G2TT
来源类型Discussion paper
规范类型论文
来源IDDP16047
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
URLhttps://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.
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