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What is Driving Oil Futures Prices? Fundamentals Versus Speculation

Vansteenkiste, Isabel - 2021

In this paper we analyse the relative importance of fundamental and speculative demand on oil futures price levels and volatility. In a first step, we present a theoretical heterogeneous agent model of the oil futures market based on noise trading. We use the model to study the interaction...

Persistent link: https://www.econbiz.de/10013315988

Forecasting the Brent Oil Price : Addressing Time-Variation in Forecast Performance

Manescu, Cristiana - 2015

This paper demonstrates how the real-time forecasting accuracy of different Brent oil price forecast models changes over time. We find considerable instability in the performance of all models evaluated and argue that relying on average forecasting statistics might hide important information on...

Persistent link: https://www.econbiz.de/10013032606

Bid-to-cover and yield changes around public debt auctions in the euro area

Beetsma, Roel; Giuliodori, Massimo; Hanson, Jesper; de … - 2017

Earlier research has shown that euro-area primary public debt markets affect secondary markets. We find that more successful auctions of euro area public debt, as captured by higher bid-to-cover ratios, lead to lower secondary-market yields following the auctions. This effect is stronger when...

Persistent link: https://www.econbiz.de/10011804371

Bid-to-Cover and Yield Changes Around Public Debt Auctions in the Euro Area

Beetsma, Roel - 2017

Persistent link: https://www.econbiz.de/10012956251

Evaluating Market Risk from Leveraged Derivative Exposures

Jukonis, Audrius - 2022

Market participants use leveraged derivatives to gain access to equity market exposure through broker banks. Leverage and interconnectedness via overlapping portfolios of dealer banks can amplify adverse market movements, potentially causing sizeable losses. I propose a model, based on granular...

Persistent link: https://www.econbiz.de/10013491644

Credit Risk Transfers and the Macroeconomy

Faia, Ester - 2010

The recent financial crisis has highlighted the limits of the "originate to distribute" model of banking, but its nexus with the macroeconomy and monetary policy remains unexplored. I build a DSGE model with banks (along the lines of Holmström and Tirole [28] and Parlour and Plantin [39]) and...

Persistent link: https://www.econbiz.de/10013137588

Derivative Margin Calls : A New Driver of MMF Flows

Ghio, Maddalena; Rousová, Linda; Salakhova, Dilyara; … - 2023

’ liquidity needs re-lated to derivative margin payments. We combine three highly granular unique data sources (EMIR data for …

Persistent link: https://www.econbiz.de/10014355985

The Impact of Derivatives Collateralisation on Liquidity Risk : Evidence from the Investment Fund Sector

Jukonis, Audrius; Letizia, Elisa; Rousová, Linda - 2022

Stricter derivative margin requirements have increased the demand for liquid collateral but euro area investment funds …

Persistent link: https://www.econbiz.de/10014237692

Uncovering the Network Structure of Non-Centrally Cleared Derivative Markets : Evidences from Regulatory Data

Zema, Sebastiano Michele - 2022

The network structure of non-centrally cleared derivative markets, uncovered via the European Market Infrastructure … derivative network is found to be ultrasmall and a filtering tool is proposed to identify channels in the network characterized … no break of confidentiality, making possible to simulate in a realistic way the liquidity dynamic in global derivative …

Persistent link: https://www.econbiz.de/10014239727

Risk-Sharing or Risk-Taking? Counterparty Risk, Incentives and Margins

Biais, Bruno - 2012

We analyze optimal hedging contracts and show that although hedging aims at sharing risk, it can lead to more risk-taking. News implying that a hedge is likely to be loss-making undermines the risk-prevention incentives of the protection seller. This incentive problem limits the capacity to...

Persistent link: https://www.econbiz.de/10013113017