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Central Clearing and Collateral Demand
Duffie, Darrell - 2014
We use an extensive data set of bilateral exposures on credit default swap (CDS) to estimate the impact on collateral … impact on collateral demand of more widespread initial margin requirements, increased novation of CDS to central clearing … the application of initial margin requirements for dealers, whether or not the CDS are cleared. Given these dealer …
Persistent link: https://www.econbiz.de/10013059582
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The Dynamics of Spillover Effects during the European Sovereign Debt Crisis
Alter, Adrian - 2013
. Spillovers are estimated recursively from a vector autoregressive model of daily CDS spread changes, with exogenous common … factors. We account for interdependencies between sovereign and bank CDS spreads and we derive generalised impulse response …
Persistent link: https://www.econbiz.de/10013081460
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Disentangling the Bond-CDS Nexus : A Stress Test Model of the CDS Market
Vuillemey, Guillaume - 2013
This paper presents a stress test model for the CDS market, with a focus on the interplay between banks' bond and CDS … bond and CDS data for 65 major European banks. The model simulation shows that, in case of a sovereign credit event, banks …' losses due to direct and correlated bond exposures are significantly higher than losses due to CDS exposures. The main risk …
Persistent link: https://www.econbiz.de/10013074485
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Hysteresis in Unemployment : Evidence from OECD Estimates of the Natural Rate
Ball, Laurence M.; Onken, Joern - 2021
This paper studies the dynamics of unemployment (u) and its natural rate (u*), with u* measured by real-time estimates for 29 countries from the OECD. We find strong evidence of hysteresis: an innovation in u causes u* to change in the same direction, and therefore has permanent effects. For our...
Persistent link: https://www.econbiz.de/10013312060
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Downward Nominal Wage Rigidity in the OECD
Holden, Steinar; Wulfsberg, Fredrik - 2021
Recent micro studies have documented extensive downward nominal wage rigidity (DNWR) for job stayers in many OECD countries, but the effect on aggregate variables remains disputed. Using data for hourly nominal wages, we explore the existence of DNWR on wages at the industry level in 19 OECD...
Persistent link: https://www.econbiz.de/10013316955
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Determinants of Credit to Households in a Life-Cycle Model
Rubaszek, Michał - 2012
This paper applies a life-cycle model with individual income uncertainty to investigate the determinants of credit to households. We show that the value of household credit to GDP ratio depends on the lending-deposit interest rate spread, individual income uncertainty, individual productivity...
Persistent link: https://www.econbiz.de/10013111589
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Competition Among High-Frequency Traders, and Market Quality
Breckenfelder, Johannes - 2019
We study empirically how competition among high-frequency traders (HFTs) affects their trading behavior and market quality. Our analysis exploits a unique dataset, which allows us to compare environments with and without high-frequency competition, and contains an exogenous event - a tick size...
Persistent link: https://www.econbiz.de/10012868588
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An analysis of euro area sovereign CDS and their relation with government bonds
Fontana, Alessandro; Scheicher, Martin - 2010
This paper studies the relative pricing of euro area sovereign CDS and the underlying government bonds. Our sample … comprises weekly CDS and bond spreads of ten euro area countries for the period from January 2006 to June 2010. We first compare … the determinants of CDS spreads and bond spreads and test how the crisis has affected market pricing. Then we analyse the …
Persistent link: https://www.econbiz.de/10011605317
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Do Banks' Overnight Borrowing Rates Lead Their CDS Price? Evidence from the Eurosystem
Tölö, Eero - 2015
relationship between the AOR and the credit default swap spread (CDS) of 60 banks in years 2008-2013. We find that in daily … differences the AOR leads the CDS at least by one day. The lead is concentrated on days of market stress for banks which mainly … crisis countries. In longer differences, up to several weeks, both the AOR and the CDS have some predictive power over one …
Persistent link: https://www.econbiz.de/10013020641
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Pricing Sovereign Credit Risk of an Emerging Market
Camba-Mendez, Gonzalo - 2016
credit default swap (CDS) spreads thus enabling us to derive values for the probability of default (PD) and loss given … default (LGD) from the quotes of sovereign CDS contracts. We compare different specifications of the models allowing for both … PD values and the CDS spreads heavily depend on the maturity of the sovereign CDS …
Persistent link: https://www.econbiz.de/10012987488