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An empirical analysis of stock and bond market liquidity

Chordia, Tarun (contributor); Sarkar, Asani (contributor); … - 2003 - [Elektronische Ressource]

This paper explores liquidity movements in stock and Treasury bond markets over a period of more than 1800 trading days …. Cross-market dynamics in liquidity are documented by estimating a vector autoregressive model for liquidity (that is, bid … in one market affects the spreads in both markets, and that return volatility is an important driver of liquidity …

Persistent link: https://www.econbiz.de/10001752003

Financial market implications of the Federal debt paydown

Fleming, Michael J. (contributor) - 2001 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001589547

Measuring treasury market liquidity

Fleming, Michael J. (contributor) - 2001 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001590059

Are larger treasury issues more liquid? : Evidence from bill reopenings

Fleming, Michael J. (contributor) - 2002 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001656398

Common determinants of bond and stock market liquidity : the impact of financial crises, monetary policy, and mutual fund flows

Chordia, Tarun (contributor); Sarkar, Asani (contributor); … - 2001 - [Elektronische Ressource]

more highly correlated; moreover, at these times, money supply positively affects financial market liquidity, albeit with a … lag of two weeks. During normal times, increases in mutual fund flows enhance stock market liquidity and trading volume …, but during financial crises, U.S. government bond funds see higher inflows, resulting in increased bond market liquidity …

Persistent link: https://www.econbiz.de/10001629622

One reason countries pay their debts : renegotiation and international trade

Rose, Andrew (contributor) - 2001 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001629624

Estimating probabilities of default

Schuermann, Til (contributor); Hanson, Samuel G. (contributor) - 2004 - [Elektronische Ressource]

"We conduct a systematic comparison of confidence intervals around estimated probabilities of default (PD), using several analytical approaches from large-sample theory and bootstrapped small-sample confidence intervals. We do so for two different PD estimation methods--cohort and duration...

Persistent link: https://www.econbiz.de/10002521762

A general approach to integrated risk management with skewed, fat-tailed risks

Rosenberg, Joshua V. (contributor); … - 2004 - [Elektronische Ressource]

The goal of integrated risk management in a financial institution is to measure and manage risk and capital across a range of diverse business activities. This requires an approach for aggregating risk types (market, credit, and operational) whose distributional shapes vary considerably. In this...

Persistent link: https://www.econbiz.de/10002101503

ECB monetary operations and the interbank repo market

Dunne, Peter G.; Fleming, Michael J.; Zholos, Andrey - Federal Reserve Bank of New York - 2013

We examine the relationship between monetary policy operations and interbank borrowing and lending of funds using sovereign bonds as collateral. We first establish that, in the precrisis period, there are important but rather weak relations between these funding sources and that this...

Persistent link: https://www.econbiz.de/10010732481

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

While the balance sheet structure of U.S. banks influences how they respond to liquidity risks, the mechanisms for the …-sectional differences in response to liquidity risk depend on the banks’ shares of core deposit funding. By contrast, differences across … global banks (those with foreign affiliates) are associated with ex ante liquidity management strategies as reflected in …

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