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Pagnotta, Emiliano; Philippon, Thomas - C.E.P.R. Discussion Papers - 2012

trading landscape has become more fragmented. In order to analyze the positive and normative implications of these evolutions …, we study a framework that captures (i) exchanges’ incentives to invest in faster trading technologies and (ii) investors …’ trading and participation decisions. Our model predicts that regulations that protect prices will lead to fragmentation and …

Persistent link: https://www.econbiz.de/10011084319

Drivers of Structural Change in Cross-Border Banking Since the Global Financial Crisis

Bremus, Franziska; Fratzscher, Marcel - C.E.P.R. Discussion Papers - 2014

The paper analyzes the effects of changes to regulatory policy and to monetary policy on cross-border bank lending since the global financial crisis. Cross-border bank lending has decreased, and the home bias in the credit portfolio of banks has risen sharply, especially among banks in the euro...

Persistent link: https://www.econbiz.de/10011145418

Crowding Out Redefined: The Role of Reserve Accumulation

Reinhart, Carmen M.; Tashiro, Takeshi - C.E.P.R. Discussion Papers - 2013

It is well understood that investment serves as a shock absorber at the time of crisis. The duration of the drag on investment, however, is perplexing. For the nine Asian economies we focus on in this study, average investment/GDP is about 6 percentage points lower during 1998-2012 than its...

Persistent link: https://www.econbiz.de/10011083567

Carry

Koijen, Ralph; Moskowitz, Tobias J; Pedersen, Lasse Heje; … - C.E.P.R. Discussion Papers - 2013

Any security’s expected return can be decomposed into its “carry” and its expected price appreciation, where carry is a model-free characteristic that can be observed in advance. While carry has been studied almost exclusively for currencies, we find that carry predicts returns both in the...

Persistent link: https://www.econbiz.de/10011083673

The Pricing of Sovereign Risk and Contagion during the European Sovereign Debt Crisis

Beirne, John; Fratzscher, Marcel - C.E.P.R. Discussion Papers - 2012

The paper analyses the drivers of sovereign risk for 31 advanced and emerging economies during the European sovereign debt crisis. It shows that a deterioration in countries’ fundamentals and fundamentals contagion – a sharp rise in the sensitivity of financial markets to fundamentals –...

Persistent link: https://www.econbiz.de/10011084109

Sudden Spikes in Global Risk

Bacchetta, Philippe; van Wincoop, Eric - C.E.P.R. Discussion Papers - 2012

Recent episodes (October 2008, May 2010, August 2011) have witnessed huge spikes in equity price risk (implied volatility). Apart from their large size, several features characterize these risk panics. They are global phenomena, shared among a broad set of countries. There is substantial...

Persistent link: https://www.econbiz.de/10011084461

Trade Credit and International Return Comovement

Albuquerque, Rui; Ramadorai, Tarun; Watugala, Sumudu - C.E.P.R. Discussion Papers - 2011

We examine trade credit links between firms as a channel of international return comovement. We model firms in different countries connected by trade credit links in segmented stock markets with asymmetrically informed investors. The model predicts that the cross-serial correlation of country...

Persistent link: https://www.econbiz.de/10008854544

Macroeconomic Order Flows: Explaining Equity and Exchange Rate Returns

Dunne, Peter; Hau, Harald; Moore, Michael - C.E.P.R. Discussion Papers - 2004

Macroeconomic models of equity returns perform poorly. The proportion of daily index returns that these models explain is essentially zero. Instead of relying on macroeconomic determinants, our model includes a concept from microstructure order flow. Order flow is the proximate determinant of...

Persistent link: https://www.econbiz.de/10005788997

Why Do Emerging Economies Borrow Short Term?

Broner, Fernando A; Lorenzoni, Guido; Schmukler, Sergio - C.E.P.R. Discussion Papers - 2007

We argue that emerging economies borrow short term due to the high risk premium charged by bondholders on long-term debt. First, we present a model where the debt maturity structure is the outcome of a risk sharing problem between the government and bondholders. By issuing long-term debt, the...

Persistent link: https://www.econbiz.de/10005789190

Optimal Currency Shares in International Reserves: The Impact of the Euro and the Prospects for the Dollar

Papaioannou, Elias; Portes, Richard; Siourounis, Gregorios - C.E.P.R. Discussion Papers - 2006

Foreign exchange reserve accumulation has risen dramatically in recent years. The introduction of the euro, greater liquidity in other major currencies, and the rising current account deficits and external debt of the United States have increased the pressure on central banks to diversify away...

Persistent link: https://www.econbiz.de/10005791662

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