Corporate "excesses" and financial market dynamics
In: Occasional paper series 17
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In: Occasional paper series 17
In: ECB Working Paper No. 2284 (2019); ISBN 978-92-899-3546-3
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Working paper
In: Journal of Financial Economics (JFE), Forthcoming
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Working paper
Specialness - the premium of procuring a specific security in the repo market - increased in the second half of 2011 for Italian government bonds. We assess the impact on specialness of the outright purchase program of the Eurosystem during the same period. Bonds bought by the Eurosystem had higher specialness. The impact was economically significant and persistent. Short-selling traders had to pay a net premium to close their positions and therefore may have decided to fail on their delivery. Indeed bonds that were bought under the program were more likely to be underlying a fail-to-deliver transaction.
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In: ECB Working Paper No. 2065
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In: The journal of business, Band 78, Heft 1, S. 341-380
ISSN: 1537-5374
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In: ECB Working Paper No. 1560
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Using a unique dataset of the Euro area and the U.S. bank lending standards, we find that low (monetary policy) short-term interest rates soften standards, for household and corporate loans. This softening – especially for mortgages – is amplified by securitization activity, weak supervision for bank capital and too low for too long monetary policy rates. Conversely, low long-term interest rates do not soften lending standards. Finally, countries with softer lending standards before the crisis related to negative Taylor-rule residuals experienced a worse economic performance afterwards. These results help shed light on the origins of the crisis and have important policy implications.
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In: ECB Working Paper No. 1248
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In: Working paper 230
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In: Deutsche Bundesbank Discussion Paper No. 37/2020
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In: CEPR Discussion Paper No. DP14988
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Working paper