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Does anonymity matter in electronic limit order markets ?

Thierry, FOUCAULT; Sophie, MOINAS; Erik, THEISSEN - HEC Paris (École des Hautes Études Commerciales) - 2003

We analyze the effect of concealing limit order traders’ identities on market liquidity. We develop a model in which limit order traders have asymmetric information on the cost of limit order trading (which is determined by the exposure to informed trading). A thin limit order book signals to...

Persistent link: https://www.econbiz.de/10005011558

Toxic Arbitrage

Foucault, Thierry; Kozhan, Roman - HEC Paris (École des Hautes Études Commerciales) - 2014

High frequency arbitrage opportunities arise when the price of one asset follows, with a lag, changes in the value of … risk of being picked off by arbitrageurs. Hence, more frequent toxic arbitrage opportunities and a faster arbitrageurs … triangular arbitrage opportunities in the FX market. In their sample, a 1% increase in the likelihood that a toxic arbitrage …

Persistent link: https://www.econbiz.de/10011147709

Modelling the liquidity ratio as macroprudential instrument

End, Jan Willem van den; Kruidhof, Mark - de Nederlandsche Bank - 2012

The Basel 3 Liquidity Coverage Ratio (LCR) is a micro prudential instrument to strengthen the liquidity position of banks. However if in extreme scenarios the LCR becomes a binding constraint, the interaction of bank behaviour with the regulatory rule can have negative externalities. We simulate...

Persistent link: https://www.econbiz.de/10010543516

Liquidity Regulation, Funding Costs and Corporate Lending

Bonner, Clemens - de Nederlandsche Bank - 2012

This paper analyzes the impact of a liquidity requirement similar to the Basel 3 Liquidity Coverage Ratio (LCR) on banks' funding costs and corporate lending rates. Using a dataset of 26 Dutch banks from January 2008 to December 2011, I find that banks which are just above/below their...

Persistent link: https://www.econbiz.de/10010757277

Banks' Liquidity Buffers and the Role of Liquidity Regulation

Bonner, Clemens; Lelyveld, Iman van; Zymek, Robert - de Nederlandsche Bank - 2013

banks' liquidity risk management. Our main question is whether the presence of liquidity regulation substitutes or …

Persistent link: https://www.econbiz.de/10010757282

The Impact of the LCR on the Interbank Money Market

Bonner, Clemens; Eijffinger, Sylvester - de Nederlandsche Bank - 2012

This paper analyzes the impact of a liquidity requirement similar to the Basel 3 Liquidity Coverage Ratio (LCR) on the unsecured interbank money market and therefore on the implementation of monetary policy. Combining two unique datasets of Dutch banks from 2005 to 2011, we show that banks which...

Persistent link: https://www.econbiz.de/10010757285

Bank liquidity, the maturity ladder, and regulation

Haan, Leo de; End, Jan Willem van den - de Nederlandsche Bank - 2012

We investigate 62 Dutch banks' liquidity behaviour between January 2004 and March 2010, when these banks were subject to a liquidity regulation that is very similar to Basel III's Liquidity Coverage Ratio (LCR). We find that most banks hold more liquid assets against their stock of liquid...

Persistent link: https://www.econbiz.de/10010757286

A macroprudential approach to address liquidity risk with the Loan-to-Deposit ratio

End, Jan Willem van den - de Nederlandsche Bank - 2013

This paper maps the empirical features of the Loan-to-Deposit (LTD) ratio with an eye on using it in macroprudential policy to mitigate liquidity risk. We inspect the LTD trends and cycles of 11 euro area countries by filtering methods and analyze the interaction between loans and deposits. We...

Persistent link: https://www.econbiz.de/10010822694

Bank Risk within and across Equilibria

Agur, Itai - de Nederlandsche Bank - 2011

This paper models a financial sector in which there is a feedback between individual bank risk and aggregate funding market problems. Greater individual risk taking worsens adverse selection problems on the market. But adverse selection premia on that market push up bank risk taking, leading to...

Persistent link: https://www.econbiz.de/10009193243

Banks' responses to funding liquidity shocks: lending adjustment, liquidity hoarding and fire sales

Haan, Leo de; End, Jan Willem van den - de Nederlandsche Bank - 2011

liquidity management are modelled in a panel Vector Autoregressive (p-VAR) framework. Orthogonalized impulse responses reveal …

Persistent link: https://www.econbiz.de/10009018572