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Financial Transaction Taxes, Market Composition, and Liquidity
Colliard, Jean-Edouard - 2017
. Instead, our results are in line with the hypothesis that a lower trading volume reduces liquidity, and thereby market quality …
Persistent link: https://www.econbiz.de/10012961532
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Bank funding costs and solvency
Arnould, Guillaume; Pancaro, Cosimo; Żochowski, Dawid - 2020
other. The analysis finds a significant negative relationship between bank solvency and the different types of funding costs …This paper investigates the relationship between bank funding costs and solvency for a large sample of euro area banks … relationship between bank solvency, on the one hand, and senior bond yields, term deposit rates and overnight deposit rates, on the …
Persistent link: https://www.econbiz.de/10012389559
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Sovereign Credit Ratings and Financial Markets Linkages : Application to European Data
Afonso, António - 2011
We use EU sovereign bond yield and CDS spreads daily data to carry out an event study analysis on the reaction of …
Persistent link: https://www.econbiz.de/10013124928
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Bank Ratings : What Determines Their Quality?
Hau, Harald - 2012
This paper examines the quality of credit ratings assigned to banks in Europe and the United States by the three largest rating agencies over the past two decades. We interpret credit ratings as relative assessments of creditworthiness, and define a new ordinal metric of rating error based on...
Persistent link: https://www.econbiz.de/10013099611
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Conditional and Joint Credit Risk
Lucas, Andre - 2013
We propose an empirical framework to assess joint and conditional probabilities of credit events from CDS prices observed in the market. Our model is based on a dynamic skewed-t distribution that captures many salient features of CDS data, including skewed and heavy-tailed changes in the price...
Persistent link: https://www.econbiz.de/10013072036
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Credit Rating Dynamics : Evidence from a Natural Experiment
Abidi, Nordine - 2019
This paper investigates the behaviour of credit rating agencies (CRAs) using a natural experiment in monetary policy. Specifically, we exploit the corporate QE of the Eurosystem and its rating-based specific design which generates exogenous variation in the probability for a bond of becoming...
Persistent link: https://www.econbiz.de/10012871486
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Alternatives for Issuer-Paid Credit Rating Agencies
Bongaerts, Dion - 2014
This paper investigates the economic viability and welfare contribution of alternatives to issuer-paid credit rating agencies (CRAs). To this end, it introduces a heterogeneous competition model for credit and ratings markets. Frictions among issuers or investors induce rating inflation from...
Persistent link: https://www.econbiz.de/10013051165
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Sovereign Credit Ratings, Market Volatility, and Financial Gains
Afonso, António - 2014
The reaction of EU bond and equity market volatilities to sovereign rating announcements (Standard & Poor's, Moody's, and Fitch) is investigated using a panel of daily stock market and sovereign bond returns. The parametric volatilities are filtered using EGARCH specifications. The estimation...
Persistent link: https://www.econbiz.de/10013057674
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Gender Bias and Credit Access
Ongena, Steven - 2015
This paper studies the causal effect of gender bias on access to bank credit. We extract an exogenous measure of gender bias from survey responses by descendants of US immigrants on questions about the role of women in society. We then use data on 6,000 small business firms from 17 countries and...
Persistent link: https://www.econbiz.de/10013019627
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Do Bank Loans and Credit Standards Have an Effect on Output? A Panel Approach for the Euro Area
Cappiello, Lorenzo - 2010
behind giving monetary and credit analysis a prominent role in the monetary policy strategy of the ECB. It also points to the …
Persistent link: https://www.econbiz.de/10013149067