| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP11663 |
| DP11663 Collateral, Central Bank Repos, and Systemic Arbitrage | |
| Kjell Nyborg; Falko Fecht; Joerg Rocholl | |
| 发表日期 | 2016-11-25 |
| 出版年 | 2016 |
| 语种 | 英语 |
| 摘要 | Central banks are under increased scrutiny because of the rapid growth in, and composition of, their balance sheets. Therefore, understanding the processes that shape these balance sheets and their consequences is crucial. We contribute by studying an extensive dataset of banks’ liquidity uptake and pledged collateral in central bank repos. We document systemic arbitrage whereby banks funnel credit risk and low-quality collateral to the central bank. Weaker banks use lower quality collateral to demand disproportionately larger amounts of central bank money (liquidity). This holds both before and after the financial crisis and may contribute to financial fragility and fragmentation. |
| 主题 | Financial Economics |
| 关键词 | Collateral Repo Systemic arbitrage Central bank Collateral policy Banks Liquidity Interbank market Financial stability Financial fragmentation |
| URL | https://cepr.org/publications/dp11663 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/540477 |
| 推荐引用方式 GB/T 7714 | Kjell Nyborg,Falko Fecht,Joerg Rocholl. DP11663 Collateral, Central Bank Repos, and Systemic Arbitrage. 2016. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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