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Displaying results 1 to 8 of 8.

  1. Liquidity costs and tiering in large-value payment systems
    Author: Adams, Mark; Galbiati, Marco; Giansante, Simone
    Published: 2010
    Publisher:  Bank of England, London

    This paper develops and simulates a model of the emergence of networks in an interbank, RTGS payment system. A number of banks, faced with random streams of payment orders, choose whether to link directly to the payment system, or to use a... more

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    Niedersächsische Staats- und Universitätsbibliothek Göttingen
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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    VS 198 (399)
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    This paper develops and simulates a model of the emergence of networks in an interbank, RTGS payment system. A number of banks, faced with random streams of payment orders, choose whether to link directly to the payment system, or to use a correspondent bank. Settling payments directly on the system imposes liquidity costs which depend on the maximum liquidity overdraft incurred during the day. On the other hand, using a correspondent entails paying a flat fee, charged by the correspondent to recoup liquidity costs and to extract a profit. We specify a protocol whereby one bank in each period can revisit its choice whether to link directly to the system, or to become clients of other banks, thus generating a dynamic client-correspondent network. We simulate this protocol, observing the emergence of different network structures. The liquidity pricing regime chosen by a central bank is found to affect the tiering process and the network structures it produces. A calibration exercise on data from the UK CHAPS system suggests that the model is able to generate realistic predictions, ie a network topology similar to that observed in reality, driven solely by the underlying pattern of payments and the structure of liquidity costs. -- Tiering ; liquidity cost ; large-value payment system ; RTGS ; network formation

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Working paper / Bank of England ; 399
    Subjects: Finanzmarkt; Bankgeschäft; Bankenliquidität; Zahlungsverkehr; Netzwerk; Großbritannien
    Scope: Online-Ressource (21 S., 770k), graph. Darst.
  2. Multi-Agent Financial Network (MAFN) model of US Collateralized Debt Obligations (CDO)
    regulatory capital arbitrage, negative CDS carry trade and systemic risk analysis
    Author: Markose, Sheri M.; Oluwasegun, Bewaji; Giansante, Simone
    Published: 2012
    Publisher:  Univ. of Essex, Dep. of Economics, Colchester

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Discussion paper series / University of Essex, Department of Economics ; 714
    Scope: Online-Ressource (PDF-Datei: 33 S., 650,93 KB), graph. Darst.
  3. Does quantitative easing boost bank lending to the real economy or cause other bank asset reallocation?
    the case of the UK
    Author: Giansante, Simone; Fatouh, Mahmoud; Ongena, Steven
    Published: 2019
    Publisher:  Swiss Finance Institute, Geneva

    We investigate the impact of the Bank of England's asset purchase program (APP) on the composition of assets of UK banks, and the implications for the real economy, using a unique database on the program. Knowing the identity of the banks that... more

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    Location:
    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    VS 544
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    We investigate the impact of the Bank of England's asset purchase program (APP) on the composition of assets of UK banks, and the implications for the real economy, using a unique database on the program. Knowing the identity of the banks that receive reserves injections through APP (QE banks) provides us with an ideal empirical design for a difference-in-differences exercise. We find no evidence that suggests that QE boosted bank lending to the real economy, even when controlling fully for demand-side effects. The overall reduction of retail lending is more pronounced for treated (QE) banks than for the control group. QE banks reallocated their assets towards lower risk-weighted investments, such as government securities, as indicated by the increased sensitivity of their equity returns to peripheral EU bond returns. Overall, our findings suggest that risk-based capital constraints can limit the effectiveness of expansionary unconventional monetary policies and provide incentives for carry trade activities, when banks are not adequately capitalised

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
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    Series: Research paper series / Swiss Finance Institute ; no 19, 72
    Swiss Finance Institute Research Paper ; No. 19-72
    Scope: 1 Online-Ressource (circa 49 Seiten), Illustrationen
  4. Economic support during the COVID crisis
    quantitative easing and lending support schemes in the UK
    Author: Fatouh, Mahmoud; Giansante, Simone; Ongena, Steven
    Published: 2021
    Publisher:  Swiss Finance Institute, Geneva

    We investigate how the interaction of the Brexit and COVID waves of the Bank of England’s quantitative easing with the leverage ratio capital requirements or government COVID lending support schemes affected bank business lending. We find that the... more

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    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    We investigate how the interaction of the Brexit and COVID waves of the Bank of England’s quantitative easing with the leverage ratio capital requirements or government COVID lending support schemes affected bank business lending. We find that the former QE programme was particularly successful in increasing lending to nonfinancial businesses, except for QE-banks subject to the UK leverage ratio, suggesting that the latter ratio incentivized QE-banks to lend to business anyway. The government schemes helped expand lending especially to SMEs post QE COVID, indicating that complementing QE with other credit easing programmes can improve its impact on lending to the real economy. During COVID-stress, changes to the UK leverage ratio supported better market-making in securities markets, and additional QE liquidity boosted stronger repo market intermediation

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
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    Series: Research paper series / Swiss Finance Institute ; no 21, 54
    Subjects: Monetary policy; quantitative easing; bank lending
    Scope: 1 Online-Ressource (circa 14 Seiten), Illustrationen
  5. Leverage ratio, risk-based capital requirements, and risk-taking in the UK
    Author: Fatouh, Mahmoud; Giansante, Simone; Ongena, Steven
    Published: [2023]
    Publisher:  Swiss Finance Institute, Geneva

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    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Source: Union catalogues
    Language: English
    Media type: Book
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    Series: Swiss Finance Institute research paper series ; no 23, 91
    Subjects: Capital regulation; Risk-taking; Leverage ratio; risk-based requirements
    Scope: 1 Online-Ressource (circa 31 Seiten), Illustrationen
  6. Leverage ratio and risk-taking
    theory and practice
    Author: Fatouh, Mahmoud; Giansante, Simone; Ongena, Steven
    Published: [2023]
    Publisher:  Bank of England, London

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Staff working paper / Bank of England ; no. 1048 (October 2023)
    Subjects: Finance; capital regulation; risk‑taking; leverage ratio; risk‑based requirements
    Scope: 1 Online-Ressource (circa 28 Seiten), Illustrationen
  7. Quantitative easing and the functioning of the gilt repo market
    Author: Fatouh, Mahmoud; Giansante, Simone; Ongena, Steven
    Published: [2024]
    Publisher:  Bank of England, London

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Staff working paper / Bank of England ; no. 1055 (January 2024)
    Subjects: Monetary policy; quantitative easing; gilt repo market; leverage ratio
    Scope: 1 Online-Ressource (circa 27 Seiten), Illustrationen
  8. The cyclicality of bank credit losses and capital ratios under expected loss model
    Author: Fatouh, Mahmoud; Giansante, Simone
    Published: [2023]
    Publisher:  Bank of England, London

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Staff working paper / Bank of England ; no. 1013 (January 2023)
    Subjects: IFRS 9; IAS 39; US GAAP; expected credit loss model; loan loss provisions; cyclicality of bank profits; leverage ratio; risk-weighted assets
    Scope: 1 Online-Ressource (circa 31 Seiten), Illustrationen