Liquidity transformation, collateral assets and counterparties
نویسندگان
چکیده
We investigate if the Bank of England's liquidity facilities encourage some counterparties to participate more than others and use collateral assets is promoted others. Between 2010 2016, there was regular usage two facilities: Indexed Long-Term Repos (ILTR) Funding for Lending Scheme (FLS). show that participation in ILTR consistent with safe using meet their needs. Collateral used FLS are less liquid. Riskier larger institutions likely pre-position FLS, but these do not subsequently draw upon do.
منابع مشابه
Liquidity, Assets and Business Cycles
Equity price is cyclical and often leads the business cycle. These observations have led to the hypothesis that shocks to equity market liquidity are an independent source of the business cycle. In this paper I construct a tractable model to evaluate this hypothesis. After calibrating the model to the US data, I find that a negative liquidity shock in the equity market can generate large reduct...
متن کاملMoral Hazard, Collateral and Liquidity
We consider a moral hazard setup wherein leveraged firms have incentives to take on excessive risks and are thus rationed when they attempt to borrow in order to meet liquidity shocks. The rationed firms can optimally pledge cash as collateral to borrow more, but in the process must liquidate some of their assets. Liquidated assets are purchased by non-rationed firms but their borrowing capacit...
متن کاملCollateral, liquidity and debt sustainability
We study the sustainability of public debt in a closed production economy where a benevolent government chooses fiscal policies, including haircuts on its outstanding debt, in a discretionary manner. Government bonds are held by domestic agents to smooth consumption over time and because they provide collateral and liquidity services. We characterize a recursive equilibrium where public debt am...
متن کاملLiquidity Pricing of Illiquid Assets
So far the main body of the asset pricing literature has computed liquidity risk premia for either markets or single assets. The vast majority of these studies have been focused on fairly liquid assets, but recently a greater attempt to price such an important component of the asset pricing factors in markets with high illiquidity (especially in real estate) has also started to take place. The ...
متن کاملLiquidity and the Threat of Fraudulent Assets
We study an over-the-counter (OTC) market with bilateral meetings and bargaining where the usefulness of assets, as means of payment or collateral, is limited by the threat of fraudulent practices. We assume that agents can produce fraudulent assets at a positive cost, which generates endogenous upper bounds on the quantity of each asset that can be sold, or posted as collateral in the OTC mark...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Central bank review
سال: 2021
ISSN: ['2524-1699', '1303-0701']
DOI: https://doi.org/10.1016/j.cbrev.2021.09.001