. Spillovers are estimated recursively from a vector autoregressive model of daily CDS spread changes, with exogenous common … factors. We account for interdependencies between sovereign and bank CDS spreads and we derive generalised impulse response …

liquidity’ effects and limits to arbitrage. Third, since September 2008, market integration for bonds and CDS varies across …This paper studies the relative pricing of euro area sovereign CDS and the underlying government bonds. Our sample … comprises weekly CDS and bond spreads of ten euro area countries for the period from January 2006 to June 2010. We first compare …

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 …

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

finds that common shocks – key crisis events as well as changes to global liquidity and risk – have exerted a large effect …

We study the prices that individual banks pay for liquidity (captured by borrowing rates in repos with the central bank … depend in particular on the distribution of liquidity across banks, which is calculated over time using individual banklevel … data on reserve requirements and actual holdings. Banks pay more for liquidity when positions are more imbalanced across …

We discuss the notion of liquidity and liquidity risk within the financial system. We distinguish between three … different liquidity types, central bank liquidity, funding and market liquidity and their relevant risks. In order to understand … the workings of financial system liquidity, as well as the role of the central bank, we bring together relevant literature …

CDS markets becoming more sensitive to systematic risk while cash bond markets priced in more information about liquidity …Applied to the European markets, this paper analyzes the price of credit risk on the Credit Default Swap (CDS) and … factors and liquidity. Our analysis confirms the existence of a long-run relationship between the two markets, and the …