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RePEcRisk, Credit & Banking

Collateral policy surprises

Expansionary central bank collateral policy surprises reduce bank default risk and volatility while compressing government bond spreads, transmitting effects distinctly from asset purchases.

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Featured in No. 132 on 25 Sep 2026 · 4 days after release

Scatter plots showing collateral policy surprise correlation with CDS spreads across multiple financial indicators.
Figure 4: Purged Collateral Policy Surprises. The left column compares our collateral policy surprise, i.e. the first principal component of all bank stock price reactions (in %) to the residual νt from regressing cpst on potential confounders: cpst = β0 + β1yt + νt. The right column plots the fitt…
Released
21 Sep 2026
First featured
No. 132 · 25 Sep 2026
Published in
Not yet, as far as Semantic Scholar knows
Fanfare
2 of 5
Identifier
RePEc:zbw:bubdps:343110
Authors
Pia Hüttl et al.

Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).

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