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Currency Futures' Risk Premia and Risk Factors
Bernoth, Kerstin - 2020
The use of futures exchange contracts instead of forwards completes the maturity spectrum of the correlation between the spot yield and the premium. We find that the forward premium puzzle (FFP) depends significantly on the maturity horizon of the futures contract and the choice of sampling...
Persistent link: https://www.econbiz.de/10012835476
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Identifying Uncertainty Shocks Using the Price of Gold
Piffer, Michele - 2016
construct the instrument for uncertainty shocks by exploiting variations in the price of gold around selected events. The events … capture periods of changes in uncertainty unrelated to other macroeconomic shocks. The variations in the price of gold around … such events provide a measure correlated with the underlying uncertainty shocks, due to the perception of gold as a safe …
Persistent link: https://www.econbiz.de/10012998205
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Liquidity and Asset Prices : How Strong are the Linkages
Dreger, Christian - 2009
The appropriate design of monetary policy in integrated financial markets is one of the most challenging areas for central banks. One hot topic is whether the rise in liquidity in recent years has contributed to the formation of price bubbles in asset markets. If strong linkages exist, the...
Persistent link: https://www.econbiz.de/10013158282
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The Multifaceted Impact of US Trade Policy on Financial Markets
Boer, Lukas; Menkhoff, Lukas; Rieth, Malte - 2021
We study the multifaceted effects and persistence of trade policy shocks on financial markets in a structural vector autoregression. The model is identified via event day heteroskedasticity. We find that restrictive US trade policy shocks affect US and international stock prices heterogeneously,...
Persistent link: https://www.econbiz.de/10013217440
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Price Formation on the EuroMTS Platform
Caporale, Guglielmo Maria - 2010
This paper examines the process of price discovery in the MTS system, which builds on the parallel quoting of euro-denominated government securities on a number of (relatively large) domestic markets and on a (relatively small) European marketplace (EuroMTS). Using twenty-seven months of daily...
Persistent link: https://www.econbiz.de/10013144140
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The State Dependent Impact of Bank Exposure on Sovereign Risk
Podstawski, Maximilian - 2016
The theoretical literature remains inconclusive on whether changes in bank exposure towards the domestic sovereign have an adverse effect on the sovereign risk position via a diabolic loop in the sovereign-bank nexus or reduce perceived default risk by acting as a disciplinary device for the...
Persistent link: https://www.econbiz.de/10012998203
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Price Discovery and Trade Fragmentation in a Multi-Market Environment : Evidence from the MTS System
Caporale, Guglielmo Maria; Girardi, Alessandro - 2011
This paper proposes new metrics for the process of price discovery on the main electronic trading platform for euro-denominated government securities. Analysing price data on daily transactions for 107 bonds over a period of twenty-seven months, we find a greater degree of price leadership of...
Persistent link: https://www.econbiz.de/10014179428
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Quoted Spreads and Trade Imbalance Dynamics in the European Treasury Bond Market
Caporale, Guglielmo Maria - 2011
Using high-frequency transaction data for the three largest European markets (France, Germany and Italy), this paper documents the existence of an asymmetric relationship between market liquidity and trading imbalances: when quoted spreads rise (fall) and liquidity falls (increases) buy (sell)...
Persistent link: https://www.econbiz.de/10013131806
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On the Linkages between Stock Prices and Exchange Rates : Evidence from the Banking Crisis of 2007-2010
Caporale, Guglielmo Maria - 2013
This study examines the nature of the linkages between stock market prices and exchange rates in six advanced economies, namely the US, the UK, Canada, Japan, the euro area, and Switzerland, using data on the banking crisis between 2007 and 2010. Bivariate UEDCC-GARCH models are estimated...
Persistent link: https://www.econbiz.de/10013083442
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Macro News and Commodity Returns
Caporale, Guglielmo Maria - 2015
news and commodity returns (Gold, Corn, Wheat, Soybeans, Silver, Platinum, Palladium, Copper, Aluminium and Crude Oil) over … Gold and Silver. Volatility spillovers are bigger in size and affect most commodity returns. Both first and second moment …
Persistent link: https://www.econbiz.de/10013014894