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On the dynamics of the investment income balance

Knetsch, Thomas A.; Nagengast, Arne J. - 2016

While the positive return differential of the United States has attracted a lot of attention in the literature, the factors underlying the dynamics of the investment income balance have so far not been systematically investigated. Here, we propose a novel decomposition framework that accounts...

Persistent link: https://www.econbiz.de/10011495514

Doing more with less : the catalytic function of IMF lending and the role of program size

Krahnke, Tobias - 2020

Financial assistance provided by the International Monetary Fund (IMF) is supposed to unlock other financing, acting as a catalyst for private capital flows. The empirical evidence of the presence of such a catalytic effect has, however, been mixed. This paper shows that a possible explanation...

Persistent link: https://www.econbiz.de/10012197872

How integrated are the European retail financial markets? : a cointegration analysis

Schüler, Martin - 2002

Persistent link: https://www.econbiz.de/10013428473

Credit risk interconnectedness : what does the market really know?

Abbassi, Puriya; Brownlees, Christian; Hans, Christina; … - 2016

We analyze the relation between market-based credit risk interconnectedness among banks during the crisis and the associated balance sheet linkages via funding and securities holdings. For identification, we use a proprietary dataset that has the funding positions of banks at the bank-to-bank...

Persistent link: https://www.econbiz.de/10011456511

Asymmetric arbitrage trading on offshore and onshore renminbi markets

Eraslan, Sercan - 2017

This paper investigates the asymmetries in arbitrage trading with onshore and offshore renminbi spot rates, focusing on … mechanism. However, the two exchange rates deviate remarkably from each other, creating arbitrage opportunities over many days … the impact of appreciation and depreciation expectations on possible arbitrage trading. The estimation results suggest …

Persistent link: https://www.econbiz.de/10011649208

The time-varying impact of systematic risk factors on corporate bond spreads

Klein, Arne Christian; Pliszka, Kamil - 2018

During the global financial crisis, stressed market conditions led to skyrocketing corporate bond spreads that could not be explained by conventional modeling approaches. This paper builds on this observation and sheds light on time-variations in the relationship between systematic risk factors...

Persistent link: https://www.econbiz.de/10011855295

Foreign exchange interventions and their impact on expectations : evidence from the USD/ILS options market

Hertrich, Markus; Nathan, Daniel - 2022

Using confidential daily data, we analyse how the intervention episode of the Bank of Israel (BOI) from 2013 to 2019 has affected the foreign value of the Israeli new shekel (ILS) and the expectations about its future value. We find that interventions amounting to US dollar (USD) 1 billion are...

Persistent link: https://www.econbiz.de/10013259481

Flying under the radar : the effects of short-sale disclosure rules on investor behavior and stock prices

Jank, Stephan; Roling, Christoph; Smajlbegovic, Esad - 2016

This paper analyzes how newly introduced transparency requirements for short positions affect investors' behavior and security prices. Employing a unique data set, which contains both public positions above and confidential positions below the regulatory disclosure threshold, we offer several...

Persistent link: https://www.econbiz.de/10011500150

Fire buys of central bank collateral assets

Roure, Calebe de - 2017

In times of financial distress, central banks provide unlimited liquidity to avoid fire sales. In response, banks raise their demand for collateral assets, and the short-term scarcity of collateral securities leads to higher prices, the Fire Buy premium. To avoid collateral scarcity, central...

Persistent link: https://www.econbiz.de/10011587096

Lucas paradox and allocation puzzle : is the euro area different?

Herrmann, Sabine; Kleinert, Jörn - 2014

This paper examines the Lucas Paradox and the Allocation Puzzle of international capital flows referring to a panel data set of EMU countries and major industrialized and emerging economies. Overall, the results do not provide evidence in favour of the Lucas Paradox and the Allocation Puzzle....

Persistent link: https://www.econbiz.de/10010249651

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