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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.urihttp://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


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