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and their implementation, payment systems and private market structures) and its implications for intraday volatility …, quoting activity, trading volume and bid-ask spreads in the overnight deposit segment. Volatility and spreads increase right … sample period. Main refinancing operations with the open market are associated with active liquidity re-allocation, little …
Persistent link: https://www.econbiz.de/10005530814
the opposite direction of transitory pricing errors, both on average and on the highest volatility days. This is done … through their liquidity demanding orders. In contrast, HFTs’ liquidity supplying orders are adversely selected. The direction …
Persistent link: https://www.econbiz.de/10010709544
those firms who originally did not exist or used to submit their orders through a broker. Differential liquidity and product …
Persistent link: https://www.econbiz.de/10005816248
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
. 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
finds that common shocks – key crisis events as well as changes to global liquidity and risk – have exerted a large effect …
Persistent link: https://www.econbiz.de/10009216681
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 …
Persistent link: https://www.econbiz.de/10009278181
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
may amplify the volatility of interest rates in secured markets. We use the model to discuss various policy responses to …
Persistent link: https://www.econbiz.de/10008549311
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 …
Persistent link: https://www.econbiz.de/10005002810