Outside Liquidity, Rollover Risk, and Government Bonds
نویسندگان
چکیده
منابع مشابه
Liquidity, Government Bonds and Sovereign Debt Crises
This paper analyses the European financial crisis through the lens of the sovereign bond liquidity. Using novel data we show that government securities are the prime collateral in the European repo market, which is becoming a primary source of funding for the banking system in the Euro area. We document that the repo haircuts on peripheral government bonds sharply increased during the crisis, r...
متن کاملCredit and Liquidity Risk in Sovereign Bonds
This master thesis, builds on the contributions by Ejsing et al. (2012) and Dubecq et al. (2013) to shed light on the credit and liquidity risk components of sovereign bond yields. Four countries have been studied: France, the Netherlands, Germany and Spain. The task has been faced by considering several state-space models, all of them connected by the idea that the differences in the yields be...
متن کاملOutside and Inside Liquidity∗
We consider a model of liquidity demand arising from a possible maturity mismatch between asset revenues and consumption. This liquidity demand can be met with either cash reserves (inside liquidity) or via asset sales for cash (outside liquidity). The question we address is, what determines the mix of inside and outside liquidity in equilibrium? An important source of inefficiency in our model...
متن کاملInside and Outside Liquidity∗
We consider a model of liquidity demand arising from a possible maturity mismatch between asset revenues and consumption. This liquidity demand can be met with either cash reserves (inside liquidity) or via asset sales for cash (outside liquidity). The questions we address are: (a) what determines the mix of inside and outside liquidity in equilibrium? (b) does the market provide an efficient m...
متن کاملOutside Versus Inside Bonds
When agents are liquidity constrained, two options exist — borrow or sell assets. We compare the welfare properties of these options in two economies: in one, agents can borrow (issue inside bonds) and in the other they can sell government bonds (outside bonds). All transactions are voluntary, implying no taxation or forced redemption of private debt. We show that any allocation in the economy ...
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: SSRN Electronic Journal
سال: 2014
ISSN: 1556-5068
DOI: 10.2139/ssrn.2500797