Narrow search
Showing 1 - 10 of 383
Cover Image
Global corporate bond issuance: what role for US quantitative easing?
Lo Duca, Marco; Nicoletti, Giulio; Vidal Martinez, Ariadna - European Central Bank - 2014
The paper investigates the impact of US quantitative easing (QE) on global non-financial corporate bond issuance. It distinguishes between two QE instruments, MBS/GSE debt and Treasury bonds, and disentangles between two channels of transmission of QE to global bond markets, namely flow effects...
Persistent link: https://www.econbiz.de/10010753743
Cover Image
Commonality in hedge fund returns: driving factors and implications
Bussière, Matthieu; Hoerova, Marie; Klaus, Benjamin - European Central Bank - 2014
We measure the commonality in hedge fund returns, identify its main driving factor and analyse its implications for financial stability. We find that hedge funds’ commonality increased significantly from 2003 until 2006. We attribute this rise mainly to the increase in hedge funds’ exposure...
Persistent link: https://www.econbiz.de/10010753747
Cover Image
Interbank lending, credit risk premia and collateral
Heider, Florian; Hoerova, Marie - European Central Bank - 2009
We study the functioning of secured and unsecured inter-bank markets in the presence of credit risk. The model generates empirical predictions that are in line with developments during the 2007-2009 financial crises. Interest rates decouple across secured and unsecured markets following an...
Persistent link: https://www.econbiz.de/10008549311
Cover Image
Central bank refinancing, interbank markets and the hypothesis of liquidity hoarding: evidence from a euro-area banking system
Affinito, Massimiliano - European Central Bank - 2013
This paper tests the hypothesis of liquidity hoarding in the Italian banking system during the 2007-2011 global …’ interventions are ineffective because banks hoard the liquidity injected rather than channelling it on to other banks and the real … the crisis, and, contrary to widespread conjecture, the liquidity injected by the Eurosystem was intermediated among banks …
Persistent link: https://www.econbiz.de/10010709540
Cover Image
Identifying the global transmission of the 2007-09 financial crisis in a GVAR Model
Chudik, Alexander; Fratzscher, Marcel - European Central Bank - 2011
The paper analyses and compares the role that the tightening in liquidity conditions and the collapse in risk appetite … empirical exercise with a Global VAR approach, the findings highlight the diversity of the transmission process. While liquidity …
Persistent link: https://www.econbiz.de/10008784826
Cover Image
Liquidity hoarding and interbank market spreads: the role of counterparty risk
Heider, Florian; Hoerova, Marie; Holthausen, Cornelia - European Central Bank - 2009
banks to have private information about the risk of their assets. We show how banks’ asset risk affects funding liquidity in … state with adverse selection and elevated rates; and iii) market breakdown with liquidity hoarding. We provide an … of unsecured rates and excess reserves banks hold, as well as the inability of massive liquidity injections by central …
Persistent link: https://www.econbiz.de/10008558914
Cover Image
Some lessons from the financial crisis for the economic analysis
Kenny, Geoff; Morgan, Julian - European Central Bank - 2011
The economics profession in general, and economic forecasters in particular, have faced some understandable criticism for their failure to predict the timing and severity of the recent economic crisis. In this paper, we offer some assessment of the performance of the Economic Analysis conducted...
Persistent link: https://www.econbiz.de/10009327807
Cover Image
Some lessons from the financial crisis for the economic analysis
Kenny, Geoff; Morgan, Julian - European Central Bank - 2011
The economics profession in general, and economic forecasters in particular, have faced some understandable criticism for their failure to predict the timing and severity of the recent economic crisis. In this paper, we offer some assessment of the performance of the Economic Analysis conducted...
Persistent link: https://www.econbiz.de/10010688344
Cover Image
Measuring bilateral spillover and testing contagion on sovereign bond markets in Europe
Claeys, Peter; Vašíček, Bořek - European Central Bank - 2014
The global financial crisis rapidly spread across borders and financial markets, and also distressed EU bond markets. The crisis did not hit all markets in the same way. We measure the strength and direction of linkages between 16 EU sovereign bond markets using a factor-augmented version of the...
Persistent link: https://www.econbiz.de/10011067242
Cover Image
Credit supply - Identifying balance-sheet channels with loan applications and granted loans
Jiménez, Gabriel; Ongena, Steven; Peydró, José-Luis; … - European Central Bank - 2010
reduce loan granting, especially to firms or from banks with lower capital or liquidity ratios. Moreover, responding to …
Persistent link: https://www.econbiz.de/10008565827