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Inference, arbitrage, and asset price volatility

Adrian, Tobias (contributor) - 2004 - [Elektronische Ressource], Rev. February 2008

, informed investors, and noise traders. Arbitrageurs face a trade-off between arbitrage and inference: they would like to buy … assets in response to temporary price declines (the arbitrage effect) but sell when prices decline permanently (the inference … effect). In equilibrium, the presence of arbitrageurs increases volatility when the inference effect dominates the arbitrage …

Persistent link: https://www.econbiz.de/10002101431

The impact of stock index arbitrage on equity markets - theory and evidence

Bhatt, Swati - Federal Reserve Bank of New York - 1987

Persistent link: https://www.econbiz.de/10005717216

Empirical evaluation of asset pricing models: arbitrage and pricing errors over contingent claims

Wang, Zhenyu; Zhang, Xiaoyan - Federal Reserve Bank of New York - 2006

negative and thus offer arbitrage opportunities. …

Persistent link: https://www.econbiz.de/10005526320

Inference, arbitrage, and asset price volatility

Adrian, Tobias - Federal Reserve Bank of New York - 2004

This paper models the impact of arbitrageurs on stock prices when arbitrageurs are uncertain about the drift of the dividend process of a risky asset. Under perfect information, the presence of risk-neutral arbitrageurs unambiguously reduces the volatility of asset returns. When arbitrageurs are...

Persistent link: https://www.econbiz.de/10005420543

Preferential regulatory treatment and banks' demand for government bonds

Bonner, Clemens - de Nederlandsche Bank - 2014

Government bonds receive preferential treatment in financial regulation. The purpose of this paper is to analyze the impact of this preferential treatment on banks' demand for government bonds. Using unique transaction-level data, our analysis suggests that preferential treatment in liquidity...

Persistent link: https://www.econbiz.de/10010812608

Simulations in the Dutch interbank payment system: A sensitivity analysis

Heijmans, Ronald - de Nederlandsche Bank - 2009

This paper presents an analysis on the sensitivity of the Dutch interbank payment system with respect to the value transferred and the amount of available collateral. The Dutch system can be characterised as a system with a few large and many relatively small participants.Historical data has...

Persistent link: https://www.econbiz.de/10005101806

A tale of the water-supplying plumber: intraday liquidity provision in payment systems

Ledrut, Elisabeth - de Nederlandsche Bank - 2006

This paper provides an overview of the literature on intraday credit in payment systems to date and explores the dilemma central banks face when deciding on their intraday credit policies. On the one hand, any strategy in which the costs of liquidity are not fully borne by payment system...

Persistent link: https://www.econbiz.de/10005101828

Simulating retaliation in payment systems: Can banks control their exposure to a failing participant?

Ledrut, Elisabeth - de Nederlandsche Bank - 2007

This paper assesses the impact of an operational failure at one of the biggest participants in the Dutch interbank payment system, varying the time at which the disruption takes place. Liquidity levels equal historical levels. The impact of such a disruption is quantified in terms of the...

Persistent link: https://www.econbiz.de/10005053799

Liquidity risk and U.S. bank lending at home and abroad

Goldberg, Linda S.; Correa, Ricardo; Rice, Tara - Federal Reserve Bank of New York - 2014

global banks (those with foreign affiliates) are associated with ex ante liquidity management strategies as reflected in …

Persistent link: https://www.econbiz.de/10010784189

International banking and liquidity risk transmission: lessons from across countries

Buch, Claudia M.; Goldberg, Linda S. - Federal Reserve Bank of New York - 2014

management across global banks can be important for liquidity risk transmission into lending. Fourth, there is substantial …

Persistent link: https://www.econbiz.de/10010784190