Showing 1 - 10 of 91
. 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
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
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
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
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
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
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
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
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
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