Add to ORKGWe present a model of central bank collateralized lending to study the optimal choice of the haircut policy. We show that a lending facility provides a bundle of two types of insurance: insurance against liquidity risk as well as insurance against downside risk of the collateral. Setting a haircut therefore involves balancing the trade-off between relaxing the liquidity constraints of agents on one hand, and increasing potential inflation risk and distorting the portfolio choices of agents on the other. We argue that the optimal haircut is higher when the central bank is unable to lend exclusively to agents who actually need liquidity. Finally, for an unexpected drop in the haircut, the central bank can be more aggressive than when setting ...
"I explore alternative central bank policies for liquidity provision in a model of payments. I use ...
This paper considers the efficiency of money creation by banks and the principles of the central ban...
Rejecting a common assumption in the sovereign debt literature, we document that creditor losses ("h...
We study a production economy with multiple sectors financed by issuing securities to agents who fac...
Repurchase agreements (repos) are one of the most important sources of funding liquidity for many fi...
Should central banks lend against low quality collateral? We characterize efficient central bank col...
The financial crisis that started in 2007 has seen central banks play an unprecedented role both to ...
In this paper, using network tools, I analyse systemic impacts of liquidity shocks in interbank mark...
In most banking models, money is merely modeled as medium for transaction, but in reality, money is ...
I explore alternative central bank policies for liquidity provision in a model of pay-ments. I use a...
Central banks normally accept debt of their own governments as collateral in liquidity operations wi...
This paper provides a new rationalization for deposit insurance and systemic disintermediations. I c...
During the crisis, the ECB modified its collateral framework to face increased liquidity needs of co...
With notable exceptions, central banking scholars typically pay little attention to collateral frame...
The current crisis is testing the capacity of policy makers to give adequate answers to the possibil...
"I explore alternative central bank policies for liquidity provision in a model of payments. I use ...
This paper considers the efficiency of money creation by banks and the principles of the central ban...
Rejecting a common assumption in the sovereign debt literature, we document that creditor losses ("h...
We study a production economy with multiple sectors financed by issuing securities to agents who fac...
Repurchase agreements (repos) are one of the most important sources of funding liquidity for many fi...
Should central banks lend against low quality collateral? We characterize efficient central bank col...
The financial crisis that started in 2007 has seen central banks play an unprecedented role both to ...
In this paper, using network tools, I analyse systemic impacts of liquidity shocks in interbank mark...
In most banking models, money is merely modeled as medium for transaction, but in reality, money is ...
I explore alternative central bank policies for liquidity provision in a model of pay-ments. I use a...
Central banks normally accept debt of their own governments as collateral in liquidity operations wi...
This paper provides a new rationalization for deposit insurance and systemic disintermediations. I c...
During the crisis, the ECB modified its collateral framework to face increased liquidity needs of co...
With notable exceptions, central banking scholars typically pay little attention to collateral frame...
The current crisis is testing the capacity of policy makers to give adequate answers to the possibil...
"I explore alternative central bank policies for liquidity provision in a model of payments. I use ...
This paper considers the efficiency of money creation by banks and the principles of the central ban...
Rejecting a common assumption in the sovereign debt literature, we document that creditor losses ("h...