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Does Partisan Conflict Impact the Cash Holdings of Firms? A Sign Restrictions Approach

Hankins, William - 2016

This paper explores how US partisan conflict impacts the cash management decisions of US firms. Using a sign restrictions approach to identify structural shocks to partisan conflict, we find that an exogenous 10% rise in the Partisan Conflict Index above trend is associated with a 0.4 percentage...

Persistent link: https://www.econbiz.de/10012976873

Preferred Habitat Investors in the UK Government Bond Market

Giese, Julia; Joyce, Michael; Meaning, Jack; Worlidge, Jack - 2021

Most tests of preferred habitat theory are indirect; they infer the existence of preferred habitat behaviour in financial markets by examining the behaviour of asset prices. We instead identify preferred habitat behaviour directly from whether investors show a preference towards a particular...

Persistent link: https://www.econbiz.de/10013211975

The Repo Market Under Basel III

Gerba, Eddie; Katsoulis, Petros - 2022

individual and joint impact of leverage, capital and liquidity coverage ratios on participants’ trading in all collateral … are constrained by a single ratio or not constrained, with implications for market liquidity …

Persistent link: https://www.econbiz.de/10013297525

The Local Supply Channel of QE : Evidence from the Bank of England’s Gilt Purchases

Froemel, Maren; Joyce, Michael; Kaminska, Iryna - 2022

One way quantitative easing (QE) purchases of government bonds by central banks may affect the yield curve is by creating scarcity in the purchased securities, leading to an increase in their prices or equivalently a reduction in their yields. We analyse and compare the importance of this...

Persistent link: https://www.econbiz.de/10013405688

Multi Yield Curve Stress-Testing Framework Incorporating Temporal and Cross Tenor Structural Dependencies

Karimalis, Emmanouil - 2017

as market-wide and country-specific measures of liquidity and credit quality. We apply our methodology to generate … Italian and Spanish liquidity and credit variables and evaluate the impact of these shocks on several bond portfolio … strategies. The empirical findings suggest that both country-specific liquidity and credit measures are important in explaining …

Persistent link: https://www.econbiz.de/10012958967

Risk-taking and Uncertainty : Do Contingent Convertible (CoCo) Bonds Increase the Risk Appetite of Banks?

Fatouh, Mahmoud; Neamțu, Ioana; van Wijnbergen, Sweder - 2021

We assess the impact of contingent convertible (CoCo) bonds and the wealth transfers they imply conditional on conversion on the risk-taking behaviour of the issuing bank. We also test for regulatory arbitrage: do banks try to maintain risk-taking incentives by issuing CoCo bonds, when...

Persistent link: https://www.econbiz.de/10013212056

Do Personal Taxes Affect Investment Decisions and Stock Returns?

Kontoghiorghes, Alexander P. - 2022

This paper studies the causal effects of personal investment taxes on stock demand, stock returns, and the financial decisions of companies. I exploit a change in legislation in 2013 which allowed stocks listed on the Alternative Investment Market, a sub-market of the London Stock Exchange, to...

Persistent link: https://www.econbiz.de/10013404343

Bond supply, price drifts and liquidity provision before central bank announcements

Pinter, Gabor; Uslu, Semih; Lou, Dong - 2023

find significant changes in the composition of liquidity providers: hedge funds buy a large share of the issue outside pre …-MPC windows, but they shy away from liquidity provision in pre-MPC windows, being replaced by less speculative investors such as … liquidity providers before high-informational events, which can also explain the price drift observed in the data …

Persistent link: https://www.econbiz.de/10014258216

Mortgages : Estimating Default Correlation and Forecasting Default Risk

Neumann, Tobias - 2018

Default correlation is a key driver of credit risk. In the Basel regulatory framework it is measured by the asset value correlation parameter. Though past studies suggest that the parameter is over-calibrated for mortgages — generally the largest asset class on banks' balance sheets — they...

Persistent link: https://www.econbiz.de/10012925775

The Deeds of Speed : An Agent-Based Model of Market Liquidity and Flash Episodes

Karvik, Geir-Are - 2018

This paper examines the role of high-frequency traders in flash episodes in electronic financial markets. To do so, we construct an agent-based model of a market for a financial asset in which trading occurs through a central limit order book. The model consists of heterogeneous agents with...

Persistent link: https://www.econbiz.de/10012913741

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