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What moves markets?
Kerssenfischer, Mark; Schmeling, Maik - 2022
What share of asset price movements is driven by news? We build a large, time-stamped event database covering scheduled macro news as well as unscheduled events. We find that news account for about 50% of all bond and stock price movements in the United States and euro area since 2002,...
Persistent link: https://www.econbiz.de/10013203461
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Identifying empty creditors with a shock and micro-data
Degryse, Hans; Gündüz, Yalin; O'Flynn, Kuchulain; … - 2021
Firms with credit-default swaps (CDS) traded on their debt may face "empty creditors" as hedged creditors have less … bank-firm CDS net notional and credit exposures we find that the probability of default for CDS firms drops when the effect … constrained embed the empty creditor effect into their probability of default estimates of affected firms to a larger extent. So …
Persistent link: https://www.econbiz.de/10012698567
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Real effects of foreign exchange risk migration: Evidence from matched firm-bank microdata
Abbassi, Puriya; Bräuning, Falk - 2020
When firms trade forward contracts with banks to protect foreign currency cash flows against exchange rate movements, foreign exchange risk migrates to the banking sector. We show how this migrated risk may induce systemic repercussions with severe implications for the real economy. For...
Persistent link: https://www.econbiz.de/10012292721
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Real Effects of Foreign Exchange Risk Migration : Evidence from Matched Firm-Bank Microdata
Abbassi, Puriya; Bräuning, Falk - 2021
When firms trade forward contracts with banks to protect foreign currency cash flows against exchange rate movements, foreign exchange risk migrates to the banking sector. We show how this migrated risk may induce systemic repercussions with severe implications for the real economy. For...
Persistent link: https://www.econbiz.de/10013315242
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Return differences between DAX ETFs and the benchmark DAX
Schmidhammer, Christoph - 2021
For the DAX index market, this paper analyses the development of return differences between exchange traded funds (ETFs) and the DAX index from the perspective of long-term investors. The newly introduced methodology provides the opportunity to continuously identify long-term costs of passively...
Persistent link: https://www.econbiz.de/10012613061
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Convertible Bonds and Bank Risk-Taking
Martynova, Natalya - 2019
-concern conversion reduces risk-taking incentives, unlike conversion at default by traditional bail-inable debt. Interestingly …
Persistent link: https://www.econbiz.de/10012898450
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Return Differences between DAX ETFs and the Benchmark DAX
Schmidhammer, Christoph - 2021
For the DAX index market, this paper analyses the development of return differences between exchange traded funds (ETFs) and the DAX index from the perspective of long-term investors. The newly introduced methodology provides the opportunity to continuously identify long-term costs of passively...
Persistent link: https://www.econbiz.de/10013213123
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Information effects of euro area monetary policy: New evidence from high-frequency futures data
Kerssenfischer, Mark - 2019
Central bank announcements move financial markets. The response of inflation and growth expectations, on the other hand, is often small or even counterintuitive. Based on tick-by-tick futures prices on bonds and stock prices, I confirm these seemingly puzzling results for the euro area and...
Persistent link: https://www.econbiz.de/10011984298
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Extreme inflation and time-varying consumption growth
Dergunov, Ilya; Meinerding, Christoph; Schlag, Christian - 2019
In a parsimonious regime switching model, expected consumption growth varies over time. Adding in ation as a conditioning variable, we uncover two states in which expected consumption growth is low, one with high and one with negative expected in ation. Embedded in a general equilibrium asset...
Persistent link: https://www.econbiz.de/10012000998
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Financial cycles across G7 economies: A view from wavelet analysis
Mandler, Martin; Scharnagl, Michael - 2019
We analyse the cross-country dimension of financial cycles by studying cyclical co-movements in credit, house prices, equity prices and interest rates across the G7 economies. We use wavelet-based statistics to assess at which frequencies cyclical fluctuations and their crosscountry co-movements...
Persistent link: https://www.econbiz.de/10012021655