Search Results

Showing results 1 to 5 of approximately 5.

(refine search)
SORT BY: PREVIOUS / NEXT
Author:Crosignani, Matteo 

Working Paper
The (Unintended?) Consequences of the Largest Liquidity Injection Ever

We study the design of lender of last resort interventions and show that the provision of long-term liquidity incentivizes purchases of high-yield short-term securities by banks. Using a unique security-level data set, we find that the European Central Bank?s three-year Long-Term Refinancing Operation incentivized Portuguese banks to purchase short-term domestic government bonds that could be pledged to obtain central bank liquidity. This "collateral trade" effect is large, as banks purchased short-term bonds equivalent to 8.4% of amount outstanding. The resumption of public debt issuance ...
Finance and Economics Discussion Series , Paper 2017-011

Working Paper
The Effect of Central Bank Liquidity Injections on Bank Credit Supply

We study the effectiveness of central bank liquidity injections in restoring bank credit supply following a wholesale funding dry-up. We combine borrower-level data from the Italian credit registry with bank security-level holdings and analyze the transmission of the European Central Bank three-year Long Term Refinancing Operation. Exploiting a regulatory change that expands eligible collateral, we show that banks more affected by the dry-up use this facility to restore their credit supply, while less affected banks use it to increase their holdings of high-yield government bonds. Unable to ...
Finance and Economics Discussion Series , Paper 2017-038

Working Paper
Why Are Banks Not Recapitalized During Crises?

I develop a model where the sovereign debt capacity depends on the capitalization of domestic banks. Low-capital banks optimally tilt their government bond portfolio toward domestic securities, linking their destiny to that of the sovereign. If the sovereign risk is sufficiently high, low-capital banks reduce private lending to further increase their holdings of domestic government bonds, lowering sovereign yields and supporting the home sovereign debt capacity. The model rationalizes, in the context of the eurozone periphery, the increase in domestic government bond holdings, the reduction ...
Finance and Economics Discussion Series , Paper 2017-084

Working Paper
The (Unintended?) Consequences of the Largest Liquidity Injection Ever

The design of lender-of-last-resort interventions can exacerbate the bank-sovereign nexus. During sovereign crises, central bank provision of long-term liquidity incentivizes banks to purchase high yield eligible collateral securities matching the maturity of the central bank loans. Using unique security level data, we find that the European Central Bank?s 3-year Long-Term Refinancing Operation caused Portuguese banks to purchase short-term domestic government bonds, equivalent to 10.6% of amounts outstanding, and pledge them to obtain central bank liquidity. The steepening of Eurozone ...
Working Papers , Paper 2017-39

Report
Pirates without Borders: The Propagation of Cyberattacks through Firms’ Supply Chains

We document the propagation effects through supply chains of the most damaging cyberattack in history and the important role of banks in mitigating its impact. Customers of directly hit firms saw reductions in revenues, profitability, and trade credit relative to similar firms. The losses were larger for customers with fewer alternative suppliers and suppliers producing high-specificity inputs. Internal liquidity buffers and increased borrowing, mainly through bank credit lines at higher rates due to increased risk, helped affected customers to maintain investment and employment. ...
Staff Reports , Paper 937

FILTER BY Content Type

Working Paper 4 items

Report 1 items

FILTER BY Author

Faria-e-Castro, Miguel 2 items

Fonseca, Luis 2 items

Carpinelli, Luisa 1 items

Macchiavelli, Marco 1 items

Silva, Andre 1 items

show more (1)

FILTER BY Jel Classification

G21 5 items

E58 3 items

G28 3 items

H63 3 items

E23 1 items

E44 1 items

show more (5)

PREVIOUS / NEXT