Yuliya-Baranova-Zijun-Liu-Joseph-Noss-抵押物在提供流动性时所扮演的角色.pdf

Staff W rking Paper N . 609 The r le f c llateral in supp rting liquidity Yuliya Baran va, Zij un Liu and J seph N ss August 2016 Staff W rking Papers describe research in pr gress by the auth r(s) and are published t elicit c mments and t further debate. Any views expressed are s lely th se f the auth r(s) and s cann t be taken t represent th se f the Bank f England r t state Bank f England p licy. This paper sh uld theref re n t be rep rted as representing the views f the Bank f England r members f the M netary P licy C mmittee, Financial P licy C mmittee r Prudential Regulati n Auth rity B ard. Staff W rking Paper N . 609 The r le f c llateral in supp rting liquidity Yuliya Baran va,(1) Zij un Liu(2) and J seph N ss(3) Abstract Collateral plays an important role in supporting a vast range of transactions that help ensure the efficient functioning of the financial system. But collateral markets also have the potential to exacerbate risks to financial stability, not least given that during periods of market stress demand for high-quality collateral may increase, whilst collateral availability may fall. This paper offers a means to estimate how this potential imbalance between collateral supply and demand is likely to vary as a function of market stress. In doing so, it offers an estimate of the increase in market volatility sufficient to cause a dislocation in the market for collateral and a subsequent deterioration in market functioning. It suggests that — from the perspective of financial stability — the implications of an imbalance between the supply and demand of collateral are likely to be comparatively benign, but that the implication