Systemic Risk and Monetary Policy: The Haircut Gap Channel of the Lender of Last Resort

• 成果类型: Article
• 署名作者: Jasova, Martina; Laeven, Luc; Mendicino, Caterina; Peydro, Jose-Luis; Supera, Dominik
• 署名单位: Columbia University; Tilburg University; European Central Bank; European Central Bank; Imperial College London; ICREA; Pompeu Fabra University
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhad100
• 发表日期: 2024
• 页码: 2191
• 关键词: uncertainty; STABILITY; contagion; banks; say

摘要

We show that lender of last resort (LOLR) policy exacerbates bank interconnectedness. Using novel micro-level data, we analyze LOLR's haircut gaps: the differences between the private market and central bank haircuts. LOLR policy incentivizes banks to increase pledging and holdings of higher haircut-gap bonds, especially those issued by domestic and systemically important banks. Effects only apply to banks, not to nonbanks without LOLR access. LOLR funding revives bank bond issuance associated with higher haircut gaps and increases the subsequent correlation between pledging and issuing banks' bond prices, in particular during periods of low-market returns and for domestic, systemically important banks.Authors have furnished an , which is available on the Oxford University Press Web site next to the link to the final published paper online.