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Balance Sheet Interlinkages and Macro-Financial Risk Analysis in the Euro Area
Kavonius, Ilja Kristian; Castrén, Olli - 2009
The financial crisis has highlighted the need for models that can identify counterparty risk exposures and shock transmission processes at the systemic level. We use the euro area financial accounts (flow of funds) data to construct a sector-level network of bilateral balance sheet exposures and...
Persistent link: https://www.econbiz.de/10009640455
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High frequency trading and fragility
Cespa, Giovanni; Vives, Xavier - 2017
We show that limited dealer participation in the market, coupled with an informational friction resulting from high frequency trading, can induce demand for liquidity to be upward sloping and strategic complementarities in traders' liquidity consumption decisions: traders demand more liquidity...
Persistent link: https://www.econbiz.de/10011637013
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It's not time to make a change : sovereign fragility and the corporate credit risk
Fornari, Fabio; Zaghini, Andrea - 2022
Relying on a perspective borrowed from monetary policy announcements and introducing an econometric twist in the traditional event study analysis, we document the existence of an "event risk transfer", namely a significant credit risk transmission from the sovereign to the corporate sector after...
Persistent link: https://www.econbiz.de/10013391043
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Central bank asset purchases and auction cycles revisited : new evidence from the euro area
Ferrara, Federico M. - 2024
This study provides new evidence on the relationship between unconventional monetary policy and auction cycles in the euro area. Using proprietary data on purchases of public sector securities implemented by the Eurosystem, the paper examines the flow effects of asset purchase programmes on...
Persistent link: https://www.econbiz.de/10014527031
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Collateral booms and information depletion
Asriyan, Vladimir; Laeven, Luc; Martin, Alberto - 2019
We develop a new theory of information production during credit booms. In our model, entrepreneurs need credit to … themselves from such diversion in two ways: collateralization and costly screening, which generates durable information about … accumulates physical capital but depletes information about investment projects. As a result, collateral-driven booms end in deep …
Persistent link: https://www.econbiz.de/10011997468
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Financial crises and the dynamic linkages between stock and bond returns
Eraslan, Sercan; Ali, Faek Menla - 2017
This paper investigates the dynamic linkages in terms of the first and second moments between stock and bond returns, within a wide range of advanced economies, over the different phases of the recent financial crisis. The adopted empirical framework is a bivariate volatility model, where...
Persistent link: https://www.econbiz.de/10011664820
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Inflation, deflation, and uncertainty: What drives euro area option-implied inflation expectations and are they still anchored in the sovereign debt crisis?
Scharnagl, Michael; Stapf, Jelena - 2014
We tackle two questions in this paper: In the sovereign debt crisis, what moves the euro area inflation outlook and has the firm anchoring of medium to long-term inflation expectations been touched? Deriving densities from a new data set on options on the euro area harmonized index of consumer...
Persistent link: https://www.econbiz.de/10010420873
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Financial Crises and the Dynamic Linkages between Stock and Bond Returns
Eraslan, Sercan - 2017
This paper investigates the dynamic linkages in terms of the first and second moments between stock and bond returns, within a wide range of advanced economies, over the different phases of the recent financial crisis. The adopted empirical framework is a bivariate volatility model, where...
Persistent link: https://www.econbiz.de/10012953399
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Taking stock
Ehrmann, Michael; Fratzscher, Marcel - 2004
This paper analyses the effects of US monetary policy on stock markets. We find that, on average, a tightening of 50 basis points reduces returns by about 3%. Moreover, returns react more strongly when no change had been expected, when there is a directional change in the monetary policy stance...
Persistent link: https://www.econbiz.de/10009639408
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The informational content of over-the-counter currency options
Christoffersen, Peter; Mazzotta, Stefano - 2004
Financial decision makers often consider the information in currency option valuations when making assessments about …
Persistent link: https://www.econbiz.de/10009639420