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SAFECRISES

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Safety, Liquidity, and Crises

Over the past 15 years, the euro area experienced two large financial crises (global financial; debt crisis), and two non-financial crises (Covid, war/energy) with spillovers to the financial system. Curiously, all these crises in... ver más

31/12/2028

UPF

1M€

Presupuesto del proyecto: 1M€

Líder del proyecto

UNIVERSITAT POMPEU FABRA No se ha especificado una descripción o un objeto social para esta compañía.

Total investigadores 321

Financiación concedida El organismo HORIZON EUROPE notifico la concesión del proyecto el día 2023-10-24

ERC-2023-STG: ERC STARTING GRANTS Scope:Objectives

I+D

Cerrada hace 2 años

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1 Participantes

UPF

1.50M€ | Lider

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Duración del proyecto: 62 meses Fecha Inicio: 2023-10-24
Fecha Fin: 2028-12-31

Líder del proyecto

UNIVERSITAT POMPEU FABRA No se ha especificado una descripción o un objeto social para esta compañía.

Total investigadores 321

Presupuesto del proyecto 1M€

Descripción del proyecto Over the past 15 years, the euro area experienced two large financial crises (global financial; debt crisis), and two non-financial crises (Covid, war/energy) with spillovers to the financial system. Curiously, all these crises involved distress in markets for assets which were supposedly liquid and safe: for example, repos and MBS in 2008, and sovereign bonds in the 2010 euro-area and October 2022 UK crises. But even though liquidity and safety play a key role in theories and narrative accounts of crises, most empirical studies of crises focus on risk, creating a key gap in the literature. My proposal will fill this gap by conducting the first systematic study of the role market liquidity and safe assets play in financial crisis events. To do this, I will collect new long-run data on i). Quantities of safe and liquid assets (produced by financials and governments), and ii). Prices of liquidity and safety (measured by bid-ask and yield spreads), for 17 advanced economies during 1870–2020. I will use these data to better understand which assets are safe and liquid, and what role liquidity and safety play in the build-up and aftermath of systemic crisis events. To do this, I propose five projects to study 1. How quantities of safe assets evolve over the long run, and around crises. 2. How safety & liquidity vary across & within asset classes, and over time. 3. How market liquidity relates to crisis risk and real activity. 4. How liquidity and solvency stress transmit and interact at bank level during crises. 5. How changes in quantities of safe and liquid assets affect their prices. The initial analysis will be empirical, done at macro level. It will be complemented by theory (project 1), and micro-level security/bank-level evidence (projects 2–4) to improve identification and understand the mechanisms at play.

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