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The reception of public signals in financial marketswhat if central bank communication becomes stale?

Ehrmann, Michael; Sondermann, David - European Central Bank - 2009

How do financial markets price new information? This paper analyzes price setting atthe intersection of private and public information, by testing whether and how thereaction of financial markets to public signals depends on the relative importance ofprivate information in agents’ information...

Persistent link: https://www.econbiz.de/10005866483

The pricing of subprime mortgage risk in good times and bad: evidence from the ABX.HE indices

Fender, Ingo; Scheicher, Martin - European Central Bank - 2009

This paper investigates the market pricing of subprime mortgage risk on the basis of data forthe ABX.HE family of … introduction into ABX index mechanicsand a discussion of historical pricing patterns, we use regression analysis to establish …, liquidity and risk appetite. The results imply thatdeclining risk appetite and heightened concerns about market illiquidity …

Persistent link: https://www.econbiz.de/10005866585

The term structure of equity premia in an affine arbitrage-free model of bond and stock market dynamics

Lemke, Wolfgang; Werner, Thomas - European Central Bank - 2009

We estimate time-varying expected excess returns on the US stock market from 1983to 2008 using a model that jointly captures the arbitrage-free dynamics of stockreturns and nominal bond yields. The model nests the class of affine term structure (ofinterest rates) models. Stock returns and bond...

Persistent link: https://www.econbiz.de/10005866629

Measuring financial integration in the euro area

Baele, Lieven; Ferrando, Annalisa; Hördahl, Peter; … - European Central Bank - 2004

In this paper, we present a set of specific measures to quantify the state and evolution of financial integration in the euro area. Five key markets are considered, namely the money, corporate bond, government bond, credit and equity markets. Building upon the law of one price, we developed two...

Persistent link: https://www.econbiz.de/10005816123

Issues in the ECU Markets and Some Tentative Explanations fro Some Apparent Puzzles.

Fell, J.P.C.; Levy, A. - European Central Bank - 1996

This study focuses on longer term influences and provides some potential explanations in ECU markets which were regarder by some financial market participants as puzzles.

Persistent link: https://www.econbiz.de/10005486856

The pricing of subprime mortgage risk in good times and bad: evidence from the ABX.HE indices

Fender, Ingo; Scheicher, Martin - European Central Bank - 2009

This paper investigates the market pricing of subprime mortgage risk on the basis of data for the ABX.HE family of … introduction into ABX index mechanics and a discussion of historical pricing patterns, we use regression analysis to establish the …, liquidity and risk appetite. The results imply that declining risk appetite and heightened concerns about market illiquidity …

Persistent link: https://www.econbiz.de/10005002803

Inflation and relative price asymmetry

Ratfai, Attila - European Central Bank - 2004

study evaluates the quantitative importance of idiosyncratic pricing shocks in short-run aggregate price change dynamics …. Robustly to alternative definitions of the relative price, identification schemes dictated by two-sided (S,s) pricing theory …

Persistent link: https://www.econbiz.de/10005530941

Foreign-currency bonds: currency choice and the role of uncovered and covered interest parity

Habib, Maurizio Michael; Joy, Mark - European Central Bank - 2008

-currency-denominated bonds. In particular, we investigate whether bond issuers choose their issuance currency in order to exploit the borrowing …

Persistent link: https://www.econbiz.de/10005531006

Implications for liquidity from innovation and transparency in the European corporate bond market

Laganá, Marco; Perina, Martin; Köppen-Mertes, Isabel von - European Central Bank - 2006

This paper offers a new framework for the assessment of financial market liquidity and identifies two types: search … liquidity and systemic liquidity. Search liquidity, i.e. liquidity in “normal” times, is driven by search costs required for a … trader to find a willing buyer for an asset he/she is trying to sell or vice versa. Search liquidity is asset specific …

Persistent link: https://www.econbiz.de/10005344808

Market based compensation, price informativeness and short-term trading

Calcagno, Riccardo; Heider, Florian - European Central Bank - 2007

. This trade-off generates a number of insights about the impact of market conditions, e.g. liquidity and trading horizons …

Persistent link: https://www.econbiz.de/10005344830