Narrow search
Showing 1 - 10 of 377
Cover Image
Loss sharing in central clearinghouses: Winners and losers
Kubitza, Christian; Pelizzon, Loriana; Getmansky, Mila - 2023
derivatives markets. In a parsimonious model, we show that clearing benefits are distributed unevenly across market participants …
Persistent link: https://www.econbiz.de/10014543682
Cover Image
Global value chains during the great trade collapse: a bullwhip effect?
Altomonte, Carlo; di Mauro, Filippo; Ottaviano, Gianmarco; … - 2012
This paper analyzes the performance of global value chains during the trade collapse. To do so, it exploits a unique transaction-level dataset on French firms containing information on cross-border monthly transactions matched with data on worldwide intrafirm linkages as defined by property...
Persistent link: https://www.econbiz.de/10011605457
Cover Image
Financial integration of new EU Member States
Cappiello, Lorenzo; Gérard, Bruno; Kadareja, Arjan; … - 2006
This study assesses the degree of financial integration for a selected number of new EU member states between … themselves and with the euro zone. Within the framework of a factor model for market returns, we measure integration as the … amount of variance explained by the common factor relative to the local components. We show that this measure of integration …
Persistent link: https://www.econbiz.de/10011604729
Cover Image
Financial Integration of New EU Member States
Cappiello, Lorenzo; Kadareja, Arjan; Gerard, Bruno; … - 2021
This study assesses the degree of financial integration for a selected number of new EU member states between … themselves and with the euro zone. Within the framework of a factor model for market returns, we measure integration as the … amount of variance explained by the common factor relative to the local components. We show that this measure of integration …
Persistent link: https://www.econbiz.de/10013317420
Cover Image
Physical and transition risk premiums in euro area corporate bond markets
Bats, Joost Victor; Bua, Giovanna; Kapp, Daniel - 2024
The European Union plays a prominent role in climate regulations initiatives, this commitment likely implies that climate risk premiums look different in Europe compared to the rest of the world. This paper examines the pricing implications of climate risks in euro area corporate bond markets,...
Persistent link: https://www.econbiz.de/10014543646
Cover Image
Transition versus physical climate risk pricing in European financial markets: A text-based approach
Bua, Giovanna; Kapp, Daniel; Ramella, Federico; … - 2022
We examine the existence of physical and transition climate risk premia in euro area equity markets. To do so, we develop two novel physical and transition risk indicators, based on text analysis, which are then used to gauge the presence of climate risk premia. Results suggest that climate risk...
Persistent link: https://www.econbiz.de/10013368007
Cover Image
Transition Versus Physical Climate Risk Pricing in European Financial Markets : A Text-Based Approach
Bua, Giovanna; Kapp, Daniel; Ramella, Federico; … - 2022
We examine the existence of physical and transition climate risk premia in euro areaequity markets. To do so, we develop two novel physical and transition risk indicators, basedon text analysis, which are then used to gauge the presence of climate risk premia. Resultssuggest that climate risk...
Persistent link: https://www.econbiz.de/10013404918
Cover Image
Risk-sharing or risk-taking? Counterparty risk, incentives and margins
Biais, Bruno; Heider, Florian; Hoerova, Marie - 2012
We analyze optimal hedging contracts and show that although hedging aims at sharing risk, it can lead to more risk-taking. News implying that a hedge is likely to be loss-making undermines the risk-prevention incentives of the protection seller. This incentive problem limits the capacity to...
Persistent link: https://www.econbiz.de/10011605458
Cover Image
Developing statistical indicators of the integration of the euro area banking system
Manna, Michele - 2004
This paper discusses a wide range of indicators of the degree of integration of the euro area banking system. It is …
Persistent link: https://www.econbiz.de/10011604346
Cover Image
Stocks, bonds, money markets and exchange rates: measuring international financial transmission
Ehrmann, Michael; Fratzscher, Marcel; Rigobon, Roberto - 2005
The paper presents a framework for analyzing the degree of financial transmission between money, bond and equity markets and exchange rates within and between the United States and the euro area. We find that asset prices react strongest to other domestic asset price shocks, and that there are...
Persistent link: https://www.econbiz.de/10011604498