Narrow search
Showing 1 - 10 of 568
Cover Image
The microstructure of the euro money market
Hartmann, Philipp; Manna, Michele; Manzanares, Andrés - 2001
and their implementation, payment systems and private market structures) and its implications for intraday volatility …, quoting activity, trading volume and bid-ask spreads in the overnight deposit segment. Volatility and spreads increase right … sample period. Main refinancing operations with the open market are associated with active liquidity re-allocation, little …
Persistent link: https://www.econbiz.de/10011604126
Cover Image
Balance Sheet Interlinkages and Macro-Financial Risk Analysis in the Euro Area
Kavonius, Ilja Kristian; Castrén, Olli - 2009
leverage and asset volatility. We conclude that the bilateral cross-sector exposures in the euro area financial system … financial intermediaries playing a key role in the processes. High financial leverage and high asset volatility are found to …
Persistent link: https://www.econbiz.de/10011605170
Cover Image
Market pricing of credit rating signals
Grothe, Magdalena - 2013
This paper contributes new evidence on market pricing of rating changes. We examine the relation between spreads and ratings for a very large and comprehensive sample of corporate bonds, which allows us to test for country- and industry-specific effects, as well as to explore the differences...
Persistent link: https://www.econbiz.de/10011605668
Cover Image
Do banks' overnight borrowing rates lead their CDS Price? evidence from the Eurosystem
Jokivuolle, Esa; Tölö, Eero; Virén, Matti - 2015
We construct a measure of a bank’s relative creditworthiness from Eurosystem’s proprietary overnight loan data: the bank’s “average overnight borrowing rate spread, relative to overnight rate index” (AOR). We investigate the dynamic relationship between the AOR and the credit default...
Persistent link: https://www.econbiz.de/10011605854
Cover Image
Market-stabilization QE
Motto, Roberto; Özen, Kadir - 2022
We identify a novel dimension of monetary policy from high-frequency changes in asset prices around ECB policy events, orthogonal to surprises extracted from risk-free interest rates. We find that it is present in policy events that were interpreted by real-time market commentaries as containing...
Persistent link: https://www.econbiz.de/10013272131
Cover Image
Balance Sheet Interlinkages and Macro-Financial Risk Analysis in the Euro Area
Castren, Olli - 2009
leverage and asset volatility. We conclude that the bilateral cross-sector exposures in the euro area financial system … financial intermediaries playing a key role in the processes. High financial leverage and high asset volatility are found to …
Persistent link: https://www.econbiz.de/10013153431
Cover Image
Do Banks' Overnight Borrowing Rates Lead Their CDS Price? Evidence from the Eurosystem
Tölö, Eero - 2015
We construct a measure of a bank's relative creditworthiness from Eurosystem's proprietary overnight loan data: the bank's “average overnight borrowing rate spread, relative to overnight rate index” (AOR). We investigate the dynamic relationship between the AOR and the credit default swap...
Persistent link: https://www.econbiz.de/10013020641
Cover Image
Market Pricing of Credit Rating Signals
Grothe, Magdalena - 2014
This paper contributes new evidence on market pricing of rating changes. We examine the relation between spreads and ratings for a very large and comprehensive sample of corporate bonds, which allows us to test for country- and industry-specific effects, as well as to explore the differences...
Persistent link: https://www.econbiz.de/10013061797
Cover Image
Market-Stabilization QE
Motto, Roberto; Özen, Kadir - 2022
We identify a novel dimension of monetary policy from high-frequency changes in asset prices around ECB policy events, orthogonal to surprises extracted from risk-free interest rates. We find that it is present in policy events that were interpreted by real-time market commentaries as containing...
Persistent link: https://www.econbiz.de/10013305640
Cover Image
Interbank lending, credit risk premia and collateral
Heider, Florian; Hoerova, Marie - 2009
may amplify the volatility of interest rates in secured markets. We use the model to discuss various policy responses to …
Persistent link: https://www.econbiz.de/10011605153