Show simple item record

dc.contributor.authorMOLTENI, Francesco
dc.date.accessioned2019-06-12T13:19:11Z
dc.date.available2019-06-12T13:19:11Z
dc.date.issued2019
dc.identifier.issn1830-7728
dc.identifier.urihttps://hdl.handle.net/1814/63248
dc.description.abstractThis paper analyzes the Eurozone financial crisis through the lens of sovereign bond liquidity. Using novel data, I show that following the emergence of sovereign risk, repo haircuts on peripheral government bonds sharply increased during the crisis, reducing their liquidity and amplifying the rise in their yields. I study the impact of this liquidity shock on asset prices and aggregate activity in a general equilibrium model with financial frictions. The model confirms the rise in the required returns of illiquid government bonds, predicts a substantial drop in economic activity and provides an additional mechanism for the transmission of sovereign risk.en
dc.format.mimetypeapplication/pdfen
dc.language.isoenen
dc.publisherEuropean University Instituteen
dc.relation.ispartofseriesEUI MWPen
dc.relation.ispartofseries2019/02en
dc.rightsinfo:eu-repo/semantics/openAccessen
dc.subjectRepoen
dc.subjectHaircutsen
dc.subjectLiquidity shocken
dc.subjectFunding constrainten
dc.subjectE44en
dc.subjectE58en
dc.subjectG12en
dc.subjectG15en
dc.subjectG23en
dc.titleLiquidity, government bonds and sovereign debt crisesen
dc.typeWorking Paperen


Files associated with this item

Icon

This item appears in the following Collection(s)

Show simple item record