| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP16047 |
| DP16047 Collateral Framework: Liquidity Premia and Multiple Equilibria | |
| Yvan Lengwiler; Athanasios Orphanides | |
| 发表日期 | 2021-04-16 |
| 出版年 | 2021 |
| 语种 | 英语 |
| 摘要 | Central banks normally accept debt of their own governments as collateral in liquidity operations without reservations. This gives rise to a valuable liquidity premium that reduces the cost of government finance. The ECB is an interesting exception in this respect. It relies on external assessments of the creditworthiness of its member states, such as credit ratings, to determine eligibility and the haircut it imposes on such debt. We show how such features in a central bank's collateral framework can give rise to cliff effects and multiple equilibria in bond yields and increase the vulnerability of governments to external shocks. This can potentially induce sovereign debt crises and defaults that would not otherwise arise. |
| 主题 | Monetary Economics and Fluctuations |
| 关键词 | monetary policy Government finance Yields Liquidity premium Default premium Collateral Cliff effect Multiple equilibria |
| URL | https://cepr.org/publications/dp16047 |
| 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/545027 |
| 推荐引用方式 GB/T 7714 | Yvan Lengwiler,Athanasios Orphanides. DP16047 Collateral Framework: Liquidity Premia and Multiple Equilibria. 2021. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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