Matthias Rupprecht

Matthias Rupprecht

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Rupprecht

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Matthias

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Explaining the Failure of the Expectations Hypothesis with Short-Term Rates

( 2017-08-24)
Ranaldo, Angelo
;
Rupprecht, Matthias

This paper provides the first systematic study of the temporal and cross-sectional variation in the risk premium of the expectations hypothesis (EH) at very short end of the term structure. Using a unique and comprehensive dataset of European repurchase (repo) rates, we explain the sources and time variation affecting the risk premium. Our results show that the EH cannot be rejected when loans are secured by safe collateral and that unconventional monetary policy can substantially reduce risk premiums. By contrast, the EH is violated when interest rates are affected by funding risk and collateral risk.

Type: conference paper

URI: https://www.alexandria.unisg.ch/handle/20.500.14171/102063
Fragility of Money Markets

( 2016-06-25)
Ranaldo, Angelo
;
Rupprecht, Matthias
;
Wrampelmeyer, Jan

We provide the first comprehensive theoretical model for money markets encompassing unsecured and secured funding, asset markets, and central bank policy. In our model, leveraged banks invest in assets and raise short-term funds by borrowing in the unsecured and secured money markets. We derive how funding liquidity across money markets is related, explain how a shock to asset values can lead to mutually reinforcing liquidity spirals in both money markets, and show how borrowers' right-to-safety and risk-seeking behavior impacts their liability structure. We derive the socially optimal leverage ratio and funding structure, and show which combination of conventional and unconventional monetary policies and regulatory measures can reduce money market fragility.

Type: conference paper

URL: https://cepr.org/sites/default/files/40000_RANALDO%20-%20Fragility%20of%20Money%20Markets.pdf

URI: https://www.alexandria.unisg.ch/handle/20.500.14171/104186
Fragility of Money Markets

( 2016-05-13)
Ranaldo, Angelo
;
Rupprecht, Matthias
;
Wrampelmeyer, Jan

We provide the first comprehensive theoretical model for money markets encompassing unsecured and secured funding, asset markets, and central bank policy. In our model, leveraged banks invest in assets and raise short-term funds by borrowing in the unsecured and secured money markets. We derive how funding liquidity across money markets is related, explain how a shock to asset values can lead to mutually reinforcing liquidity spirals in both money markets, and show how borrowers' right-to-safety and risk-seeking behavior impacts their liability structure. We derive the socially optimal leverage ratio and funding structure, and show which combination of conventional and unconventional monetary policies and regulatory measures can reduce money market fragility.

Type: conference paper

URI: https://www.alexandria.unisg.ch/handle/20.500.14171/104360
Fragility of Money Markets

( 2016-07-01)
Ranaldo, Angelo
;
Rupprecht, Matthias
;
Wrampelmeyer, Jan

We provide the first comprehensive theoretical model for money markets encompassing unsecured and secured funding, asset markets, and central bank policy. In our model, leveraged banks invest in assets and raise short-term funds by borrowing in the unsecured and secured money markets. We derive how funding liquidity across money markets is related, explain how a shock to asset values can lead to mutually reinforcing liquidity spirals in both money markets, and show how borrowers' right-to-safety and risk-seeking behavior impacts their liability structure. We derive the socially optimal leverage ratio and funding structure, and show which combination of conventional and unconventional monetary policies and regulatory measures can reduce money market fragility.

Type: conference paper

URL: http://www.efmaefm.org/0EFMAMEETINGS/EFMA%20ANNUAL%20MEETINGS/2016-Switzerland/papers/EFMA2016_0209_fullpaper.pdf

URI: https://www.alexandria.unisg.ch/handle/20.500.14171/104161

Matthias Rupprecht

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