SAFE ASSETS, COLLATERAL PREMIUM AND SOVEREIGN BOND SPREADS

Gabriella Chiesa

Rivista Internazionale di Scienze Sociali, 2018, vol. 126, issue 4, 397-422

Abstract: This paper analyses the interactions between the financial and the real sector in an environment where liquidity holdings is an input of the credit/investment process. The supply of liquidity is constrained in that income pledgeability limits inside liquidity, and not all sovereign debt is safe/liquid. We derive firms’/banks’ liquid asset portfolios and real investment/credit-lines provision, government bonds’ prices, the associated liquidity/collateral premia and bond spreads, aggregate investment and credit. We provide empirical evidence of the model’s predictions for the Euro-area, and the relevance of a European safe asset for the long run survival of the euro-zone

Keywords: Safe assets; Liquidity; Credit; Sovereign debt spreads (search for similar items in EconPapers)
JEL-codes: I20 (search for similar items in EconPapers)
Date: 2018
References: Add references at CitEc
Citations:

Downloads: (external link)
http://riss.vitaepensiero.it/scheda-articolo_digit ... 004_0397-369227.html (text/html)
Yes

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:vep:journl:y:2018:v:126:i:4:p:397-422

Access Statistics for this article

Rivista Internazionale di Scienze Sociali is currently edited by Maurizio Baussola

More articles in Rivista Internazionale di Scienze Sociali from Vita e Pensiero, Pubblicazioni dell'Universita' Cattolica del Sacro Cuore
Bibliographic data for series maintained by Vep - Vita e Pensiero ().