model of leverage-induced explosive behavior in financial markets to develop a measure of financial market … investors are forced to liquidate. The size and leverage of all levered investors and the elasticity of demand of unlevered …
Persistent link: https://www.econbiz.de/10011341018
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A Leverage-Based Measure of Financial Instability
Tepper, Alexander; Borowiecki, Karol Jan - Institut for Virksomhedsledelse og Økonomi, Syddansk … - 2014
We employ a model of leverage-induced explosive behavior in financial markets to develop a measure of financial market … investors are forced to liquidate. The size and leverage of all levered investors and the elasticity of demand of unlevered …
Persistent link: https://www.econbiz.de/10010890035
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Credit, Financial Stability, and the Macroeconomy
Taylor, Alan M. - C.E.P.R. Discussion Papers - 2015
Since the 2008 global financial crisis, and after decades of relative neglect, the importance of the financial system and its episodic crises as drivers of macroeconomic outcomes has attracted fresh scrutiny from academics, policy makers, and practitioners. Theoretical advances are following a...
Persistent link: https://www.econbiz.de/10011213304
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Procyclical finance : the money view
Li, Ye - 2017
of the world, but by squeezing intermediaries' profits and amplifying their leverage cycle, public liquidity increases …, holding intermediaries' debt as cash. This paper shows that intermediaries' liquidity creation stimulates growth -- firms hold … their debt for unhedgeable investment needs -- but also breeds instability through procyclical intermediary leverage …
Persistent link: https://www.econbiz.de/10011968932
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How Effective Were the Federal Reserve Emergency Liquidity Facilities? Evidence from the Asset-Backed Commercial Paper Money Market Mutual Fund Liquidity Facility
Duygan-Bump, Burcu - 2012
vulnerabilities of short-term credit markets and the role of central banks as back-stop liquidity providers to financial markets. The … Federal Reserve's response to financial disruptions in the United States importantly included creating liquidity facilities … interventions — the Asset-Backed Commercial Paper Money Market Mutual Fund Liquidity Facility. Our findings indicate that this …
Persistent link: https://www.econbiz.de/10013116163
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Liquidity Provision and Financial Stability
Chen, William; Phelan, Gregory - 2022
When financial intermediaries’ key characteristic is provision of liquidity through their liabilities, with financial … frictions the financial sector in the aggregate is likely to over-accumulate equity, thus decreasing liquidity provision and … financial sector. This policy increases the likelihood that intermediaries provide more liquidity and improves the stability of …
Persistent link: https://www.econbiz.de/10014235793
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Financial Fragility and Over-the-Counter Markets
Sultanum, Bruno - 2016
This paper studies the interaction between financial fragility and over-the-counter markets. In the model, the financial sector is composed of a large number of investors divided into different groups, which are interpreted as financial institutions, and a large number of dealers. Financial...
Persistent link: https://www.econbiz.de/10012994617