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Risk in Financial Reporting : Status, Challenges and Suggested Directions
Borio, Claudio E. V. - 2013
Advances in risk measurement technology have reshaped financial markets and the functioning of the financial system. More recently, they have been reshaping the prudential framework. Looking forward, they have the potential to reshape financial reporting too. Recent initiatives to improve...
Persistent link: https://www.econbiz.de/10012711584
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Arbitrage Costs and the Persistent Non-Zero CDS-Bond Basis : Evidence from Intraday Euro Area Sovereign Debt Markets
Gyntelberg, Jacob - 2017
makes arbitrage trades riskier, leading arbitrageurs to demand a higher compensation for increased risk. Our findings help …
Persistent link: https://www.econbiz.de/10012957749
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Estimating Unknown Arbitrage Costs : Evidence from a 3-Regime Threshold Vector Error Correction Model
Ters, Kristyna - 2018
conditions such as unknown arbitrage costs in markets with a persistent non-zero basis between two similar financial market … basis trades can be inferred from the estimated no-arbitrage regime. Our methodology allows us to quantify overall … transaction costs for an arbitrage trade in markets where trading costs are opaque or unknown, as in credit risk or index …
Persistent link: https://www.econbiz.de/10012929611
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Prolonged Reserves Accumulation, Credit Booms, Asset Prices and Monetary Policy in Asia
Filardo, Andrew J. - 2015
This paper examines past evidence of prolonged periods of foreign exchange reserves accumulation in the Asia-Pacific region. One empirical challenge is to identify periods of reserve accumulation that are sufficiently large and persistent to be categorised as prolonged. Several proxies for...
Persistent link: https://www.econbiz.de/10013023473
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Segmented Money Markets and Covered Interest Parity Arbitrage
Rime, Dagfinn - 2017
This paper studies the violation of the most basic no-arbitrage condition in international finance - Covered Interest … across the full rate spectrum. A narrow set of global top-tier banks enjoys risk-less arbitrage opportunities as dealers set … quotes to avert order flow imbalances. We show how a situation with persistent arbitrage profits arises as an equilibrium …
Persistent link: https://www.econbiz.de/10012952174
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Interpreting deviations from covered interest parity during the financial market turmoil of 2007-08
Baba, Naohiko; Packer, Frank - Bank für Internationalen Zahlungsausgleich <Basel> - 2008
This paper investigates the spillover effects of money market turbulence in 2007-08 on the short-term covered interest parity (CIP) condition between the US dollar and the euro through the foreign exchange (FX) swap market. Sharp and persistent deviations from the CIP condition observed during...
Persistent link: https://www.econbiz.de/10009248819
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Credit at Times of Stress : Latin American Lessons from the Global Financial Crisis
Montoro, Carlos - 2014
The financial systems in emerging market economies (EMEs) during the 2008-09 global financial crisis performed much better than in previous crisis episodes, albeit with significant differences across regions. For example, real credit growth in Asia and Latin America was less affected than in...
Persistent link: https://www.econbiz.de/10013066571
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BigTech and the Changing Structure of Financial Intermediation
Frost, Jon - 2019
We consider the drivers and implications of the growth of "BigTech" in finance - ie the financial services offerings of technology companies with established presence in the market for digital services. BigTech firms often start with payments. Thereafter, some expand into the provision of...
Persistent link: https://www.econbiz.de/10012888946
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The Cross-Border Credit Channel and Lending Standards Surveys
Filardo, Andrew J. - 2018
This paper argues that a measure of lending conditions - Senior Loan Officer (SLO) surveys - offers important insights into the monetary transmission mechanism. Using a Global VAR (GVAR) and SLO survey data from 16 countries, we document bank lending standards' significant role in explaining the...
Persistent link: https://www.econbiz.de/10012919113
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The Real Effects of Relationship Lending
Banerjee, Ryan - 2017
This paper studies the real consequences of relationship lending on firm activity in Italy following Lehman Brothers' default shock and Europe's sovereign debt crisis. We use a large data set that merges the comprehensive Italian Credit and Firm Registers. We find that following Lehman's...
Persistent link: https://www.econbiz.de/10012946799