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on Financial Markets |
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Issue of 2016‒03‒10
seven papers chosen by |
| By: | Clemens Bonner; Daniel Streitz; Michael Wedow |
| Abstract: | This paper analyzes the effect of securitization on bank loan supply over the 2001 to 2013 period using a large sample of Eurozone banks. We document that an increase in banks' ABS issuances positively correlates with bank loan supply before the 2007-08 financial crisis but not afterwards. The underlying collateral of the securitization is correlated with changes of loan supply of the respective type. The main motivation for banks to issue ABS and covered bonds is their use as a funding tool. Since the required skills are similar, ABS issuers were better able to switch to covered bonds, allowing them to gain from the higher liquidity of covered bonds during and right after the financial crisis. We do not find evidence of ABS issuances increasing bank risk. |
| Keywords: | Securitization; Credit Supply; Financial Crisis |
| JEL: | G21 |
| Date: | 2016–02 |
| URL: | http://d.repec.org/n?u=RePEc:dnb:dnbwpp:501&r=fmk |
| By: | Marc Dobler; Simon Gray; Diarmuid Murphy; Bozena Radzewicz-Bak |
| Abstract: | The global financial crisis (GFC) has renewed interest in emergency liquidity support (sometimes referred to as “Lender of Last Resort†) provided by central banks to financial institutions and challenged the traditional way of conducting these operations. Despite a vast literature on the topic, central bank approaches and practices vary considerably. In this paper we focus on, for the most part, the provision of idiosyncratic support, approaching it from an operational perspective; highlighting different approaches adopted by central banks; and also identifying some of the issues that arose during the GFC. |
| Keywords: | Lender of last resort;Central banks and their policies;collateral, risk control measures, market, lender, liquidity, central bank, Government Policy and Regulation, All Countries, |
| Date: | 2016–01–22 |
| URL: | http://d.repec.org/n?u=RePEc:imf:imfwpa:16/10&r=fmk |
| By: | Lucia Bellenzier; J{\o}rgen Vitting Andersen; Giulia Rotundo |
| Abstract: | We study how the phenomenon of contagion can take place in the network of the world's stock exchanges due to the behavioral trait "blindeness to small changes". On large scale individual, the delay in the collective response may significantly change the dynamics of the overall system. We explicitely insert a term describing the behavioral phenomenon in a system of equations that describe the build and release of stress across the worldwide stock markets. In the mathematical formulation of the model, each stock exchange acts as an integrate-and-fire oscillator. Calibration on market data validate the model. One advantage of the integrate-and-fire dynamics is that it enables for a direct identification of cause and effect of price movements, without the need for statistical tests such as for example Granger causality tests often used in the identification of causes of contagion. Our methodology can thereby identify the most relevant nodes with respect to onset of contagion in the network of stock exchanges, as well as identify potential periods of high vulnerability of the network. The model is characterized by a separation of time scales created by a slow build up of stresses, for example due to (say monthly/yearly) macroeconomic factors, and then a fast (say hourly/daily) release of stresses through "price-quakes" of price movements across the worlds network of stock exchanges. |
| Date: | 2016–02 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:1602.07452&r=fmk |
| By: | Beetsma, Roel; de Jong, Frank; Giuliodori, Massimo; Hanson, Jesper |
| Abstract: | This paper provides evidence of spillovers from foreign primary public debt issues into domestic secondary market auction cycles in the euro area. It also confirms the presence of such auction cycles in response to domestic debt issues. These results are consistent with the theory of primary dealers' limited risk-bearing capacity. Consistent with the theory, domestic auction cycles in response to new debt issues are stronger during the crisis period, while the cross-border effects tend to be stronger in the pre-crisis period, possibly as a result of reduced integration of euro area sovereign bond markets during the crisis. |
| Keywords: | auction cycles; auctions; crisis; cross-border effects; limited risk-bearing capacity; primary dealers; primary markets; public debt; secondary markets |
| JEL: | G12 G18 |
| Date: | 2016–02 |
| URL: | http://d.repec.org/n?u=RePEc:cpr:ceprdp:11122&r=fmk |
| By: | Khaled Guesmi; Frédéric Teulon; Zied Ftiti |
| Date: | 2016–02–18 |
| URL: | http://d.repec.org/n?u=RePEc:ipg:wpaper:2013-32&r=fmk |
| By: | Tsangyao Chang; Wen Yi Chen; Rangan Gupta; Duc Khuong Nguyen |
| Date: | 2016–02–18 |
| URL: | http://d.repec.org/n?u=RePEc:ipg:wpaper:2013-36&r=fmk |
| By: | Khaled Guesmi; Frédéric Teulon |
| Date: | 2016–02–18 |
| URL: | http://d.repec.org/n?u=RePEc:ipg:wpaper:2013-6&r=fmk |