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The Interbank Market after August 2007: What Has Changed, and Why?
The outbreak of the financial crisis coincided with a sharp increase of worldwide interbank interest rates. We analyze the micro and macroeconomic determinants of this phenomenon, finding that beforeExpand
How to Measure the Unsecured Money Market? The Eurosystem's Implementation and Validation Using TARGET2 Data
This paper develops a methodology, based on Furfine (1999), to identify unsecured interbank money-market loans from transaction data of the most important euro processing payment system, TARGET2, forExpand
Payments are A-Changin’ But Cash Still Rules
Retail payment systems continue to become faster and more convenient. Yet, despite increased use of electronic payments around the world, there is scant evidence of a shift away from cash. As theExpand
Central Clearing: Trends and Current Issues
Central clearing of standardised financial instruments, as promoted by the G20 Leaders, addresses some of the financial stability risks that materialised during the Great Financial Crisis. Its rapidExpand
The Impact of CCPs' Margin Policies on Repo Markets
This paper quantifies the impact on the cost of funding in repo markets of the initial margins applied by central clearing counterparties (CCPs). We have used contract-level data for the generalExpand
Liquidity Management in the Large Value Payment Systems: Need for an Agent-Based Model’s Complex Approach
With the advent of Large Value Interbank Fund Transfer Systems operating on an RTGS basis, the bank liquidity management problem has become a crucial issue in payment system analysis for itsExpand
Building ABMs to Control the Emergence of Crisis Analyzing Agents' Behavior
Agent-based models (ABMs) are quite new in the modeling landscape; they emerged on the scene in the 1990s. ABMs have a clear advantage over other approaches: they create the capacity to manageExpand
How to Measure the Unsecured Money Market? The Eurosystem's Implementation and Validation Using TARGET2 Data
This paper develops a methodology, based on Furfine (1999), for identifying unsecured interbank money market loans from the transaction data of the most important euro payment processing systemExpand
Securities Financing Transactions and the (Re)Use of Collateral in Europe – an Analysis of the First Data Collection Conducted by the Esrb from a Sample of European Banks and Agent Lenders
Securities financing transaction (SFT) markets and the management and usage of collateral are elements of the financial system which are of systemic relevance. As such, there is a clear need forExpand
The impact of margin policies on the Italian repo market
Abstract In this paper we investigate the impact of changes in initial margins on the cost of funding in the Italian repo market using a unique data-set that covers the Sovereign debt crisis (betweenExpand