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  1. The price of money
    now collateral policy affects the yield curve
    Autor*in: Nyborg, Kjell G.; Woschitz, Jiri
    Erschienen: 2021
    Verlag:  Swiss Finance Institute, Geneva

    Central-bank collateral policy governs the convertibility of assets into central-bank money provided directly by the central bank. Focusing on government bonds, we develop clean identification of variation in such convertibility by exploiting... mehr

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    Resolving-System (kostenfrei)
    Verlag (kostenfrei)
    Verlag (kostenfrei)

    Standort:
    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
    Fernleihe:
    keine Fernleihe

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    VS 544
    Fernleihe:
    keine Fernleihe

     

    Central-bank collateral policy governs the convertibility of assets into central-bank money provided directly by the central bank. Focusing on government bonds, we develop clean identification of variation in such convertibility by exploiting differential treatment of same-country government bonds in the euro area. Combining difference-in-differences analysis with yield-curve modeling on four separate events, we show that reduced convertibility lifts yields, but with the effect tapering off at longer maturities. Our findings imply that central-bank money is priced in the market and that a central bank can move and shape the yield curve through collateral policy

     
    Export in Literaturverwaltung   RIS-Format
      BibTeX-Format
    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    Schriftenreihe: Research paper series / Swiss Finance Institute ; no 21, 74
    Schlagworte: Yield curve; central bank; collateral policy; monetary policy; haircuts; repo; asset prices; liquidity; central-bank money; government bonds
    Umfang: 1 Online-Ressource (circa 69 Seiten), Illustrationen
  2. Stability-equivalence of bailouts and bailins with welfare consequences
    Autor*in: Schilling, Linda
    Erschienen: 13 February 2024
    Verlag:  Centre for Economic Policy Research, London

    In a global game, I show that creditor bailins, when well-designed, can attain the exact same level of bank stability as costly creditor bailouts. This result holds for both risk-averse and risk-neutral creditors. Because bailouts are costly but do... mehr

    Zugang:
    Verlag (Deutschlandweit zugänglich)
    Verlag (Deutschlandweit zugänglich)

    Standort:
    Universität Potsdam, Universitätsbibliothek
    Fernleihe:
    uneingeschränkte Fernleihe, Kopie und Ausleihe

     

    In a global game, I show that creditor bailins, when well-designed, can attain the exact same level of bank stability as costly creditor bailouts. This result holds for both risk-averse and risk-neutral creditors. Because bailouts are costly but do not necessarily provide a stability advantage, a ``stability-equivalent'' bailin can yield higher welfare than a bailout either if the bank is small in the economy or if the bank is large and the ex ante stability level of the bank is high. This holds even though impatient creditor types exist that have to consume early and suffer from a bailin.

     
    Export in Literaturverwaltung   RIS-Format
      BibTeX-Format
    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Schriftenreihe: Array ; DP18832
    Schlagworte: financial regulation; bank runs; global games; stability-equivalence; pol-icy effectiveness; bank resolution; haircuts; bailout; withdrawal fees; money marketmutual fund gates; suspension of convertibility
    Umfang: 1 Online-Ressource (circa 59 Seiten)
  3. Monetary Policy at Work
    Security and Credit Application Registers Evidence
    Autor*in: Peydró, José-Luis; Polo, Andrea; Sette, Enrico
    Erschienen: 2020
    Verlag:  ZBW – Leibniz Information Centre for Economics, Kiel

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  4. The price of money
    the reserves convertibility premium over the term structure
    Autor*in: Nyborg, Kjell; Woschitz, Jiri
    Erschienen: 16 August 2023
    Verlag:  Centre for Economic Policy Research, London

    Zugang:
    Verlag (lizenzpflichtig)
    Verlag (lizenzpflichtig)

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    LZ 161
    Fernleihe:
    keine Fernleihe

    Standort:
    Universitätsbibliothek Mannheim
    Fernleihe:
    keine Fernleihe
    Export in Literaturverwaltung   RIS-Format
      BibTeX-Format
    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Schriftenreihe: Array ; DP18371
    Schlagworte: Central-bank money; reserves; collateral; haircuts; convertibility premium; liquiditypremium; term structure; yield curve; collateral policy
    Umfang: 1 Online-Ressource (circa 67 Seiten), Illustrationen
  5. Stability-equivalence of bailouts and bailins with welfare consequences
    Autor*in: Schilling, Linda
    Erschienen: 13 February 2024
    Verlag:  Centre for Economic Policy Research, London

    In a global game, I show that creditor bailins, when well-designed, can attain the exact same level of bank stability as costly creditor bailouts. This result holds for both risk-averse and risk-neutral creditors. Because bailouts are costly but do... mehr

    Zugang:
    Verlag (Deutschlandweit zugänglich)
    Verlag (Deutschlandweit zugänglich)

    Standort:
    Staats- und Universitätsbibliothek Bremen
    Fernleihe:
    keine Fernleihe

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    LZ 161
    Fernleihe:
    keine Fernleihe

    Standort:
    Bibliotheks-und Informationssystem der Carl von Ossietzky Universität Oldenburg (BIS)
    Fernleihe:
    keine Fernleihe

    Standort:
    Universität Potsdam, Universitätsbibliothek
    Fernleihe:
    keine Fernleihe

     

    In a global game, I show that creditor bailins, when well-designed, can attain the exact same level of bank stability as costly creditor bailouts. This result holds for both risk-averse and risk-neutral creditors. Because bailouts are costly but do not necessarily provide a stability advantage, a ``stability-equivalent'' bailin can yield higher welfare than a bailout either if the bank is small in the economy or if the bank is large and the ex ante stability level of the bank is high. This holds even though impatient creditor types exist that have to consume early and suffer from a bailin.

     
    Export in Literaturverwaltung   RIS-Format
      BibTeX-Format
    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Schriftenreihe: Array ; DP18832
    Schlagworte: financial regulation; bank runs; global games; stability-equivalence; pol-icy effectiveness; bank resolution; haircuts; bailout; withdrawal fees; money marketmutual fund gates; suspension of convertibility
    Umfang: 1 Online-Ressource (circa 59 Seiten)
  6. The monetary policy haircut rule
    Autor*in: Althanns, Markus; Gersbach, Hans
    Erschienen: 18 June 2023
    Verlag:  Centre for Economic Policy Research, London

    Zugang:
    Verlag (lizenzpflichtig)
    Verlag (lizenzpflichtig)

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    LZ 161
    Fernleihe:
    keine Fernleihe

    Standort:
    Universitätsbibliothek Mannheim
    Fernleihe:
    keine Fernleihe
    Export in Literaturverwaltung   RIS-Format
      BibTeX-Format
    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Schriftenreihe: Array ; DP18228
    Schlagworte: Central bank; haircuts; monetary policy; money creation; monetarysystem
    Umfang: 1 Online-Ressource (circa 84 Seiten), Illustrationen
  7. Convenient but risky government bonds
    Autor*in: Kaldorf, Matthias; Röttger, Joost
    Erschienen: [2023]
    Verlag:  Deutsche Bundesbank, Frankfurt am Main

    How does convenience yield interact with sovereign risk and the supply of government bonds? We propose a model of sovereign debt and default in which convenience yield arises because investors are able to pledge government bonds as collateral on... mehr

    Zugang:
    Verlag (kostenfrei)
    Resolving-System (kostenfrei)
    Resolving-System (kostenfrei)

    Standort:
    Leibniz-Institut für Wirtschaftsforschung Halle, Bibliothek
    Fernleihe:
    keine Fernleihe

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 12
    Fernleihe:
    keine Fernleihe

     

    How does convenience yield interact with sovereign risk and the supply of government bonds? We propose a model of sovereign debt and default in which convenience yield arises because investors are able to pledge government bonds as collateral on financial markets. Convenience yield is dependent on the valuation of collateral, which is negatively dependent on the supply of government bonds, and haircuts that increase with sovereign risk. Calibrated to Italian data, convenience yield contributes substantially to the public debt-to-GDP ratio and can rationalise prolonged periods of negative bond spreads, even in the presence of default risk. We show that the debt elasticity of convenience yield is the most important driver of our results. Decomposing it into the debt elasticity of a collateral valuation and a haircut component, we find that, under empirically relevant conditions, a higher debt elasticity of haircuts can reduce fiscal discipline.

     
    Export in Literaturverwaltung   RIS-Format
      BibTeX-Format
    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Ebook
    Format: Online
    ISBN: 9783957299468
    Weitere Identifier:
    hdl: 10419/273727
    Schriftenreihe: Discussion paper / Deutsche Bundesbank ; no 2023, 15
    Schlagworte: Sovereign risk; convenience yield; haircuts; debt management
    Umfang: 1 Online-Ressource (circa 48 Seiten), Illustrationen