| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP16240 |
| DP16240 Systemic Risk and Monetary Policy: The Haircut Gap Channel of the Lender of Last Resort | |
| Martina Jasova; Luc Laeven; Caterina Mendicino; José-Luis Peydró; Dominik Supera | |
| 发表日期 | 2021-06-09 |
| 出版年 | 2021 |
| 语种 | 英语 |
| 摘要 | We show that lender of the last resort (LOLR) policy contributes to higher bank interconnectedness and associated systemic risk. Using novel micro-level data, we analyze the haircut gap channel of LOLR--the difference between the private market and central bank haircuts. LOLR increases interconnectedness by incentivizing banks to pledge higher haircut gap bonds, especially issued by similar banks and by systemically important banks. LOLR also exacerbates cross-pledging of bank bonds. Higher haircut gaps only incentivize banks, not other intermediaries without LOLR access, to increase bank bond holdings. Finally, LOLR revives bank bond issuance associated with higher haircut gaps. |
| 主题 | Financial Economics |
| 关键词 | Central bank liquidity Haircuts Collateral Bank risk concentration Systemic risk |
| URL | https://cepr.org/publications/dp16240 |
| 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/545208 |
| 推荐引用方式 GB/T 7714 | Martina Jasova,Luc Laeven,Caterina Mendicino,et al. DP16240 Systemic Risk and Monetary Policy: The Haircut Gap Channel of the Lender of Last Resort. 2021. |
| 条目包含的文件 | 条目无相关文件。 | |||||
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
