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Balance Sheet Interlinkages and Macro-Financial Risk Analysis in the Euro Area

Kavonius, Ilja Kristian; Castrén, Olli - 2009

The financial crisis has highlighted the need for models that can identify counterparty risk exposures and shock transmission processes at the systemic level. We use the euro area financial accounts (flow of funds) data to construct a sector-level network of bilateral balance sheet exposures and...

Persistent link: https://www.econbiz.de/10009640455

Monetary policy and mispricing in stock markets

Beckers, Benjamin; Bernoth, Kerstin - 2016

This paper investigates whether central banks can attenuate excessive mispricing in stocks as suggested by the proponents of a \leaning against the wind" (LATW) monetary policy. For this, we decompose stock prices into a fundamental component, a risk premium, and a mispricing component. We argue...

Persistent link: https://www.econbiz.de/10011526074

Credit rating agency announcements and the eurozone sovereign debt crisis

Baum, Christopher F.; Karpava, Margarita; Schäfer, Dorothea - 2013

This paper studies the impact of credit rating agency (CRA) announcements on the value of the Euro and the yields of French, Italian, German and Spanish long-term sovereign bonds during the culmination of the Eurozone debt crisis in 2011-2012. The employed GARCH models show that CRA downgrade...

Persistent link: https://www.econbiz.de/10010206145

High frequency trading and fragility

Cespa, Giovanni; Vives, Xavier - 2017

We show that limited dealer participation in the market, coupled with an informational friction resulting from high frequency trading, can induce demand for liquidity to be upward sloping and strategic complementarities in traders' liquidity consumption decisions: traders demand more liquidity...

Persistent link: https://www.econbiz.de/10011637013

It's not time to make a change : sovereign fragility and the corporate credit risk

Fornari, Fabio; Zaghini, Andrea - 2022

Relying on a perspective borrowed from monetary policy announcements and introducing an econometric twist in the traditional event study analysis, we document the existence of an "event risk transfer", namely a significant credit risk transmission from the sovereign to the corporate sector after...

Persistent link: https://www.econbiz.de/10013391043

Central bank asset purchases and auction cycles revisited : new evidence from the euro area

Ferrara, Federico M. - 2024

This study provides new evidence on the relationship between unconventional monetary policy and auction cycles in the euro area. Using proprietary data on purchases of public sector securities implemented by the Eurosystem, the paper examines the flow effects of asset purchase programmes on...

Persistent link: https://www.econbiz.de/10014527031

Collateral booms and information depletion

Asriyan, Vladimir; Laeven, Luc; Martin, Alberto - 2019

We develop a new theory of information production during credit booms. In our model, entrepreneurs need credit to … themselves from such diversion in two ways: collateralization and costly screening, which generates durable information about … accumulates physical capital but depletes information about investment projects. As a result, collateral-driven booms end in deep …

Persistent link: https://www.econbiz.de/10011997468

Taking stock

Ehrmann, Michael; Fratzscher, Marcel - 2004

This paper analyses the effects of US monetary policy on stock markets. We find that, on average, a tightening of 50 basis points reduces returns by about 3%. Moreover, returns react more strongly when no change had been expected, when there is a directional change in the monetary policy stance...

Persistent link: https://www.econbiz.de/10009639408

The informational content of over-the-counter currency options

Christoffersen, Peter; Mazzotta, Stefano - 2004

Financial decision makers often consider the information in currency option valuations when making assessments about …

Persistent link: https://www.econbiz.de/10009639420

Liquidity, information, and the overnight rate

Ewerhart, Christian; Cassola, Nuno; Ejerskov, Steen; … - 2004

We model the interbank market for overnight credit with heterogeneous banks and asymmetric information. An … information about the liquidity situation in the market. It is shown that with positive probability, the liquidity effect … rate. The phenomenon does not disappear when the number of banks increases. We also show that private information mitigates …

Persistent link: https://www.econbiz.de/10009639432