Angelo Ranaldo

Angelo Ranaldo

Title

Prof. Dr.

Last Name

Ranaldo

First name

Angelo

Email

angelo.ranaldo@unisg.ch

Phone

+41 71 224 7010

Homepage

https://www.unisg.ch/en/universitaet/schools/finance/ueber-die-sof/lehrstuhl_ranaldo

RePec

http://ideas.repec.org/e/pra161.html

SSRN

http://papers.ssrn.com/sol3/cf_dev/AbsByAuth.cfm?per_id=253421

Now showing 1 - 10 of 12

Liquidity Risk and Funding Cost

( 2022-03-25)
Bechtel, Alexander
;
Ranaldo, Angelo
;
Wrampelmeyer, Jan

We propose and test a new channel that links funding liquidity risk and interest rates in short-term funding markets. Unlike existing theories that focus on premiums demanded by lenders, the funding liquidity risk channel postulates that borrowers exposed to liquidity shocks are willing to pay a markup for immediate funding. We test and quantify the channel using unique trade-by-trade data and uncover systematic differences across individual banks' funding cost driven by idiosyncratic liquidity risk. These differences are persistent over a decade, suggesting that the funding liquidity risk channel is relevant in general and not only arises during crisis times.

Type: journal article

Journal: Review of Finance

Volume: 27

Issue: 2

URL: https://academic.oup.com/rof/advance-article/doi/10.1093/rof/rfac020/6554206

DOI: 10.1093/rof/rfac020

URI: https://www.alexandria.unisg.ch/handle/20.500.14171/108855

Scopus© Citations 2
Liquidity Risk and Funding Cost

Bechtel, Alexander
;
Ranaldo, Angelo
;
Wrampelmeyer, Jan

Type: conference paper

URI: https://www.alexandria.unisg.ch/handle/20.500.14171/116648
Liquidity Risk and Funding Cost

Bechtel, Alexander
;
Ranaldo, Angelo
;
Wrampelmeyer, Jan

Type: conference paper

URI: https://www.alexandria.unisg.ch/handle/20.500.14171/116674
Quantitative Easing and the Safe Asset Illusion

Bechtel, Alexander
;
Ranaldo, Angelo
;
Wrampelmeyer, Jan

Type: conference paper

URI: https://www.alexandria.unisg.ch/handle/20.500.14171/116647
Liquidity Risk and Funding Cost

( 2019-08)
Bechtel, Alexander
;
Ranaldo, Angelo
;
Wrampelmeyer, Jan

Type: conference paper

URI: https://www.alexandria.unisg.ch/handle/20.500.14171/98369
Quantitative Easing and the Safe Asset Illusion

( 2019-04-02)
Bechtel, Alexander
;
Eisenschmidt, Jens
;
Ranaldo, Angelo

Type: conference contribution

URI: https://www.alexandria.unisg.ch/handle/20.500.14171/98750
Liquidity Risk and Funding Cost

( 2019-03-29)
Bechtel, Alexander
;
Ranaldo, Angelo
;
Wrampelmeyer, Jan

Type: conference contribution

URI: https://www.alexandria.unisg.ch/handle/20.500.14171/98799
Liquidity Risk and Funding Cost

( 2018-06-20)
Bechtel, Alexander
;
Ranaldo, Angelo
;
Wrampelmeyer, Jan

Type: conference contribution

URI: https://www.alexandria.unisg.ch/handle/20.500.14171/100314
Liquidity Risk and Funding Cost

Bechtel, Alexander
;
Ranaldo, Angelo
;
Wrampelmeyer, Jan

Type: conference speech

URI: https://www.alexandria.unisg.ch/handle/20.500.14171/116486
Quantitative Easing and the Safe Asset Illusion

(SoF HSG, 2021-06-09)
Bechtel, Alexander
;
Eisenschmidt, Jens
;
Ranaldo, Angelo
;
Ventula Veghazy, Alexia

The massive recourse to quantitative easing (QE) calls for a better understanding of its effects on safe assets. Based on a simple balance sheet framework, we show how QE impacts the total amount, cross-sectional distribution, and composition of safe assets in the economy. Analyzing the ECB's Public Sector Purchase Programme (PSPP), we find that the amount of universally accessible safe assets decreases and there is a transfer of safe assets from the non-bank to the banking sector. We call this phenomenon the safe asset illusion. The sectoral shift in the holding structure of safe assets has important implications for financial stability and the cost of secured liquidity.

Type: working paper

Volume: 2021

Issue: 10

URI: https://www.alexandria.unisg.ch/handle/20.500.14171/110322

Angelo Ranaldo

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