dc.contributor.author | MOLTENI, Francesco | |
dc.date.accessioned | 2019-06-12T13:19:11Z | |
dc.date.available | 2019-06-12T13:19:11Z | |
dc.date.issued | 2019 | |
dc.identifier.issn | 1830-7728 | |
dc.identifier.uri | https://hdl.handle.net/1814/63248 | |
dc.description.abstract | This 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.mimetype | application/pdf | en |
dc.language.iso | en | en |
dc.publisher | European University Institute | en |
dc.relation.ispartofseries | EUI MWP | en |
dc.relation.ispartofseries | 2019/02 | en |
dc.rights | info:eu-repo/semantics/openAccess | en |
dc.subject | Repo | en |
dc.subject | Haircuts | en |
dc.subject | Liquidity shock | en |
dc.subject | Funding constraint | en |
dc.subject | E44 | en |
dc.subject | E58 | en |
dc.subject | G12 | en |
dc.subject | G15 | en |
dc.subject | G23 | en |
dc.title | Liquidity, government bonds and sovereign debt crises | en |
dc.type | Working Paper | en |