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Channel Systems : Why is There a Positive Spread?
Berentsen, Aleksander - 2010
this result in a dynamic general equilibrium model where market participants have heterogeneous liquidity needs and where …
Persistent link: https://www.econbiz.de/10013135781
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The Interest Rate Pass-Through in the Euro Area During the Global Financial Crisis
Hristov, Nikolay - 2013
This paper uses panel vector autoregressive models and simulations of an estimated DSGE model to explore the reaction of Euro–area banks to the global financial crisis. We focus on their interest–rate setting behavior in response to standard macroeconomic shocks. Our main empirical finding...
Persistent link: https://www.econbiz.de/10013089850
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Self-Fulfilling Crises in the Eurozone : An Empirical Test
De Grauwe, Paul - 2013
-fulfilling liquidity crises than in stand-alone countries. We find evidence that a significant part of the surge in the spreads of the PIGS …
Persistent link: https://www.econbiz.de/10013090949
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Macro News and Bond Yield Spreads in the Euro Area
Caporale, Guglielmo Maria - 2014
This paper analyses the effects of newspaper coverage of macro news on the spread between the yield on the 10-year German Bund and on sovereign bonds in eight countries belonging to the euro area (Belgium, France, Greece, Ireland, Italy, the Netherlands, Portugal and Spain) using daily data for...
Persistent link: https://www.econbiz.de/10013045338
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Liquidity Risk, Credit Risk and the Overnight Interest Rate Spread : A Stochastic Volatility Modelling Approach
Beirne, John - 2013
liquidity risk, credit risk (financial and sovereign), and interest rate expectations. Our results suggest that liquidity risk … fears. In addition, the ECB appears to have been more effective in addressing liquidity risk since the onset of the crisis …
Persistent link: https://www.econbiz.de/10013094544
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Term Structure and Cyclicity of Value-at-Risk : Consequences for the Solvency Capital Requirement
Bec, Frederique; Gollier, Christian - 2021
This paper explores empirically the link between French equities returns Value-at-Risk (VaR) and the state of financial markets cycle. The econometric analysis is based on a simple vector autoregression setup. Using quarterly data from 1970Q4 to 2008Q3, it turns out that the k-year VaR of French...
Persistent link: https://www.econbiz.de/10013316387
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Treasury Auctions and Secondary Market Dynamics. An Analysis Based on the MTS Market for Italy
Cafiso, Gianluca - 2015
Auctions of government bonds are the main allotment method used by the Treasury of advanced economies. Previous research has found that auctions have an influence on the market yield days before they take place, and underpricing is usually spotted when their outcome is compared with...
Persistent link: https://www.econbiz.de/10013021758
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Debt Sustainability in the Case of External Debt. An Analysis Based on Italy's Treasury Auctions
Cafiso, Gianluca - 2014
The objective of this paper is to assess whether external debt makes a difference for public debt stabilization, where external debt is considered through the non-residents' holdings according to a Balance of Payments perspective. The analysis is empirical and considers the case of Italy, one of...
Persistent link: https://www.econbiz.de/10013044665
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Quoted Spreads and Trade Imbalance Dynamics in the European Treasury Bond Market
Caporale, Guglielmo Maria - 2013
documents the existence of an asymmetric relationship between market liquidity and trading imbalances: when quoted spreads rise … (fall) and liquidity falls (increases) buy (sell) orders tend to prevail. Risk-averse market-makers, with inventory … characteristics, stock market volatility, macroeconomic releases and liquidity management operations of the monetary authorities …
Persistent link: https://www.econbiz.de/10013094028
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Debt Recovery in Firm Liquidations : Do Liquidation Trustees Matter?
Cepec, Jaka - 2016
Insolvency systems play a crucial role in protection of creditor rights, yet micro-level empirical evidence on the functioning of insolvency regimes worldwide is sparse. We investigate whether creditors' recovery of outstanding claims, a measure of ex-post efficiency of an insolvency regime,...
Persistent link: https://www.econbiz.de/10012982336