Understanding interlinkages in a financial system is an integral part of the assessment of its stability. This paper employs an event study technique to assess the significance of interlinkages from the UK life insurance sector to the UK banking system in times of stress. The paper uses a...

We investigate the impact that the publication of the Bank of England's Financial Stability Report (FSR) has on the stock returns and credit default swap spreads of UK financial institutions. Examining a sample of 73 UK-listed banks and other financial institutions, we find that publication of...

The Bund (10 year German Government Bond) futures contract is the most actively traded bond contract in Europe; it is traded in both London (LIFFE) and Frankfurt (DTB) on open outcry and electronic trading platforms respectively. In an attempt to reconcile the conflicting results of earlier...

Using comprehensive regulatory data, we examine trading by different investor types in government bond markets. Our sample covers virtually all secondary market trading in gilts and contains detailed information on each transaction, including the identities of both counterparties. We find that...

This paper uses transaction data to estimate how single stock circuit breakers on the London Stock Exchange affect other stocks that remain in continuous trading. This ‘spillover' effect is estimated by calculating the effect of a trading halt on the market quality of stocks that remain in...

We analyse liquidity dynamics in the UK long gilt futures market. We use a novel order book dataset to assess liquidity resilience to sources of pressure such as policy operations or episodes of financial distress. Our results provide evidence in favour of resilience. We further show that this...

Until recently, there have been few efforts to systematically measure and aggregate the nominal value of the different types of sovereign government debt in default. To help fill this gap, the Bank of Canada's Credit Rating Assessment Group (CRAG) has developed a comprehensive database of...

Using unique data at transaction and counterparty identity level, we study the microstructure of the Swiss franc FX over‑the‑counter (OTC) derivatives market during a time of stress that was triggered by the decision of the Swiss National Bank (SNB) to remove the Swiss franc‑euro exchange...

Until recently, few efforts have been made to systematically measure and aggregate the nominal value of the different types of sovereign government debt in default. To help fill this gap, the Bank of Canada (BoC) developed a comprehensive database of sovereign defaults that is posted on its...

Central banks' decisions are a function of forecasts of macroeconomic fundamentals. Because private sector forecasts are not bound to be equal to central banks' forecasts, what markets label as unexpected may or may not be unanticipated by the central bank. Monetary surprises can thus...