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The price impact of CDS trading
Gündüz, Yalin; Nasev, Julia; Trapp, Monika - Deutsche Bundesbank - 2013
In this paper we show that informational and real frictions in CDS markets strongly affect CDS premia. We derive this main finding using a proprietary set of individual CDS transactions cleared by the Depository Trust & Clearing Corporation. We first show that CDS traders adjust the CDS premium...
Persistent link: https://www.econbiz.de/10010984735
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The dark and the bright side of liquidity risks: evidence from open-end real estate funds in Germany
Fecht, Falko; Wedow, Michael - Deutsche Bundesbank - 2009
We use a unique and comprehensive data set on open-end real estate funds in Germany to study a liquidity crisis that … competing explanations of liquidity crisis. We find that fundamental factors matter for the liquidity outflow in normal times …
Persistent link: https://www.econbiz.de/10008533497
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Testing mean-variance efficiency in CAPM with possibly non-gaussian errors: an exact simulation-based approach
Dufour, Jean-Marie; Beaulieu, Marie-Claude; Khalaf, Lynda - Deutsche Bundesbank - 2003
In this paper we propose exact likelihood-based mean-variance efficiency tests of the market portfolio in the context of Capital Asset Pricing Model (CAPM), allowing for a wide class of error distributions which include normality as a special case. These tests are developed in the framework of...
Persistent link: https://www.econbiz.de/10005083101
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A "wreckers theory" of financial distress
von Kalckreuth, Ulf - Deutsche Bundesbank - 2005
In recent years, a number of papers have established a new empirical regularity. Stocks of distressed firms vastly underperform those of financially healthy firms. It is not necessary to attribute the negative excess returns of distressed firms to inefficient or irrational markets. We show that...
Persistent link: https://www.econbiz.de/10005059016
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Tail Wags Dog? Time-Varying Information Shares in the Bund Market
Upper, Christian; Werner, Thomas - Deutsche Bundesbank - 2002
The flow of information between futures and spot prices may vary over time, in particular during periods of stress. This article analyses the information content of the Bund Future and German government bonds during 1998 and test whether it is constant over time. The use of high-frequency data...
Persistent link: https://www.econbiz.de/10005059035
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Updating the option implied probability of default methodology
Vilsmeier, Johannes - Deutsche Bundesbank - 2014
In this paper we 'update' the option implied probability of default (option iPoD) approach recently suggested in the literature. First, a numerically more stable objective function for the estimation of the risk neutral density is derived whose integrals can be solved analytically. Second, it is...
Persistent link: https://www.econbiz.de/10011161232
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Deriving the term structure of banking crisis risk with a compound option approach: The case of Kazakhstan
Eichler, Stefan; Karmann, Alexander; Maltritz, Dominik - Deutsche Bundesbank - 2010
We use a compound option-based structural credit risk model to infer a term structure of banking crisis risk from market data on bank stocks in daily frequency. Considering debt service payments with different maturities this term structure assigns a separate estimator for short- and long-term...
Persistent link: https://www.econbiz.de/10008595896
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Maturity shortening and market failure
Thierfelder, Felix - Deutsche Bundesbank - 2012
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 … need to provide longer-term liquidity. The paper asks what market failure central banks were addressing by intervening and …
Persistent link: https://www.econbiz.de/10010957159
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Maturity shortening and market failure
Thierfelder, Felix - Deutsche Bundesbank - 2012
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 … need to provide longer-term liquidity. The paper asks what market failure central banks were addressing by intervening and …
Persistent link: https://www.econbiz.de/10010535438
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Banking globalization, monetary transmission and the lending channel
Cetorelli, Nicola; Goldberg, Linda S. - Deutsche Bundesbank - 2008
foreign affiliates to help smooth domestic liquidity shocks. We also show that the existence of such internal capital markets … contributes to an international propagation of domestic liquidity shocks to lending by affiliated banks abroad. While these …
Persistent link: https://www.econbiz.de/10005083164