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Europe > Ireland

You are looking at 1 - 9 of 9 items for :

  • Type: Journal Issue x
  • Liquidity; Economics x
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Cover IMF Working Papers
Derivative Margin Calls: A New Driver of MMF Flows
Maddalena Ghio
,
Linda Rousova
,
Dilyara Salakhova
, and
German Villegas Bauer
During the March 2020 market turmoil, euro area money-market funds (MMFs) experienced significant outflows, reaching almost 8% of assets under management. This paper investigates whether the volatility in MMF flows was driven by investors’ liquidity needs related to derivative margin payments. We combine three highly granular unique data sources (EMIR data for derivatives, SHSS data for investor holdings of MMFs and Refinitiv Lipper data for daily MMF flows) to construct a daily fund-level panel dataset spanning from February to April 2020. We estimate the effects of variation margin paid and received by the largest holders of EURdenominated MMFs on flows of these MMFs. The main findings suggest that variation margin payments faced by some investors holding MMFs were an important driver of the flows of EUR-denominated MMFs domiciled in euro area.
Keywords:
liquidity risk; money market funds; big data; interconnectedness; non-bank financial intermediaries.; EUR-denominated MMFs; derivative margin calls; MMF flow; variation margin payment; VM flow; Stocks; Liquidity; Mutual funds; Nonbank financial institutions; Pension spending; Global; IMF working paper research Department; derivatives reform; margin payment; Derivative markets
Cover IMF Research Perspectives
IMF Research Perspectives: Spring/Summer 2021
International Monetary Fund. Research Dept.
IMF Research Perspectives: Spring/Summer 2021
Keywords:
IMF research perspective; government spending multiplier; R&D effort; IMF CSF; central bank financing; COVID-19; Bank credit; Fiscal stance; Global; Sub-Saharan Africa; Europe; Africa
Cover IMF Working Papers
Sovereign Risk and Bank Risk-Taking
Mr. Anil Ari
I propose a dynamic general equilibrium model in which strategic interactions between banks and depositors may lead to endogenous bank fragility and slow recovery from crises. When banks' investment decisions are not contractible, depositors form expectations about bank risk-taking and demand a return on deposits according to their risk. This creates strategic complementarities and possibly multiple equilibria: in response to an increase in funding costs, banks may optimally choose to pursue risky portfolios that undermine their solvency prospects. In a bad equilibrium, high funding costs hinder the accumulation of bank net worth, leading to a persistent drop in investment and output. I bring the model to bear on the European sovereign debt crisis, in the course of which under-capitalized banks in defaultrisky countries experienced an increase in funding costs and raised their holdings of domestic government debt. The model is quantified using Portuguese data and accounts for macroeconomic dynamics in Portugal in 2010-2016. Policy interventions face a trade-off between alleviating banks' funding conditions and strengthening risk-taking incentives. Liquidity provision to banks may eliminate the good equilibrium when not targeted. Targeted interventions have the capacity to eliminate adverse equilibria.
Keywords:
WP; central bank; demand schedule; Risk-taking; Financial constraints; Banking crises; Sovereign debt crises; bank lending; solvency constraint; deposit demand schedule; representative bank; funding condition; Sovereign bonds; Bank credit; Solvency; Liquidity; Global
Cover IMF Working Papers
Sovereign CDS Spreads in Europe: The Role of Global Risk Aversion, Economic Fundamentals, Liquidity, and Spillovers
Mr. Frigyes F Heinz
and
Ms. Yan M Sun
By analysing data from January 2007 to December 2012 in a panel GLS error correction framework we find that European countries’ sovereign CDS spreads are largely driven by global investor sentiment, macroeconomic fundamentals and liquidity conditions in the CDS market. But the relative importance of these factors changes over time. While during the 2008/09 crisis weak economic fundamentals (such as high current account decifit, worsening underlying fiscal balances, credit boom), a drop in liquidity and a spike in risk aversion contributed to high spreads in Central and Eastern and South-Eastern European (CESEE) countries, a marked improvement in fundamentals (e.g. reduction in fiscal deficit, narrowing of current balances, gradual economic recovery) explains the region’s resilience to financial market spillovers during the euro area crisis. Our generalised variance decomposition analyisis does not suggest strong direct spillovers from the euro area periphery. The significant drop in the CDS spreads between July 2012 and December 2012 was mainly driven by a decline in risk aversion as suggested by the model’s out of sample forecasts.
Keywords:
WP; CDS spread; financial market; area crisis; real GDP; CESEE countries; financial spillovers; CDS spreads; CESEE country; sovereign CDS; area CDS; norm decomposition; periphery country; CDS bid; CDS market liquidity condition; Credit default swap; Government debt management; Spillovers; Liquidity; Current account balance; Global; Baltics
Cover IMF Research Bulletin
IMF Research Bulletin, June 2012
International Monetary Fund. Research Dept.
The research summaries in the June 2012 issue of the IMF Research Bulletin are "Public Debt in Advanced Economies and Its Spillover Effects on Long-Term Yields" (by C. Emre Alper and Lorenzo Forni) and "Expansionary Fiscal Contractions: The Empirical Evidence" (by Rina Bhattacharya and Sanchita Mukherjee). The Q&A covers "Seven Questions about Income Inequality" (by Laura Feiveson). Also included in this issue are details on visiting scholars at the IMF, a listing of recently published IMF Working Papers and Staff Discussion Notes, as well as information on IMF Economic Review.
Keywords:
IMF research; e-mail notification; open economy macroeconomics; IMF RESERCH; research Department e-mail; Income inequality; Income distribution; Fiscal consolidation; Income; Global; Europe
Cover IMF Staff Country Reports
United Kingdom: Spillover Report for the 2011 Article IV Consultation and Supplementary Information
International Monetary Fund
In recent years, the IMF has released a growing number of reports and other documents covering economic and financial developments and trends in member countries. Each report, prepared by a staff team after discussions with government officials, is published at the option of the member country.
Keywords:
ISCR; CR; bank; financial institution; U.K. interbank market; U.K. bank; U.K. financial system; U.K. FSAP report; U.K. FSSA update; U.K. implementation; U.K. entity; Liquidity; Systemically important financial institutions; Commercial banks; Spillovers; Foreign banks; Global; Europe
Cover Global Financial Stability Report, April 2011
Global Financial Stability Report, April 2011
Durable Financial Stability: Getting There from Here
International Monetary Fund. Monetary and Capital Markets Department

Abstract

Despite ongoing economic recovery and improvements in global financial stability, structural weaknesses and vulnerabilities remain in some important financial systems. The April 2011 Global Financial Stability Report highlights how risks have changed over the past six months, traces the sources and channels of financial distress with an emphasis on sovereign risk, notes the pressures arising from capital inflows in emerging economies, and discusses policy proposals under consideration to mend the global financial system.

Keywords:
GFSR; bottom; economic structure; credit default swap; funding disruption; liquidity risk; emerging market bond Index; staff assessment; commercial paper; IMF country classification; Mortgages; Liquidity risk; Housing prices; Housing; Emerging and frontier financial markets; Global; Middle East; Europe; Asia and Pacific; North Africa; mortgage loan; short-term debt; mortgage market; long-term debt; credit growth; liquidity shortfall; Systemic risk; Caribbean
Cover Policy Papers
Cross-Cutting Themes in Economies with Large Banking Systems
International Monetary Fund
Recent events make clear that the global economy remains vulnerable, and that important work remains to be done to secure the recovery and prevent future crises. We must adapt to new challenges and ensure that the institution is equipped with the right tools to assess pressing risks to global stability and, when crisis prevention efforts are not enough, with the right instruments to restore confidence.
Keywords:
PP; commercial bank; bank assets; universal bank; HSBC Holdings; bank asset growth; central bank; banking sector; financial system; asset expansion; Commercial banks; Foreign banks; Credit; Liquidity; Global; Asia and Pacific; Europe
Cover Policy Papers
Crisis-Related Measures in the Financial System and Sovereign Balance Sheet Risks
International Monetary Fund
This paper examines the fiscal and financial risk implications of support measures in a sovereign balance sheet framework, making the point that the ultimate fiscal cost will depend on how balance sheets are managed—both in the near-term and as governments develop unwinding strategies. It suggests some key principles for efficient and transparent management of new assets, liabilities, and associated risks, and for moving toward an orderly disengagement.
Keywords:
PP; financial market; liquidity facility; asset purchase; credit risk; monetary policy; SWF assets; crisis intervention measure; private sector; market condition; asset disposal; interest rate; government assets; preferred shares; Financial statements; Central bank balance sheet; Deposit insurance; Liquidity; Global; Eastern Europe; East Asia