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Bank of Canada Working Papers >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/53921
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Full metadata record
| DC Field | | Value | | Language |
| dc.contributor.author | | Chapman, James | | en_US |
| dc.contributor.author | | Chiu, Jonathan | | en_US |
| dc.contributor.author | | Molico, Miguel | | en_US |
| dc.date.accessioned | | 2010-11-05 | | en_US |
| dc.date.accessioned | | 2011-12-15T12:58:14Z | | - |
| dc.date.available | | 2011-12-15T12:58:14Z | | - |
| dc.date.issued | | 2010 | | en_US |
| dc.identifier.uri | | http://hdl.handle.net/10419/53921 | | - |
| dc.description.abstract | | We present a model of central bank collateralized lending to study the optimal choice of the haircut policy. We show that a lending facility provides a bundle of two types of insurance: insurance against liquidity risk as well as insurance against downside risk of the collateral. Setting a haircut therefore involves balancing the trade-off between relaxing the liquidity constraints of agents on one hand, and increasing potential inflation risk and distorting the portfolio choices of agents on the other. We argue that the optimal haircut is higher when the central bank is unable to lend exclusively to agents who actually need liquidity. Finally, for an unexpected drop in the haircut, the central bank can be more aggressive than when setting a permanent level of the haircut. | | en_US |
| dc.language.iso | | eng | | en_US |
| dc.publisher | | Bank of Canada Ottawa | | en_US |
| dc.relation.ispartofseries | | Bank of Canada Working Paper 2010,23 | | en_US |
| dc.subject.jel | | E40 | | en_US |
| dc.subject.jel | | E50 | | en_US |
| dc.subject.ddc | | 330 | | en_US |
| dc.subject.keyword | | Payment | | en_US |
| dc.subject.keyword | | clearing and settlement systems | | en_US |
| dc.subject.keyword | | Central bank research | | en_US |
| dc.subject.keyword | | Monetary policy implementation | | en_US |
| dc.subject.keyword | | Financial system regulation and policies | | en_US |
| dc.subject.keyword | | Financial services | | en_US |
| dc.subject.stw | | Zentralbank | | en_US |
| dc.subject.stw | | Geldpolitik | | en_US |
| dc.subject.stw | | Finanzpolitik | | en_US |
| dc.subject.stw | | Öffentliche Schulden | | en_US |
| dc.subject.stw | | Schuldenerlass | | en_US |
| dc.subject.stw | | Theorie | | en_US |
| dc.title | | Central bank haircut policy | | en_US |
| dc.type | | Working Paper | | en_US |
| dc.identifier.ppn | | 636315541 | | en_US |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | en_US |
| Appears in Collections: | | Bank of Canada Working Papers
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