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dc.contributor.authorChapman, Jamesen
dc.contributor.authorChiu, Jonathanen
dc.contributor.authorMolico, Miguelen
dc.date.accessioned2010-11-05-
dc.date.accessioned2011-12-15T12:58:14Z-
dc.date.available2011-12-15T12:58:14Z-
dc.date.issued2010-
dc.identifier.pidoi:10.34989/swp-2010-23en
dc.identifier.urihttp://hdl.handle.net/10419/53921-
dc.description.abstractWe 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
dc.language.isoengen
dc.publisher|aBank of Canada |cOttawaen
dc.relation.ispartofseries|aBank of Canada Working Paper |x2010-23en
dc.subject.jelE40en
dc.subject.jelE50en
dc.subject.ddc330en
dc.subject.keywordPaymenten
dc.subject.keywordclearing and settlement systemsen
dc.subject.keywordCentral bank researchen
dc.subject.keywordMonetary policy implementationen
dc.subject.keywordFinancial system regulation and policiesen
dc.subject.keywordFinancial servicesen
dc.subject.stwZentralbanken
dc.subject.stwGeldpolitiken
dc.subject.stwFinanzpolitiken
dc.subject.stwÖffentliche Schuldenen
dc.subject.stwSchuldenerlassen
dc.subject.stwTheorieen
dc.titleCentral bank haircut policy-
dc.typeWorking Paperen
dc.identifier.ppn636315541en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:bca:bocawp:10-23en

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