TY  - JOUR
A1  - Geßler, Florian
A1  - Panz, Sven
T1  - Cyclicality of collateral haircuts and systemic illiquidity
T2  - EFL quarterly : an E-Finance Lab publication
N2  - PRO-CYCLICALITY OF COLLATERAL HAIRCUTS AND MARGINS HAS BECOME A WIDELY PROCLAIMED BEHAVIOUR BUT EMPIRICAL EVIDENCE ON THIS TOPIC IS QUITE SPARSE AND THE DISCUSSIONS ARE PRIMARILY DRIVEN BY INSIGHTS DERIVED FROM THEORETICAL MODELS. BASED ON A UNIQUE DATA SET, WE CONSTRUCT A MEASURE OF SYSTEMIC ILLIQUIDITY OF BOND COLLATERALS AND APPLY BUBBLE DETECTION TECHNIQUES TO IDENTIFY IRRATIONAL BEHAVIOUR AND PRO-CYCLICAL TENDENCIES. FINALLY, WE PROPOSE A QUANTITATIVE TRIGGER AND DESIGN FOR MACROPRUDENTIAL HAIRCUT ADD-ONS.
Y1  - 2017
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/58004
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30:3-580045
SN  - 1866-1238
VL  - 2017
IS  - 1
SP  - 4
EP  - 5
PB  - E-Finance Lab e.V.
CY  - Frankfurt am Main
ER  -