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Transition versus physical climate risk pricing in European financial markets : a text-based approach

Bua, Giovanna; Kapp, Daniel; Ramella, Federico; … - 2022

the industry they operate in. We find that firm level information appears to be used as a gauge for transition risk, in …

Persistent link: https://www.econbiz.de/10013271146

Balance sheet interlinkages and macro-financial risk analysis in the Euro area

Kavonius, Ilja Kristian; Castrén, Olli - 2009

The financial crisis has highlighted the need for models that can identify counterparty risk exposures and shock transmission processes at the systemic level. We use the euro area financial accounts (flow of funds) data to construct a sector-level network of bilateral balance sheet exposures and...

Persistent link: https://www.econbiz.de/10003969268

The reception of public signals in financial markets : what if central bank communication becomes stale?

Ehrmann, Michael; Sondermann, David - 2009

How do financial markets price new information? This paper analyzes price setting at the intersection of private and … public information, by testing whether and how the reaction of financial markets to public signals depends on the relative … importance of private information in agents’ information sets at a given point in time. It studies the reaction of UK short …

Persistent link: https://www.econbiz.de/10003963731

An empirical study on the decoupling movements between corporate bond and CDS spreads

Alexopoulou, Ioana; Andersson, Magnus; Georgescu, Oana Maria - 2009

CDS markets becoming more sensitive to systematic risk while cash bond markets priced in more information about liquidity …

Persistent link: https://www.econbiz.de/10003963752

Measuring euro area monetary policy

Altavilla, Carlo; Brugnolini, Luca; Gürkaynak, Refet S.; … - 2019

We study the information flow from the ECB on policy dates since its inception, using tick data. We show that three …

Persistent link: https://www.econbiz.de/10012009157

Competition among high-frequency traders, and market quality

Breckenfelder, Johannes - 2019

We study empirically how competition among high-frequency traders (HFTs) affects their trading behavior and market quality. Our analysis exploits a unique dataset, which allows us to compare environments with and without high-frequency competition, and contains an exogenous event - a tick size...

Persistent link: https://www.econbiz.de/10012016546

Inflation anchoring in the euro area

Speck, Christian - Task Force on Low Inflation (LIFT) - 2017

We analyze the degree of anchoring of inflation expectations in the euro area during the post-crisis period, with a focus on the time span from 2014 onwards when long-term beliefs have substantially drifted away from the policy target. Using a new estimation technique, we look at tail...

Persistent link: https://www.econbiz.de/10011636312

High frequency trading and fragility

Cespa, Giovanni; Vives, Xavier - 2017

We show that limited dealer participation in the market, coupled with an informational friction resulting from high frequency trading, can induce demand for liquidity to be upward sloping and strategic complementarities in traders' liquidity consumption decisions: traders demand more liquidity...

Persistent link: https://www.econbiz.de/10011637013

How news affects sectoral stock prices through earnings expectations and risk premia

Hvid, Anna Kirstine; Kristiansen, Kristian Loft - 2020

A growing body of literature analyses the impact of news on companies' equity prices. We add to this literature by showing that the transmission channel of news to prices differs across sectors. First, we disentangle sectoral equity prices into components of expected future earnings and equity...

Persistent link: https://www.econbiz.de/10012316963

Physical and transition risk premiums in euro area corporate bond markets

Bats, Joost Victor; Bua, Giovanna; Kapp, Daniel - 2024

The European Union plays a prominent role in climate regulations initiatives, this commitment likely implies that climate risk premiums look different in Europe compared to the rest of the world. This paper examines the pricing implications of climate risks in euro area corporate bond markets,...

Persistent link: https://www.econbiz.de/10014484474