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  1. Collateral in bank lending during financial crises
    a borrower and a lender story
    Autor*in: Affinito, Massimiliano; Sabatini, Fabiana; Stacchini, Massimiliano
    Erschienen: [2021]
    Verlag:  Banca d'Italia Eurosistema, [Rom]

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    Verlag (kostenfrei)

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    VS 450
    Fernleihe:
    keine Fernleihe
    Export in Literaturverwaltung   RIS-Format
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    Schriftenreihe: Temi di discussione / Banca d'Italia ; number 1352 (October 2021)
    Schlagworte: bank-lending channel; collateral; financial crises
    Umfang: 1 Online-Ressource (circa 54 Seiten), Illustrationen
  2. The macroeconomics of liquidity in financial intermediation
    Autor*in: Porcellacchia, Davide; Sheedy, Kevin D.
    Erschienen: [2024]
    Verlag:  European Central Bank, Frankfurt am Main, Germany

    In financial crises, the premium on liquid assets such as US Treasuries increases alongside credit spreads. This paper explains the link between the liquidity premium and spreads. We present a theory of endogenous bank fragility arising from a... mehr

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    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 534
    Fernleihe:
    keine Fernleihe

     

    In financial crises, the premium on liquid assets such as US Treasuries increases alongside credit spreads. This paper explains the link between the liquidity premium and spreads. We present a theory of endogenous bank fragility arising from a coordination friction among bank creditors. The theory's implications reduce to a single constraint on banks, which is embedded in a quantitative macroeconomic model to investigate the transmission of shocks to spreads and economic activity. Shocks that reduce bank net worth exacerbate the coordination friction. In response, banks lend less and demand more liquid assets. This drives up both credit spreads and the liquidity premium. By mitigating the coordination friction, expansions of public liquidity reduce spreads and boost the economy. Empirically, we identify high-frequency exogenous variation in liquidity by exploiting the time lag between auction and issuance of US Treasuries. We find a causal effect on spreads in line with the calibrated model.

     
    Export in Literaturverwaltung   RIS-Format
      BibTeX-Format
    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Ebook
    Format: Online
    ISBN: 9789289966870
    Weitere Identifier:
    Schriftenreihe: Working paper series / European Central Bank ; no 2939
    Schlagworte: bank runs; bank-lending channel; liquid assets
    Umfang: 1 Online-Ressource (circa 64 Seiten), Illustrationen