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Risk premium, macroeconomics shocks, and information technology: An empirical analysis

Mannonen, Pekka; Oikarinen, Elias - 2013

This study identifies empirically the impact of various macroeconomic factors on the default risk premium. Using monthly data for the period 1970-2010 for the U.S., our estimations indicate that the monetary policy aggregates, risk-free interest rate, term structure of interest rates, inflation,...

Persistent link: https://www.econbiz.de/10012503038

Market discipline across bank governance models : empirical evidence from German depositors

Arnold, Eva; Größl, Ingrid; Koziol, Philipp - 2015

German savers are renowned for preferring safe, long-term investments, thus providing patient capital, with bank deposits playing an important role. Using a comprehensive data set for the German banking sector, we examine whether German depositors are really that patient, abstaining from any...

Persistent link: https://www.econbiz.de/10011285397

The intraday interest rate : what’s that?

Abbassi, Puriya; Fecht, Falko; Tischer, Johannes - 2015

We study the intraday interest rate in a CCP-based GC pooling repo market and its key determinants. Since collateral used in this market is identical to collateral eligible for the daylight overdraft facility of the Eurosystem, any intraday rate in this market cannot be a result of collateral...

Persistent link: https://www.econbiz.de/10011308459

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

Investor fears and risk premia for rare events

Schwarz, Claudia - 2014 - This version: January 13, 2014

This paper uses the method developed by Bollerslev and Todorov (2011b) to estimate risk premia for extreme events for the US and the German stock markets. The method extracts jump tail measures from high-frequency futures price data and from options data. In a second step, jump tail...

Persistent link: https://www.econbiz.de/10010249730

High-frequency trading in the Bund futures market

Schlepper, Kathi - 2016

In this work, I study the impact of high-frequency trading (HFT) on price discovery and volatility in the Bund futures …

Persistent link: https://www.econbiz.de/10011483067

Who trades on momentum?

Baltzer, Markus; Jank, Stephan; Smajlbegovic, Esad - 2014

momentum and contrarian trading of different investor groups. Foreign investors and financial institutions, and especially … mutual funds, are momentum traders, whereas private households are contrarians. Contrarian trading by private households … momentum trading over time, we document substantial increase in sales of loser stocks by foreign and institutional investors …

Persistent link: https://www.econbiz.de/10010471006

Natural resources, export concentration and financial development

Hattendorff, Christian - 2014

Recent studies indicate that the natural resource curse, that is, the negative link between resource abundance and growth, may operate through a country’s financial system. Scholars show that resource-abundant economies suffer from lower financial development, which may indirectly affect...

Persistent link: https://www.econbiz.de/10010433904

Natural resources, demand for external finance and financial development

Hattendorff, Christian - 2014

The paper contributes to the ongoing debate on the natural resource curse, which postulates a negative link between natural resource abundance and economic growth. It shows empirically that resource-rich countries appear to have a less developed financial system and investigates a potential...

Persistent link: https://www.econbiz.de/10010433905

Fundamentals matter : idiosyncratic shocks and interbank relations

Bednarek, Peter; Dinger, Valeriya; Westernhagen, Natalja von - 2015

Our results uncover a so far undocumented ability of the interbank market to distinguish between banks of different quality in times of aggregate distress. We show empirical evidence that during the 2007 financial crisis the inability of some banks to roll over their interbank debt was not due...

Persistent link: https://www.econbiz.de/10011414244

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