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The "Celtic crisis": guarantees, transparency, and systemic liquidity risk ; conference paper

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Bibliographic Details
Other Authors: Anand, Kartik [Author] • Heinemann, Frank 1961- [Author]
Type of Resource: E-Book Conference Proceedings
Language: English
[Kiel, Hamburg] ZBW 2013
Series: Verein für Socialpolitik: Jahrestagung des Vereins für Socialpolitik 2013 ; C19-V1
Source: Verbunddaten SWB
Lizenzfreie Online-Ressourcen
Summary: Bank liability guarantee schemes have traditionally been viewed as costless measures to shore up investor confidence and stave off bank runs. However, as the experience of some European countries, most notably Ireland, has demonstrated, the credibility and effectiveness of these guarantees is crucially intertwined with the sovereign's funding risks. Employing methods from the literature on global games, we develop a simple model to explore the functional co-dependence between the rollover risks of a bank and a government, which are connected through the government's guarantee of bank liabilities. We show the existence and uniqueness of the joint equilibrium and derive its comparative static properties. In solving for the optimal guarantee, we further show that its credibility may be improved through policies that promote balance sheet transparency.
Physical Description: Online-Ressource (41 S.); graph. Darst
Type of Resource: Systemvoraussetzungen: Acrobat Reader.