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Evidence for Relational Contracts in Sovereign Bank Lending
Benczur, Peter; Ilut, Cosmin L. - National Bureau of Economic Research (NBER) - 2014
This paper presents direct evidence for relational contracts in sovereign bank lending. Unlike the existing empirical literature, its instrumental variables method allows for distinguishing a direct influence of past repayment problems on current spreads (a "punishment" effect in prices) from an...
Persistent link: https://www.econbiz.de/10010890105
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Nationalism and Economic Exchange: Evidence from Shocks to Sino-Japanese Relations
Hamao, Yasushi; Fisman, Raymond; Wang, Yongxiang - National Bureau of Economic Research (NBER) - 2014
We study the impact of nationalism and interstate frictions on international economic relations by analyzing market reaction to adverse shocks to Sino-Japanese relations in 2005 and 2010. Japanese companies with high China exposure suffer relative declines during each event window; a symmetric...
Persistent link: https://www.econbiz.de/10010950819
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Do ETFs Increase Volatility?
Ben-David, Itzhak; Franzoni, Francesco; Moussawi, Rabih - National Bureau of Economic Research (NBER) - 2014
We study whether exchange traded funds (ETFs)--an asset of increasing importance--impact the volatility of their … stocks owned by ETFs exhibit significantly higher intraday and daily volatility. We estimate that an increase of one standard … deviation in ETF ownership is associated with an increase of 16% in daily stock volatility. The driving channel appears to be …
Persistent link: https://www.econbiz.de/10010950870
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The "Greatest" Carry Trade Ever? Understanding Eurozone Bank Risks
Acharya, Viral V.; Steffen, Sascha - National Bureau of Economic Research (NBER) - 2013
We show that Eurozone bank risks during 2007-2012 can be understood as a "carry trade" behavior. Bank equity returns load positively on peripheral (Greece, Ireland, Portugal, Spain and Italy, or GIPSI) bond returns and negatively on German government bond returns, a position that generated...
Persistent link: https://www.econbiz.de/10010950931
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Free Lunch! Arbitrage Opportunities in the Foreign Exchange Markets
Ito, Takatoshi; Yamada, Kenta; Takayasu, Misako; … - National Bureau of Economic Research (NBER) - 2012
Using the "firm" quotes obtained from the tick-by-tick EBS (electronic broking system that is a major trading platform for foreign exchanges) data, it is found that risk-free arbitrage opportunities--free lunch--do occur in the foreign exchange markets, but it typically last only a few seconds....
Persistent link: https://www.econbiz.de/10010951011
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High-frequency, Algorithmic Spillovers Between NASDAQ and Forex
Ito, Takatoshi; Yamada, Masahiro - National Bureau of Economic Research (NBER) - 2015
We empirically examine the order flows spillovers between Nasdaq and the Forex markets in 2008 and 2009. With emphasis on a role of high-frequency traders (HFTs) who aggregate information between the two markets as well as within each market, our results show that HFTs in Nasdaq trade...
Persistent link: https://www.econbiz.de/10011266645
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Global Asset Pricing
Lewis, Karen K. - National Bureau of Economic Research (NBER) - 2011
Financial markets have become increasingly global in recent decades, yet the pricing of internationally traded assets continues to depend strongly upon local risk factors, leading to several observations that are difficult to explain with standard frameworks. Equity returns depend upon both...
Persistent link: https://www.econbiz.de/10009228888
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The Carry Trade and Fundamentals: Nothing to Fear But FEER Itself
Jorda, Oscar; Taylor, Alan M. - National Bureau of Economic Research (NBER) - 2009
strategies. When we do so, some questions are resolved: negative skewness is purged, and market volatility (VIX) is uncorrelated …
Persistent link: https://www.econbiz.de/10008628426
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Market Response to Policy Initiatives during the Global Financial Crisis
Ait-Sahalia, Yacine; Tamirisa, Natalia; Andritzky, Jochen; … - National Bureau of Economic Research (NBER) - 2010
This paper examines the impact of macroeconomic and financial sector policy announcements in the United States, the United Kingdom, the euro area, and Japan during the recent crisis on interbank credit and liquidity risk premia. Announcements of interest rate cuts, liquidity support, liability...
Persistent link: https://www.econbiz.de/10008631687
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The End of Gatekeeping: Underwriters and the Quality of Sovereign Bond Markets, 1815-2007
Flandreau, Marc; Flores, Juan H.; Gaillard, Norbert; … - National Bureau of Economic Research (NBER) - 2009
We provide a comparison of salient organizational features of primary markets for foreign government debt over the very long run. We focus on output, quality control, information provision, competition, pricing, charging, and signaling. We find that the market setup experienced a radical...
Persistent link: https://www.econbiz.de/10005039681