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  1. Collateral framework: liquidity premia and multiple equilibria
    Autor*in: Lengwiler, Yvan; Orphanides, Athanasios
    Erschienen: [2021]
    Verlag:  Institute for Monetary and Financial Stability, Goethe University Frankfurt, Frankfurt am Main

    Central banks normally accept debt of their own governments as collateral in liquidity operations without reservations. This gives rise to a valuable liquidity premium that reduces the cost of government finance. The ECB is an interesting exception... mehr

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

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 464
    Fernleihe:
    keine Fernleihe

     

    Central banks normally accept debt of their own governments as collateral in liquidity operations without reservations. This gives rise to a valuable liquidity premium that reduces the cost of government finance. The ECB is an interesting exception in this respect. It relies on external assessments of the creditworthiness of its member states, such as credit ratings, to determine eligibility and the haircut it imposes on such debt. The authors show how such features in a central bank's collateral framework can give rise to cliff effects and multiple equilibria in bond yields and increase the vulnerability of governments to external shocks. This can potentially induce sovereign debt crises and defaults that would not otherwise arise.

     
    Export in Literaturverwaltung   RIS-Format
      BibTeX-Format
    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    hdl: 10419/233209
    Schriftenreihe: Working paper series / Institute for Monetary and Financial Stability ; no. 157 (2021)
    Schlagworte: monetary policy; government finance; yields; liquidity premium; default premium; collateral; cliff effect; multiple equilibria
    Umfang: 1 Online-Ressource (circa 37 Seiten), Illustrationen
  2. Collateral framework: liquidity premia and multiple equilibria
    Autor*in: Lengwiler, Yvan; Orphanides, Athanasios
    Erschienen: April 2021
    Verlag:  University of Basel, Faculty of Business and Economics, Basel, Switzerland

    Central banks normally accept debt of their own governments as collateral in liquidity operations without reservations. This gives rise to a valuable liquidity premium that reduces the cost of government finance. The ECB is an interesting exception... mehr

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

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 523
    Fernleihe:
    keine Fernleihe

     

    Central banks normally accept debt of their own governments as collateral in liquidity operations without reservations. This gives rise to a valuable liquidity premium that reduces the cost of government finance. The ECB is an interesting exception in this respect. It relies on external assessments of the creditworthiness of its member states, such as credit ratings, to determine eligibility and the haircut it imposes on such debt. We show how such features in a central bank's collateral framework can give rise to cliff effects and multiple equilibria in bond yields and increase the vulnerability of governments to external shocks. This can potentially induce sovereign debt crises and defaults that would not otherwise arise.

     
    Export in Literaturverwaltung   RIS-Format
      BibTeX-Format
    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    hdl: 10419/240433
    Schriftenreihe: WWZ working paper ; 2021, 06
    Schlagworte: monetary policy; government finance; yields; liquidity premium; default premium; collateral; cliff effect; multiple equilibria
    Umfang: 1 Online-Ressource (circa 34 Seiten), Illustrationen