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Cash-Forward Arbitrage and Dealer Capital in MBS Markets : COVID-19 and Beyond

Chen, Jiakai - 2020

We examine the economic mechanisms that limited arbitrage between the cash and forward markets of agency MBS, and whether asset purchases of the Federal Reserve (Fed) alleviated price dislocations. We find that the cash-forward basis, or the price difference between the cash and forward markets...

Persistent link: https://www.econbiz.de/10012828310

Are Market Makers Uninformed and Passive? Signing Trades in the Absence of Quotes

van der Wel, Michel - 2009

We develop a new likelihood-based approach to sign trades in the absence of quotes. It is equally efficient as existing MCMC methods, but more than 10 times faster. It can deal with the occurrence of multiple trades at the same time, and noisily observed trade times. We apply this method to a...

Persistent link: https://www.econbiz.de/10013159473

Liquidity Dynamics and Cross-Autocorrelations

Chordia, Tarun - 2011

This paper examines the mechanism by which the incorporation of information into prices leads to cross …-autocorrelations in stock returns. We present a simple model where trading on private information occurs first in the large stocks and is … information-based trading is more likely) …

Persistent link: https://www.econbiz.de/10012714364

Liquidity in U.S. Fixed Income Markets : A Comparison of the Bid-Ask Spread in Corporate, Government and Municipal Bond Markets

Chakravarty, Sugato - 2006

We examine the determinants of the realized bid-ask spread in the U.S. corporate, municipal and government bond markets for the years 1995 to 1997, based on newly available transactions data. Overall, we find that liquidity is an important determinant of the realized bid-ask spread in all three...

Persistent link: https://www.econbiz.de/10012735737

Two-Sided Markets and Intertemporal Trade Clustering : Insights into Trading Motives

Schwartz, Robert A. - 2006

. Our analysis has implications for trading motives, market structure, and the process by which new information is …

Persistent link: https://www.econbiz.de/10012733640

Market Sidedness : Insights into Motives for Trade Initiation

Schwartz, Robert A. - 2007

(relative to a control sample) around events that identify trade initiators. Consistent with asymmetric information, trading is …

Persistent link: https://www.econbiz.de/10012730427

Capital Constraints, Counterparty Risk, and Deviations from Covered Interest Rate Parity

Coffey, Niall - 2010

We provide robust evidence of deviations from the Covered Interest Parity (CIP) relation since the onset of the crisis in August 2007. The CIP deviations exist with respect to different dollar interest rates and exchange rate pairs of the dollar vis-à-vis other currencies. The results show that...

Persistent link: https://www.econbiz.de/10013150937

Traders' Broker Choice, Market Liquidity and Market Structure

Chakravarty, Sugato - 2011

) and a broker who does not (a discount broker). The capital broker exploits order flow information to mimic informed trades ….e., markets where there are many hedgers with low levels of risk aversion and endowment risk, where the information precision is … there are few hedgers with high levels of risk aversion and endowment volatility, and where information is imprecise. We …

Persistent link: https://www.econbiz.de/10012714535

Is Size Everything?

Antill, Samuel - 2018

We examine sources of systemic risk (threshold size, complexity, and interconnectedness) with factors constructed from equity returns of large financial firms, after accounting for standard risk factors. From the factor loadings and factor returns, we estimate the implicit government subsidy for...

Persistent link: https://www.econbiz.de/10012912918

The Effect of the Term Auction Facility on the London Interbank Offered Rate

McAndrews, James Joseph - 2017

The Term Auction Facility (TAF), the first auction-based liquidity initiative by the Federal Reserve during the global financial crisis, was aimed at improving conditions in the dollar money market and bringing down the significantly elevated London interbank offered rate (Libor). The...

Persistent link: https://www.econbiz.de/10012971012