Search Results - subject:"liquidity premia"

A heterogeneous agents equilibrium model for the term structure of bond market liquidity

Schuster, Philipp; Trapp, Monika; Uhrig-Homburg, Marliese - 2016

We analyze the impact of market frictions on trading volume and liquidity premia of finite maturity assets when …

Persistent link: https://www.econbiz.de/10011450065

Liquidity and credit risks in the UK's financial crisis: How "quantitative easing" changed the relationship

Wong, Woon K.; Biefang-Frisancho Mariscal, Iris; Yao, Wanru - 2016

central bank's liquidity provisions, we provide evidence that the QE operations were successful in reducing liquidity premia …

Persistent link: https://www.econbiz.de/10011787152

A heterogeneous agents equilibrium model for the term structure of bond market liquidity

Schuster, Philipp; Gehde-Trapp, Monika; Uhrig-Homburg, … - 2016

We analyze the impact of market frictions on trading volume and liquidity premia of finite maturity assets when …

Persistent link: https://www.econbiz.de/10011449872

Liquidity and credit risks in the UK's financial crisis : how "quantitative easing" changed the relationship

Wong, Woon K.; Biefang-Frisancho Mariscal, Iris; Yao, Wanru - 2016

central bank's liquidity provisions, we provide evidence that the QE operations were successful in reducing liquidity premia …

Persistent link: https://www.econbiz.de/10011688262

Recovering the real-world density and liquidity premia from option data

Barkhagen, Mathias; Blomvall, Jörgen; Platen, Eckhard - 2015

Persistent link: https://www.econbiz.de/10011344223

TIPS and the VIX: Spillovers from Stock Market Panic to Breakeven Inflation in an Automated, Non-linear Modeling Framework

Stillwagon, Josh R. - Department of Economics, Trinity College - 2015

This paper examines the determinants of the breakeven inflation rate (BEI) on 5 and 10 year US Treasury inflation protected securities (TIPS). The estimation is conducted using a bias-corrected, automated model selection algorithm with indicator saturation and non-linearities. The vast majority...

Persistent link: https://www.econbiz.de/10011252520