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  1. Regulatory requirements of banks and arbitrage in the post-crisis federal funds market
    Autor*in: Garratt, Rod; Priazhkina, Sofia
    Erschienen: [2022]
    Verlag:  Bank of Canada, [Ottawa]

    This paper explains the nature of interest rates in the U.S. federal funds market after the 2007-09 financial crisis. We build a model of the over-the-counter lending market that incorporates new aspects of the financial system: abundance of... mehr

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    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 219
    Fernleihe:
    keine Fernleihe

     

    This paper explains the nature of interest rates in the U.S. federal funds market after the 2007-09 financial crisis. We build a model of the over-the-counter lending market that incorporates new aspects of the financial system: abundance of liquidity, different regulatory standards for banks, and arbitrage opportunities created by limited access to the facility granting interest on excess reserves. The model determines the equilibrium federal funds rate as a function of the policy rates and explains the "leaky floor" phenomenon in which we observe federal funds rates that are strictly below the interest rate paid on reserves. Using the model, we explain the impact of raising government yields and tightening the Liquidity Coverage Ratio (LCR) and the Supplementary Leverage Ratio (SLR) requirements on the federal funds rates.

     
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    Auflage/Ausgabe: Last updated: November 28, 2022
    Schriftenreihe: Staff working paper / Bank of Canada ; 2022, 48
    Schlagworte: Central bank research; Economic models; Financial institutions; Financial markets; Financial stability; Wholesale funding; Financial system regulation and policies
    Umfang: 1 Online-Ressource (circa 40 Seiten), Illustrationen
  2. Formation of bargaining networks via link sharing
    Autor*in: Priazhkina, Sofia; Page, Frank H.
    Erschienen: 2014
    Verlag:  Fondazione Eni Enrico Mattei, Milano

    This paper presents a model of collusive bargaining networks. Given a status quo network, game is played in two stages: in the first stage, pairs of sellers form the network by signing two-sided contracts that allow sellers to use connections of... mehr

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 125 (2014,52)
    Fernleihe:
    keine Fernleihe

     

    This paper presents a model of collusive bargaining networks. Given a status quo network, game is played in two stages: in the first stage, pairs of sellers form the network by signing two-sided contracts that allow sellers to use connections of other sellers; in the second stage, sellers and buyers bargain for the product. We extend the notion of a pairwise Nash stability with transfers to pairwise Nash stability with contracts and characterize the subgame perfect equilibria. The equilibrium rents are determined for all firms based on their collateral and bargaining power. When a stable equilibrium exists, sharing always generates maximum social welfare and eliminates the frictions created by the network structure. The equilibria depend on the initial network setup, likewise bargaining and contractual procedures. In the homogeneous case, equilibria exist when the number of buyers and sellers are relatively unequal. When the number of buyers exceeds number of sellers, bargaining privileges of sellers over buyers and a low sharing transfer are required for the equilibrium to exist. In the networks with relatively few monopolized sellers, sharing leads to a complete reallocation of surplus to sellers and a zero sharing transfer. When the global market is dominated by sellers, surplus is divided relatively equitably. It is also shown that in the special case of the model with only one monopolistic seller and no market entry, the sharing process organizes sellers in the supply chain order.

     
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    hdl: 10419/101959
    Schriftenreihe: Array ; 52.2014
    Umfang: Online-Ressource (28 S.), graph. Darst.
  3. Information sharing and bargaining in buyer-seller networks
    Autor*in: Priazhkina, Sofia; Page, Frank H.
    Erschienen: December 2016
    Verlag:  Bank of Canada, [Ottawa]

    This paper presents a model of strategic buyer-seller networks with information exchange between sellers. Prior to engaging in bargaining with buyers, sellers can share access to buyers for a negotiated transfer. We study how this information... mehr

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 219 (2016,63)
    Fernleihe:
    keine Fernleihe

     

    This paper presents a model of strategic buyer-seller networks with information exchange between sellers. Prior to engaging in bargaining with buyers, sellers can share access to buyers for a negotiated transfer. We study how this information exchange affects overall market prices, volumes and welfare, given different initial market conditions and information sharing rules. In markets with homogeneous traders, sharing always increases total trade volume. The market reaches Walrasian trade volume when there are more buyers than sellers or when sellers have more bargaining power. In most cases, market surplus is completely reallocated to sellers. In the markets with heterogeneous traders, sharing may either increase or decrease total trade volume. When sellers have more bargaining power than buyers, information exchange leads to trade above the Walrasian level, thus leaving inefficiency only due to overproduction of high-cost sellers. As a result of information sharing, the buyers who value goods the least will be squeezed out from the market independent of their location and bargaining power. We also show that if, together with information exchange, sellers assign property rights on the information, exchange leads to lower volume and market prices than exchange without property rights.

     
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    hdl: 10419/171954
    Schriftenreihe: Staff working paper / Bank of Canada ; 2016, 63
    Umfang: 1 Online-Ressource (circa 44 Seiten), Illustrationen
  4. Stressed but not helpless
    strategic behavior of banks under adverse market conditions
    Autor*in: Halaj, Grzegorz; Priazhkina, Sofia
    Erschienen: [2021]
    Verlag:  Bank of Canada, [Ottawa]

    We model bank management actions in severe stress test conditions using a game-theoretical framework. Banks update their balance sheets to strategically maximize risk-adjusted returns to shareholders given three regulatory constraints and feedback... mehr

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    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 219
    Fernleihe:
    keine Fernleihe

     

    We model bank management actions in severe stress test conditions using a game-theoretical framework. Banks update their balance sheets to strategically maximize risk-adjusted returns to shareholders given three regulatory constraints and feedback effects related to fire sales, interactions of loan supply and demand, and deteriorating funding conditions. The framework allows us to study the role of strategic behaviors in amplifying or mitigating adverse macrofinancial shocks in a banking system and the role of macroprudential policies in the mitigation of systemic risk. In a macro-consistent stress testing application, we show that a trade-off can arise between banking stability (solvency) and macroeconomic stability (lending) and test whether the release of a countercyclical capital buffer can reduce systemic risk.

     
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    hdl: 10419/247415
    Auflage/Ausgabe: Last updated: July 19, 2021
    Schriftenreihe: Staff working paper / Bank of Canada ; 2021, 35
    Schlagworte: Central bank research; Economic models; Financial institutions; Financial stability; Financial system regulation and policies
    Umfang: 1 Online-Ressource (circa 61 Seiten), Illustrationen
  5. Quantum Monte Carlo for economics
    stress testing and macroeconomic deep learning
    Autor*in: Skavysh, Vladimir; Priazhkina, Sofia; Guala, Diego; Bromley, Thomas R.
    Erschienen: [2022]
    Verlag:  Bank of Canada, [Ottawa]

    Computational methods both open the frontiers of economic analysis and serve as a bottleneck in what can be achieved. Using the quantum Monte Carlo (QMC) algorithm, we are the first to study whether quantum computing can improve the run time of... mehr

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    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 219
    Fernleihe:
    keine Fernleihe

     

    Computational methods both open the frontiers of economic analysis and serve as a bottleneck in what can be achieved. Using the quantum Monte Carlo (QMC) algorithm, we are the first to study whether quantum computing can improve the run time of economic applications and challenges in doing so. We identify a large class of economic problems suitable for improvements. Then, we illustrate how to formulate and encode on quantum circuit two applications: (a) a bank stress testing model with credit shocks and fire sales and (b) a dynamic stochastic general equilibrium (DSGE) model solved with deep learning, and further demonstrate potential efficiency gain. We also present a few innovations in the QMC algorithm itself and in how to benchmark it to classical MC.

     
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    hdl: 10419/265223
    Auflage/Ausgabe: Last updated: June 28, 2022
    Schriftenreihe: Staff working paper / Bank of Canada ; 2022, 29
    Schlagworte: Business fluctuations and cycles; Central bank research; Econometric and statisticalmethods; Economic models; Financial stability
    Umfang: 1 Online-Ressource (circa 62 Seiten), Illustrationen
  6. Market structure of cryptoasset exchanges
    introduction, challenges and emerging trends
    Autor*in: Skavysh, Vladimir; Sharples, Jacob; Priazhkina, Sofia; Hasham, Salman H.
    Erschienen: [2024]
    Verlag:  Bank of Canada, [Ottawa, ON]

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    Verlag (kostenfrei)

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Fernleihe:
    keine Fernleihe
    Export in Literaturverwaltung   RIS-Format
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    Auflage/Ausgabe: Last updated: January 30, 2024
    Schriftenreihe: Staff analytical note / Bank of Canada ; 2024, 2
    Schlagworte: Kryptowerte; Virtuelle Währung; Marktstruktur; Welt
    Umfang: 1 Online-Ressource (circa 30 Seiten), Illustrationen