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An empirical study on the decoupling movements between corporate bond and CDS spreads

Alexopoulou, Ioana; Andersson, Magnus; Georgescu, Oana Maria - 2009

factors and liquidity. Our analysis confirms the existence of a long-run relationship between the two markets, and the … CDS markets becoming more sensitive to systematic risk while cash bond markets priced in more information about liquidity …

Persistent link: https://www.econbiz.de/10011605131

Competition among high-frequency traders, and market quality

Breckenfelder, Johannes - 2019

speculative trading increases. As a result, market liquidity deteriorates and short-term volatility rises. Our findings hold for a …

Persistent link: https://www.econbiz.de/10012142134

Competition Among High-Frequency Traders, and Market Quality

Breckenfelder, Johannes - 2019

speculative trading increases. As a result, market liquidity deteriorates and short-term volatility rises. Our findings hold for a …

Persistent link: https://www.econbiz.de/10012868588

Do Stress Tests Matter? Evidence from the 2014 and 2016 Stress Tests

Georgescu, Oana Maria - 2017

not only increasing its resilience via mandatory capital increases but also by enhancing transparency to allow investors …

Persistent link: https://www.econbiz.de/10012956258

Explaining exchange rate dynamics: the uncovered equity return parity condition

Cappiello, Lorenzo; De Santis, Roberto A. - 2005

By employing Lucas’ (1982) model, this study proposes an arbitrage relationship – the Uncovered Equity Return Parity (URP) condition – to explain the dynamics of exchange rates. When expected equity returns in a country/region are lower than expected equity returns in another...

Persistent link: https://www.econbiz.de/10011604575

Towards European monetary integration: the evolution of currency risk premium as a measure for monetary convergence prior to the implementation of currency unions

González, Fernando; Launonen, Simo - 2005

We assess monetary convergence preceding the implementation of the European Monetary Union (EMU) through Kalman filtering estimates of the risk premium of eleven forward exchange rates of European and non-European currencies. Since all participating currencies are in effect identical from...

Persistent link: https://www.econbiz.de/10011604615

Price Drift Before U.S. Macroeconomic News : Private Information About Public Announcements?

Kurov, Alexander - 2016

We examine stock index and Treasury futures markets around releases of U.S. macroeconomic announcements. Seven out of 21 market-moving announcements show evidence of substantial informed trading before the official release time. Prices begin to move in the "correct" direction about 30 minutes...

Persistent link: https://www.econbiz.de/10012992424

An Empirical Study on the Decoupling Movements between Corporate Bond and CDS Spreads

Alexopoulou, Ioana - 2009

Persistent link: https://www.econbiz.de/10013156973

Monetary policy and capital regulation in the US and Europe

Cohen-Cole, Ethan; Morse, Jonathan - 2010

From the onset of the 2007-2009 crisis, the Federal Reserve and the European Central Bank have aggressively lowered interest rates. Both sets of changes are at odds with an anti-inflationary stance of monetary policy; indeed, as the crisis began in August 2007 inflation expectations were high...

Persistent link: https://www.econbiz.de/10011605268

The reserve fulfilment path of euro area commercial banks: empirical testing using panel data

Cassola, Nuno - 2008

The theory of liquidity management under uncertainty predicts that, under certain conditions, commercial banks will … banks which build-up excess reserves. The empirical analysis suggest that idiosyncratic liquidity uncertainty is much higher … than aggregate liquidity uncertainty. Nevertheless, on the penultimate day in the reserve maintenance period, the inverse …

Persistent link: https://www.econbiz.de/10011604915

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