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The Broad Yen Carry Trade
Hattori, Masazumi; Shin, Hyun Song - Institute for Monetary and Economic Studies, Bank of Japan - 2007
Yen carry trades have traditionally been viewed in narrow terms purely as a foreign exchange transaction. However, evidence from the waxing and waning of balance sheets of foreign banks operating in Japan points to a broader notion of the carry trade. Yen liabilities fund not only pure currency...
Persistent link: https://www.econbiz.de/10004975764
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Securitization, Transparency and Liquidity
Pagano, Marco; Volpin, Paolo - Centro Studi di Economia e Finanza (CSEF) - 2008
We present a model in which issuers of asset backed securities choose to release coarse information to enhance the liquidity of their primary market, at the cost of reducing secondary market liquidity or even causing it to freeze. The degree of transparency is inefficiently low if the social...
Persistent link: https://www.econbiz.de/10005087538
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Credit Ratings Failures and Policy Options
Pagano, Marco; Volpin, Paolo - Centro Studi di Economia e Finanza (CSEF) - 2009
This paper examines the role of credit rating agencies in the subprime crisis that triggered the 2007-08 financial turmoil. We focus on two aspects of ratings that contributed to the boom and bust of the market for structured debt: rating inflation and coarse information disclosure. The paper...
Persistent link: https://www.econbiz.de/10008561014
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Good Securitization, Bad Securitization
Plantin, Guillaume - Institute for Monetary and Economic Studies, Bank of Japan - 2011
I use a simple banking model to study the circumstances under which excessive and inefficient securitization may occur …. I first stress that increasing securitization rates that reduce banks' incentives to screen borrowers and thus lead to … the informational efficiency of the securitization market, then there is room for excessive securitization. The model …
Persistent link: https://www.econbiz.de/10008837594
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Liquidity dynamics in an electronic open limit order book: An event study approach
Gomber, Peter; Schweickert, Uwe; Theissen, Erik - Institut für Finanzmarktforschung, Wirtschafts- und … - 2011
We analyze the dynamics of liquidity in Xetra, an electronic open limit order book. We use the Exchange Liquidity Measure (XLM), a measure of the cost of a roundtrip trade of given size V. This measure captures the price and the quantity dimension of liquidity. We present descriptive statistics,...
Persistent link: https://www.econbiz.de/10009321684
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Commonalities in the order book
Beltran-Lopez, Héléna; Giot, Pierre; Grammig, Joachim G. - Institut für Finanzmarktforschung, Wirtschafts- und … - 2009
This paper uses data from one of the most important European stock markets and shows that, in line with predictions from theoretical market microstructure, a small number of latent factors captures most of the variation in stock specific order books. We show that these order book commonalities...
Persistent link: https://www.econbiz.de/10008684973
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Tell-tale tails: A data driven approach to estimate unique market information shares
Grammig, Joachim G.; Peter, Franziska J. - Institut für Finanzmarktforschung, Wirtschafts- und … - 2010
The trading of securities on multiple markets raises the question of each market's share in the discovery of the informationally efficient price. We exploit salient distributional features of multivariate financial price processes to uniquely determine these contributions. Thereby we resolve the...
Persistent link: https://www.econbiz.de/10008684984
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Preferential regulatory treatment and banks' demand for government bonds
Bonner, Clemens - de Nederlandsche Bank - 2014
Government bonds receive preferential treatment in financial regulation. The purpose of this paper is to analyze the impact of this preferential treatment on banks' demand for government bonds. Using unique transaction-level data, our analysis suggests that preferential treatment in liquidity...
Persistent link: https://www.econbiz.de/10010812608
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Simulations in the Dutch interbank payment system: A sensitivity analysis
Heijmans, Ronald - de Nederlandsche Bank - 2009
This paper presents an analysis on the sensitivity of the Dutch interbank payment system with respect to the value transferred and the amount of available collateral. The Dutch system can be characterised as a system with a few large and many relatively small participants.Historical data has...
Persistent link: https://www.econbiz.de/10005101806
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A tale of the water-supplying plumber: intraday liquidity provision in payment systems
Ledrut, Elisabeth - de Nederlandsche Bank - 2006
This paper provides an overview of the literature on intraday credit in payment systems to date and explores the dilemma central banks face when deciding on their intraday credit policies. On the one hand, any strategy in which the costs of liquidity are not fully borne by payment system...
Persistent link: https://www.econbiz.de/10005101828