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The Pricing of Subprime Mortgage Risk in Good Times and Bad : Evidence from the ABX.HE Indices
Fender, Ingo - 2013
, liquidity and risk appetite. The results imply that declining risk appetite and heightened concerns about market illiquidity … liquidity risk, particularly in periods of heightened market pressure. In addition, as related risk premia can be captured by …
Persistent link: https://www.econbiz.de/10013095930
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Bidding and performance in repo auctions: evidence from ECB open market operations
Nyborg, Kjell G.; Strebulaev, Ilya A.; Bindseil, Ulrich - 2002
We study bidder bahavior and performance in 53 main refinancing operations (repo auctions) of the European Central Bank (ECB). The data set starts with the first auctions after the ECB changed from fixed rate tenders to variable rate tenders. We find that private information and the winnner's...
Persistent link: https://www.econbiz.de/10011604203
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Liquidity premia in German government bonds
Ejsing, Jacob; Sihvonen, Jukka - 2009
find that on-the-run status has only a negligible effect on the liquidity and pricing once other factors have been … market, leads to significant liquidity spillovers. Specifically, we find that bonds which are deliverable into futures …
Persistent link: https://www.econbiz.de/10011605127
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The price of liquidity: the effects of market conditions and bank characteristics
Fecht, Falko; Nyborg, Kjell G.; Rocholl, Jörg - 2011
We study the prices that individual banks pay for liquidity (captured by borrowing rates in repos with the central bank … depend in particular on the distribution of liquidity across banks, which is calculated over time using individual banklevel … data on reserve requirements and actual holdings. Banks pay more for liquidity when positions are more imbalanced across …
Persistent link: https://www.econbiz.de/10011605422
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Liquidity Premia in German Government Bonds
Ejsing, Jacob - 2009
find that on-the-run status has only a negligible effect on the liquidity and pricing once other factors have been … market, leads to significant liquidity spillovers. Specifically, we find that bonds which are deliverable into futures …
Persistent link: https://www.econbiz.de/10013156974
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Unconventional Monetary Policy and Funding Liquidity Risk
d'Avernas, Adrien - 2020
This paper investigates the efficiency of various monetary policy instruments to stabilize asset prices in a liquidity … dynamics. Increasing the supply of reserves reduces liquidity risk in the traditional banking sector, but fails to reach the …
Persistent link: https://www.econbiz.de/10012844931
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Liquidation Value and Loan Pricing
Barbiero, Francesca; Schepens, Glenn; Sigaux, Jean-David - 2022
We show that the liquidation value of collateral depends on who is pledging it. We employ transaction-level data on overnight repurchase agreements (repo) and loan-level credit registry data on corporate loans. We find that borrowers on the repo market pay a 2.6 basis points rate premium when...
Persistent link: https://www.econbiz.de/10013300220
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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 …-`a-vis government bonds can be attributed to differences in liquidity premia. Adding the information on risk-free rates, we obtain model …
Persistent link: https://www.econbiz.de/10013106056
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Estimating the implied distribution of the future short term interest rate using the Longstaff-Schwartz model
Hördahl, Peter - 2000
This paper proposes the use of the two-factor term-structure model of Longstaff and Schwartz (1992a, LS) to estimate the risk-neutral density (RND) of the future short-term interest rate. The resulting RND can be interpreted as the market's estimate of the density of the future short-term...
Persistent link: https://www.econbiz.de/10011604062
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A two-factor model of the German term structure of interest rates
Barros Luís, Jorge; Cassola, Nuno - 2001
In this paper we show that a two-factor constant volatility model provides an adequate description of the dynamics and shape of the German term structure of interest rates from 1972 up to 1998. The model also provides reasonable estimates of the volatility and term premium curves. Following the...
Persistent link: https://www.econbiz.de/10011604092