Similar Search Results

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

The impact of the euro on financial markets

Cappiello, Lorenzo; Hördahl, Peter; Kadareja, Arjan; … - 2006

, we focus on the asset pricing implications of the euro. Specifically, we use a dynamic no arbitrage term structure model …

Persistent link: https://www.econbiz.de/10011604644

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

A Quantitative Mirror on the Euribor Market Using Implied Probability Density Functions

de Vincent-Humphreys, Rupert - 2011

This paper presents a set of probability density functions for Euribor outturns in three months' time, estimated from the prices of options on Euribor futures. It is the first official and freely available dataset to span the complete history of Euribor futures options, thus comprising over ten...

Persistent link: https://www.econbiz.de/10013132237

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

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

Risk Characteristics of Covered Bonds : Monitoring Beyond Ratings

Grothe, Magdalena - 2020

This paper proposes a set of indicators relevant for the risk characteristics of covered bonds, as based on granular publicly available transparency data. The indicators capture various aspects of cash flow risks related to the issuer, the cover pool and the payment structure. They offer unified...

Persistent link: https://www.econbiz.de/10012836662

Bid-to-Cover and Yield Changes Around Public Debt Auctions in the Euro Area

Beetsma, Roel M. W. J. - 2017

Earlier research has shown that euro-area primary public debt markets affect secondary markets. We find that more successful auctions of euro area public debt, as captured by higher bid-to-cover ratios, lead to lower secondary-market yields following the auctions. This effect is stronger when...

Persistent link: https://www.econbiz.de/10012956251

Re-use of Collateral : Leverage, Volatility, and Welfare

Brumm, Johannes - 2018

-horizon asset-pricing model with heterogeneous agents. In our model, the ability of agents to reuse frees up collateral that can be …

Persistent link: https://www.econbiz.de/10012906352