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Regulating financial market infrastructures

Ferrarini, Guido; Saguato, Paolo - London School of Economics (LSE) - 2014

This paper focuses on the impact of financial market infrastructures (FMIs) and of their regulation on the post-crisis transformation of securities and derivatives markets. It examines, in particular, the role that trading and post-trading FMIs, and their new regulatory regime, are playing in...

Persistent link: https://www.econbiz.de/10011125895

Flight to quality, flight to liquidity, and the pricing of risk

Vayanos, Dimitri - London School of Economics (LSE) - 2004

We propose a dynamic equilibrium model of a multi-asset market with stochastic volatility and transaction costs. Our key assumption is that investors are fund managers, subject to withdrawals when fund performance falls below a threshold. This generates a preference for liquidity that is...

Persistent link: https://www.econbiz.de/10010928794

Balance sheet capacity and endogenous risk

Danielsson, Jon; Song Shin, Hyun; Zigrand, Jean-Pierre - London School of Economics (LSE) - 2011

banking sector as a whole that depends on total bank capital. Equilibrium risk and market risk premiums can be solved in … closed form as functions of aggregate bank capital. We explore the empirical properties of the model in light of recent …

Persistent link: https://www.econbiz.de/10010884614

Optimal hedging strategies and interactions between firms

Loss, Frederic - London School of Economics (LSE) - 2002

This paper studies corporate risk management in a context with financial constraints and imperfect competition on the product market. We show that the interactions between firms heavily affect their hedging demand. As a general rule, the firms’ hedging demand decreases with the correlation...

Persistent link: https://www.econbiz.de/10010745252

A search-based theory of the on-the-run phenomenon

Vayanos, Dimitri; Weill, Pierre-Olivier - London School of Economics (LSE) - 2005

We propose a model in which assets with identical cash flows can trade at different prices. Agents enter into an infinite-horizon, steady-state market to establish long or short positions. Both the spot and the asset-lending market operate through search. Short-sellers can endogenously...

Persistent link: https://www.econbiz.de/10010745747

Search and endogenous concentration of liquidity in asset markets

Vayanos, Dimitri; Wang, Tan - London School of Economics (LSE) - 2004

We develop a search-based model of asset trading, in which investors of different horizons can invest in two identical assets. The asset markets are partially segmented: buyers can search for only one asset, but can decide which one. We show that there exists a "clientele" equilibrium where one...

Persistent link: https://www.econbiz.de/10010928661

Dynastic management

Caselli, Francesco; Gennaioli, Nicola - London School of Economics (LSE) - 2006

The most striking difference in corporate-governance arrangements between rich and poor countries is that the latter rely much more heavily on the dynastic family firm, where ownership and control are passed on from one generation to the other. We argue that if the heir to the family firm has no...

Persistent link: https://www.econbiz.de/10010928662

A model to analyse financial fragility: applications

Goodhart, Charles; Sunirand, Pojanart; Tsomocos, … - London School of Economics (LSE) - 2004

The purpose of our work is to explore contagious financial crises. To this end, we use simplified, thus numerically solvable, versions of our general model [Goodhart, Sunirand and Tsomocos (2003)]. The model incorporates heterogeneous agents, banks and endogenous default, thus allowing various...

Persistent link: https://www.econbiz.de/10010745587

Opening and closing the market: evidence from the London Stock Exchange

Ellul, Andrew; Shin, Hyun Song; Tonks, Ian - London School of Economics (LSE) - 2004

Various markets, particularly NASDAQ, have been under pressure from regulators and market participants to introduce call auctions for their opening and closing periods. We investigate the performance of call markets at the open and close from a unique natural experiment provided by the...

Persistent link: https://www.econbiz.de/10010745849

Equilibrium analysis, banking, contagion and financial fragility

Tsomocos, Dimitrios P. - London School of Economics (LSE) - 2003

model is a simplified version of the real world consisting of a non-bank private sector, banks, a central bank, a government … banking sector declines and defaults in the non-bank and banking private sectors increase. Thus, equilibria with financial … fragility require financial vulnerability in the banking sector and liquidity shortages in the non-bank private sector. The …

Persistent link: https://www.econbiz.de/10010884714

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