Safe Assets, Collateral Premium and Sovereign Bond Spreads

Name: Safe Assets, Collateral Premium and Sovereign Bond Spreads
Brand: Vita e Pensiero
Price: 6.00 EUR
Availability: OnlineOnly

digital

Article

Magazine

RIVISTA INTERNAZIONALE DI SCIENZE SOCIALI

Issue

RIVISTA INTERNAZIONALE DI SCIENZE SOCIALI - 2018 - 4. An Issue in Honour of Giacomo Vaciago

Title

Safe Assets, Collateral Premium and Sovereign Bond Spreads

Author

Gabriella Chiesa

Publisher

Vita e Pensiero

Format

Article |

Pdf

Pages

Online from

05-2019

Doi

10.26350/000518_000017

Issn

0035-676X (print) | 1827-7918 (digital)

€ 6.00

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Description

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.