Motivated by the financial crisis of 2007-2009 several papers have provided explanations for why liquidity may dry up during market stress. This paper also looks at this issue but focuses on the question as to why the liquidity crunch was not uniform across maturities. As funding pressures were...

Money markets have two functions, the allocation of liquidity and the processing of information. We develop a model that allows us to evaluate the efficiency of different money market derivatives regarding these two objectives. We assume that due to its size, a large bank receives a more precise...

Instruments for credit risk transfer arise endogenously from and interact with optimizing behavior of their users. This is particularly true with credit derivatives which are usually OTC contracts between banks as buyers and sellers of credit risk. Recent literature, however, does not account...

Motivated by the financial crisis of 2007-2009 several papers have provided explanations for why liquidity may dry up during market stress. This paper also looks at this issue but focuses on the question as to why the liquidity crunch was not uniform across maturities. As funding pressures were...

By using short-term direct finance firms of the highest credit quality expose themselves to rollover risk in the public debt markets. Firms insure themselves against this risk by securing backup lines of credit from banks that they may use should market liquidity dry up. In a first step, this...

On the basis of accounting and market data for firms and groups listed on German stock exchanges between 1997 and 2003, we show that the value relevance of R&D information under German accounting standards can be superior to that provided by US-GAAP and IAS. The results, obtained while...

We present a theoretical and empirical analysis of the fitness of national German (German Commercial Code - Handelsgesetzbuch (HGB)) and international (IAS and US-GAAP) accounting information, as well as European patent data to explain the market values of German manufacturing firms. For the...

Information economics has emerged as the primary theoretical lens for framing financing decisions in firm R&D investment. Successful outcomes of R&D projects are either ex-ante impossible to predict or the information is asymmetrically distributed between inventors and investors. As a result,...

This paper aims to shed light on some of the major allocative consequences of financial market bubbles. In March 1997, the Neuer Markt in Germany opened. Six years later, in June 2003, it closed forever. In the interim period lay the spectacular rise and fall of the first and most important...

On 3 December EY hosted a SUERF conference on banking reform with Sir Howard Davies, the Chairman of RBS, and Dame Colette Bowe, the Chairman of the Banking Standards Board, as the two keynote speakers. Professor David Miles (Imperial College) gave the SUERF 2015 Annual Lecture on Capital and...