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Time and the price impact of a trade : a structural approach

Grammig, Joachim; Theissen, Erik; Wünsche, Oliver - 2011

We revisit the role of time in measuring the price impact of trades using a new empirical method that combines spread decomposition and dynamic duration modeling. Previous studies which have addressed the issue in a vector-autoregressive framework conclude that times when markets are most active...

Persistent link: https://www.econbiz.de/10008856379

Heterogeneous expectations in the foreign exchange market evidence from the daily dollar

Ahrens, Ralf; Reitz, Stefan - 2003

In this study a regime switching approach is applied to estimate the chartist and fundamentalist (c&f) exchange rate model originally proposed by Frankel and Froot (1986). The c&f model is tested against alternative regime switching specifications applying likelihood ratio tests. Nested...

Persistent link: https://www.econbiz.de/10009765353

Explaining the dollar-euro rate : do stock market returns matter?

Kaltenhäuser, Bernd - 2001

Persistent link: https://www.econbiz.de/10001632813

Explaining the Dollar-Euro rate : do stock market returns mater?

Kaltenhäuser, Bernd (contributor) - 2001

Persistent link: https://www.econbiz.de/10001681617

The euro and international capital markets

Detken, Carsten; Hartmann, Philipp - 2000

a special emphasis on the first year of the euro. A contribution is made as to how to measure these roles, both for … identification of changes in the role of the euro during 1999 compared to the aggregate of euro predecessor currencies, net of intra … -euro area assets/liabilities, before stage 3 of EMU. A number of key factors determining the currency distribution of …

Persistent link: https://www.econbiz.de/10009767695

The green sin : how exchange rate volatility and financial openness affect green premia

Moro, Alessandro; Zaghini, Andrea - 2023

We propose a model with mean-variance foreign investors who exhibit a convex disutility associated to brown bond holdings. The model predicts that bond green premia should be smaller in economies with a closer financial account and highly volatile exchange rates. This happens because foreign...

Persistent link: https://www.econbiz.de/10014441622

Sovereign risk, bank funding and investors' pessimism

Faia, Ester - 2016 - This draft: September 2016

Data show that sovereign risk reduces liquidity, increases funding cost and risk of banks highly exposed to it. I build a model that rationalizes this fact. Banks act as delegated monitors and invest in risky projects and in risky sovereign bonds. As investors hear rumors of increased sovereign...

Persistent link: https://www.econbiz.de/10011541421

Strategic trading and trade reporting by corporate insiders

Betzer, André; Gider, Jasmin; Metzger, Daniel; … - 2011

Regulations in the pre-Sarbanes-Oxley era allowed corporate insiders considerable flexibility in strategically timing their trades and SEC filings, for example, by executing several trades and reporting them jointly after the last trade. We document that even these lax reporting requirements...

Persistent link: https://www.econbiz.de/10008822941

Washington meets Wall Street : a closer examination of the presidential cycle puzzle

Kräussl, Roman; Lucas, André; Rijsbergen, David R.; … - 2010

We show that average excess returns during the last two years of the presidential cycle are significantly higher than during the first two years: 9.8 percent over the period 1948 2008. This pattern in returns cannot be explained by business-cycle variables capturing time-varying risk premia,...

Persistent link: https://www.econbiz.de/10003947464

Financial shocks and the real economy in a nonlinear world : from theory to estimation

Silvestrini, Andrea; Zaghini, Andrea - 2015

to the analysis of the changing transmission of financial shocks in the euro area. Results show that the effects of a …

Persistent link: https://www.econbiz.de/10011279726