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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/10013202601

Relationship lending in the interbank market and the price of liquidity

Bräuning, Falk; Fecht, Falko - 2012

This paper empirically investigates the effect of interbank relationship lending on banks’ access to liquidity. Our analysis is based on German interbank payment data which we use to create a panel of unsecured overnight loans between 1079 distinct borrower-lender pairs. The data shows that...

Persistent link: https://www.econbiz.de/10009625566

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/10010415789

Comparing models for forecasting the yield curve

Matsumura, Marco Shinobu; Moreira, Ajax - 2015

The evolution of the yields of different maturities is related and can be described by a reduced number of commom latent factors. Multifactor interest rate models of the finance literature, common factor models of the time series literature and others use this property. Each model has advantages...

Persistent link: https://www.econbiz.de/10012053243

Impact of macro shocks on sovereign default probabilities

Matsumura, Marco Shinobu - 2015

using daily data. We calculate the model implied default probabilities and a measure of the impact of macro shocks on the … term bonds and default probabilities and the Fed short rate is the most important factor affecting the long term default …

Persistent link: https://www.econbiz.de/10012039415

House Price Fluctuations and Residential Sorting

Haavio, Markus; Kauppi, Heikki - 2009

Empirical evidence indicates local jurisdictions are internally more heterogeneous than standard sorting models predict. We develop a dynamic multi-region model, with fluctuating regional house prices, where an owner-occupying household's location choice depends on its current wealth and its...

Persistent link: https://www.econbiz.de/10012503002

Distributional consequences of asset price inflation in the euro area

Adam, Klaus; Tzamourani, Panagiota - 2015

We study the distributional consequences of housing price, bond price and equity price increases for Euro Area households using data from the Household Finance and Consumption Survey (HFCS). The capital gains from bond price and equity price increases turn out to be concentrated among relatively...

Persistent link: https://www.econbiz.de/10011316626

Monetary policy and stock market volatility

Bleich, Dirk; Fendel, Ralf; Ruelke, Jan-Christoph - 2013

We estimate forward-looking interest rate reaction functions in the spirit of Taylor (1993) for four major central banks augmented by implicit volatilities of stock market indices to proxy financial market stress. Our results suggest that the Bank of England, the Federal Reserve Bank and the...

Persistent link: https://www.econbiz.de/10010202818

Identifying empty creditors with a shock and micro-data

Degryse, Hans; Gündüz, Yalın; 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/10012697959

Second-chance offers and buyer reputation : theory and evidence on auctions with default

Engelmann, Dirk; Frank, Jeff; Koch, Alexander K.; … - 2020

-chance" offers, where the runner-up bidder pays his own bid price, and they let sellers leave negative feedback on buyers who default … no incentive to exclude bidders, even if they are nearly certain to default; (iii) buyer reputation systems reward …

Persistent link: https://www.econbiz.de/10012237211

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