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Credit risk transfer and financial sector performance
(CFAP, Cambridge Judge Business School, University of Cambridge, 2004)
In this paper we study the impact of credit risk transfer (CRT) on the stability and the efficiency of a financial system in a model with endogenous intermediation and production. Our analysis suggests that with respect ...
Aggregate liquidity shortages, idiosyncracic liquidity smoothing and banking regulation
(CFAP, Cambridge Judge Business School, University of Cambridge, 2005)
This paper develops a model of banking fragility driven by aggregate liquidity shortages. Inefficiencies arise because liquidity smoothing across banks breaks down when there is such a shortage, causing unnecessary and ...