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Rules and Discretion(s) in Prudential Regulation and Supervision: Evidence from EU Banks in the Run-Up to the Crisis
In: ECB Working Paper No. 2284 (2019); ISBN 978-92-899-3546-3
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Working paper
The Importance of Being Special: Repo Markets During the Crisis
In: Journal of Financial Economics (JFE), Forthcoming
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Working paper
The importance of being special: Repo markets during the crisis
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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The Importance of Being Special: Repo Markets During the Crisis
In: ECB Working Paper No. 2065
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Do Demographic Changes Affect Risk Premiums? Evidence from International Data
In: The journal of business, Volume 78, Issue 1, p. 341-380
ISSN: 1537-5374
Corporate 'Excesses' and Financial Market Dynamics
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Monetary Policy, Macroprudential Policy and Banking Stability: Evidence from the Euro Area
In: ECB Working Paper No. 1560
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Working paper
Bank risk-taking, securitization, supervision and low interest rates: Evidence from the euro area and the U.S. lending standards
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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Bank Risk-Taking, Securitization, Supervision and Low Interest Rates: Evidence from the Euro Area and the U.S. Lending Standards
In: ECB Working Paper No. 1248
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Liquidity Support and Distress Resilience in Bank-Affiliated Mutual Funds
In: ECB Working Paper No. 2023/2799
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Monetary Policy, Macroprudential Policy and Financial Stability
In: ECB Working Paper No. 2022/2647
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Working paper