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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

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

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

It's not time to make a change : sovereign fragility and the corporate credit risk

Fornari, Fabio; Zaghini, Andrea - 2022

Relying on a perspective borrowed from monetary policy announcements and introducing an econometric twist in the traditional event study analysis, we document the existence of an "event risk transfer", namely a significant credit risk transmission from the sovereign to the corporate sector after...

Persistent link: https://www.econbiz.de/10013391043

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

Central bank asset purchases and auction cycles revisited : new evidence from the euro area

Ferrara, Federico M. - 2024

This study provides new evidence on the relationship between unconventional monetary policy and auction cycles in the euro area. Using proprietary data on purchases of public sector securities implemented by the Eurosystem, the paper examines the flow effects of asset purchase programmes on...

Persistent link: https://www.econbiz.de/10014527031

Collateral booms and information depletion

Asriyan, Vladimir; Laeven, Luc; Martin, Alberto - 2019

We develop a new theory of information production during credit booms. In our model, entrepreneurs need credit to … themselves from such diversion in two ways: collateralization and costly screening, which generates durable information about … accumulates physical capital but depletes information about investment projects. As a result, collateral-driven booms end in deep …

Persistent link: https://www.econbiz.de/10011997468