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Brumm, Johannes - 2014

In this paper we examine the quantitative effects of margin regulation on volatility in asset markets. We consider a … of collateral constraints leads to strong excess volatility. Thus, a regulation of margin requirements may have … stabilizing effects. However, in line with the empirical evidence on margin regulation in U.S. stock markets, we show that changes …

Persistent link: https://www.econbiz.de/10013051665

Market discipline, financial integration and fiscal rules: what drives spreads in the euro area government bond market?

Manganelli, Simone; Wolswijk, Guido - 2007

This paper studies the determinants of interest rate spreads of euro area 10 year government bonds against the benchmark, the German bund, after the introduction of the euro. In particular, it pays attention to the question whether market discipline is advanced or obstructed by financial...

Persistent link: https://www.econbiz.de/10011604791

The term structure of risk premia: new evidence from the financial crisis

Berg, Tobias - 2010

This study calibrates the term structure of risk premia before and during the 2007/2008 financial crisis using a new calibration approach based on credit default swaps. The risk premium term structure was flat before the crisis and downward sloping during the crisis. The instantaneous risk...

Persistent link: https://www.econbiz.de/10011605211

Learning From Experience in the Stock Market

Nakov, Anton - 2011

We study the dynamics of a Lucas-tree model with finitely lived agents who "learn from experience." Individuals update expectations by Bayesian learning based on observations from their own lifetimes. In this model, the stock price exhibits stochastic boom-and-bust fluctuations around the...

Persistent link: https://www.econbiz.de/10013119137

The Predictive Content of Sectoral Stock Prices : A US-Euro Area Comparison

Andersson, Magnus - 2011

This paper examines the out‐of‐sample forecast performance of sectoral stock market indicators for real GDP, private consumption and investment growth up to 4 quarters ahead in the US and the Euro Area. Our findings are that the predictive content of sectoral stock market indicators: i) is...

Persistent link: https://www.econbiz.de/10013125196

Liquidity and Credit Risk Premia in Government Bond Yields

Ejsing, Jacob - 2012

This paper quantifies liquidity and credit premia in German and French government bond yields. For this purpose, we estimate term structures of government-guaranteed agency bonds and exploit the fact that any difference in their yields vis-`a-vis government bonds can be attributed to differences...

Persistent link: https://www.econbiz.de/10013106056

Catching Falling Knives : Speculating on Market Overreaction

Colliard, Jean-Edouard - 2013

Market participants often invest in order to acquire information that pertains to the market itself (e.g. order flow) rather than to fundamentals. This enables them to infer more information from past trades. I show that agents trading on such information, typically high-frequency traders,...

Persistent link: https://www.econbiz.de/10013082533

High Frequency Trading and Price Discovery

Brogaard, Jonathan - 2013

the opposite direction of transitory pricing errors, both on average and on the highest volatility days. This is done …

Persistent link: https://www.econbiz.de/10013074385

An Empirical Study on the Decoupling Movements between Corporate Bond and CDS Spreads

Alexopoulou, Ioana - 2009

turmoil in the summer of 2007 induced a substantial increase in risk aversion and a shift in the pricing of credit risk, with …

Persistent link: https://www.econbiz.de/10013156973

The Reception of Public Signals in Financial Markets : What if Central Bank Communication Becomes Stale?

Ehrmann, Michael - 2009

How do financial markets price new information? This paper analyzes price setting at the intersection of private and public information, by testing whether and how the reaction of financial markets to public signals depends on the relative importance of private information in agents' information...

Persistent link: https://www.econbiz.de/10013157672