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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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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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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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Distressed sales and liquidity in OTC markets
Selcuk, Cemil - Volkswirtschaftliche Fakultät, … - 2012
We present a stylized model of the over-the-counter (OTC) markets in the tradition of Duffie, Gârleanu, and Pedersen 2005 with three distinctive features: (i) Buyers' willingness to pay is private information. (ii) Dividends depend on the state of the macro economy. (iii) Sellers become...
Persistent link: https://www.econbiz.de/10011109583
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U.K. cross-sectional equity data: The case for robust investability filters
Rossi, Francesco - Volkswirtschaftliche Fakultät, … - 2012
We propose a novel approach to cross-sectional equities sample selection, derived from best market practice in index construction and focused on investability. Using the U.K. market as a template, we first demonstrate how the popular Datastream dataset is plagued by data deficiencies that would...
Persistent link: https://www.econbiz.de/10011112881
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Mergers and Acquisitions: A pre-post analysis for the Indian financial services sector
Sinha, Pankaj; Gupta, Sushant - Volkswirtschaftliche Fakultät, … - 2011
This paper examines the Mergers & Acquisitions scenario of the Indian Financial Services Sector. The data for eighty cases of M&A in the period from March 1993- Feb 2010 is collected for a set of ten financial parameters representing the various characteristics of a firm. All the cases have been...
Persistent link: https://www.econbiz.de/10009644159
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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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Risk monitoring tools in bank regulation and supervision – developments since the collapse of Barings Plc.
Ojo, Marianne - Volkswirtschaftliche Fakultät, … - 2010
effectively by its management. It also considers developments which have triggered the need for particular monitoring tools – not … supervisory boards, the importance of effective communication between management at all levels, to ensure transmission and …
Persistent link: https://www.econbiz.de/10008470455
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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