Publication

The Euro Interbank Repo Market

Publications associées (22)

Tiers of joy? Reserve tiering and bank behavior in a negative-rate environment

Negative interest rate regimes typically involve reserve tiering to exempt a portion of bank reserves from negative rates. We study the effects on bank behavior of a large and unanticipated change in reserve tiering by the Swiss National Bank that generate ...

2024

Frihet, sikkerhet, forstaden: Brev fra Amerika

Nagy Makhlouf

Why have countries formerly leading public policies of housing – Norway, the U.K., France, etc. – shifted towards privatizing accommodation from the late 1970s? Have these States merely let go of housing and handed it over to private interests in the name ...

2024

Mortgage-backed securities

Andreas Fuster

This paper reviews the mortgage-backed securities (MBS) market, with a particular emphasis on agency residential MBS in the United States. We discuss the institutional environment, security design, MBS risks and asset pricing, and the economic effects of m ...

Edward Elgar2023

Essays in Banking and Financial Regulation

Susanne Johanna Petronella Léonie Vissers

This thesis examines how banks choose their optimal capital structure and cash reserves in the presence of regulatory measures. The first chapter, titled Bank Capital Structure and Tail Risk, presents a bank capital structure model in which bank assets ...

EPFL2021

Essays on Mortgage Supply in a Low Rate Environment and Gender Effects of Covid-19

After the financial crisis, policy rates in the major advanced economies have moved downwards to near/below zero. Some countries have experienced an increase in house prices and an expansion of mortgages. Also, there have been considerable changes in the m ...

EPFL2021

Informational frictions in financial markets

Erik Hapnes

This thesis consists of three chapters on informational frictions in financial markets. The chapters analyze problems related to markets' ability to guide real investment, and what drives liquidity. Both problems are important to ensure efficient resource ...

EPFL2021

Price-based regulation of oligopolistic markets under discrete choice models of demand

Michel Bierlaire, Virginie Janine Camille Lurkin, Stefano Bortolomiol

We propose a framework to find optimal price-based policies to regulate markets characterized by oligopolistic competition and in which consumers make a discrete choice among a finite set of alternatives. The framework accommodates general discrete choice ...

2022

High-Frequency Jump Analysis of the Bitcoin Market

Christopher Trevisan, Adrien Treccani

We use the database leak of Mt. Gox exchange to analyze the dynamics of the price of bitcoin from June 2011 to November 2013. This gives us a rare opportunity to study an emerging retail-focused, highly speculative and unregulated market with trader identi ...

OXFORD UNIV PRESS2020

Mortgage Supply and Capital Regulation in a Low Interest Rate Environment

Luisa Lambertini

Low-for-long nominal interest rates have resulted in strong growth in mort- gage lending and real house prices in Switzerland. Domestically-oriented, small banks have mostly contributed to this expansion in mortgage lending while the two big, global system ...

2020

Frictional Intermediation in Over-the-Counter Markets

Julien Hugonnier

We extend Duffie et al.'s (2005) search-theoretic model of over-the-counter (OTC) asset markets, allowing for a decentralized inter-dealer market with arbitrary heterogeneity in dealers' valuations (or, equivalently, inventory costs). We develop a solution ...

OXFORD UNIV PRESS2020

Managing inventory with proportional transaction costs

Semyon Malamud

We solve the problem of optimal inventory management for a CARA market-maker who faces proportional transaction costs and marking to market. Our model accommodates inventory shocks following an arbitrary compound Poisson process. We show that the no-tradin ...

SPRINGER HEIDELBERG2020

ECOGreen: Electricity Cost Optimization for Green Datacenters in Emerging Power Markets

David Atienza Alonso, Ayse Kivilcim Coskun, Ali Pahlevan, Marina Zapater Sancho

Modern datacenters need to tackle efficiently the increasing demand for computing resources while minimizing energy usage and monetary costs. Power market operators have recently introduced emerging demand-response programs, in which electricity consumers ...

2021

Three Essays in Banking and Finance

Damien Olivier Klossner

This thesis develops three models that study the motivation of various agents to take on debt, and the impact that excessive financial leverage can have on social welfare. In the chapter "Short-term Bank Leverage and the Value of Liquid Reserves", the ince ...

EPFL2019

The Who, Where, What, How and When of Market Entry

Christopher Tucci

This introductory, along with the eight articles contained within this Special Issue, highlights and brings greater clarity to entrant-incumbent interactions and to firm movement - when entrants traverse market territories for the creation and/or delivery ...

WILEY2019

Financial Stability and the Macroeconomy : the Role of Bank Liquidity Regulation and Deposit Insurance

Corinne Dubois

The financial crisis of 2007-2009 drew attention to the essential role of banks for the macroeconomy and to the importance of having a resilient financial sector. A vulnerability in the financial sector spills over to the real economy and can drive it into ...

EPFL2018

Equilibrium Models for Derivatives Markets with Frictions

Yuan Zhang

This thesis develops equilibrium models, and studies the effects of market frictions on risk-sharing, derivatives pricing, and trading patterns. In the chapter titled "Imbalance-Based Option Pricing", I develop an equilibrium model of fragmented options m ...

EPFL2018

Mortgage Default in an Estimated Model of the U.S. Housing Market

Luisa Lambertini, Victoria Nuguer, Pinar Uysal

This paper models the housing sector, mortgages and endogenous default in a DSGE setting with nominal and real rigidities. We use data for the period 1981-2006 to estimate our model using Bayesian techniques. We analyze how an increase in risk in the mortg ...

2017

Electricity market operations under increasing uncertainty

Farzaneh Abbaspourtorbati

Decision making in electricity markets under uncertainty has worldwide gained attention due to an increasing number of uncertain parameters associated to technology developments and market evolution. Hence, the market operator faces new challenges pertaini ...

EPFL2017

Essays on the Market Structure and Pricing of Credit Derivatives

Jan Benjamin Junge

This thesis analyzes the interrelation between market structure and price formation in credit derivatives markets. Traditionally, credit derivatives are traded in relatively opaque over-the-counter markets in which trading is segmented and subject to many ...

EPFL2016

Experimental Investigation of the Dynamic Performances of a Miniature Soft Magneto-Rheological Shock Absorber

Yves Perriard, Yoan René Cyrille Civet, Daniel Grivon

In the proposed work, the dynamic performances of a miniature soft Magneto-Rheological (MR) shock absorber are analyzed. The final application for which the damper has been designed and in which it will be embedded is a variable stiffness insole for patien ...

Institute of Electrical and Electronics Engineers Inc.2016