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Paper / 2020SMQ / 70146698878302
Countercyclical liquidity policy and credit cycles: Evidence from macroprudential and monetary policy in Brazil
Bernardus F. Nazar Van Doornik / José-Luis Peydró / João Barata R. Blanco Barroso / Rodrigo Barbone Gonzalez
banking / causal identificationResource overview

Countercyclical liquidity policy and credit cycles: Evidence from macroprudential and monetary policy in Brazil

Paper2020

by Bernardus F. Nazar Van Doornik, José-Luis Peydró, João Barata R. Blanco Barroso, Rodrigo Barbone Gonzalez

Tags
bankingcausal identificationcredit marketseconomic policyliquidity

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Suggested foundations for market microstructure and execution and credit and counterparty risk. Specialist prerequisites vary by paper.

Before you read

  1. Order Books

    Read bid, ask, depth and queue-based market state.

  2. Order Flow and Adverse Selection

    Understand why fills and order flow can carry information.

  3. Credit Instruments, PD/LGD/EAD, and Rating Migration

    Separate default probability, loss severity and exposure.

  4. Conditional Expectation

    Read conditional default and exposure quantities.

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  1. Market Impact

    Connect trading speed and size to execution cost.

  2. Implementation Shortfall

    Measure execution relative to the decision price.

  3. Threshold Models and the Gaussian Copula for Portfolio Default

    Study dependence between defaults.

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