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Liquidity and the cost of Funds and Integration of the Eurozone Treasury Bills Market

Biais, Bruno; Renucci, Antoine; Saint-Paul, Gilles - Université Paris-Dauphine (Paris IX) - 2007

order book enhances liquidity and thus reduce yields. Irregularly issuing securities raises the yields government must pay … to liquidity hypothesis, yields are lower when the amount issued is large in such periods. Finally, yields are found to …

Persistent link: https://www.econbiz.de/10010708481

Empirical Analysis of Monetary Transmission in Tunisia: What do SVAR Models Tell Us?

Hachicha, Ahmed; Bates, Samuel - Université Paris-Dauphine (Paris IX) - 2009

Monetary policy contributes to stabilize growth. Particularly in a reforming context for financial and economic activities, it is important to know how central bankers’ decisions through the short term interest rate of the money market are transmitted to the real variables: the GDP and the...

Persistent link: https://www.econbiz.de/10011166390

Euro money market interest rate dynamics and volatility: how they respond to recent changes in the operational framework

Jardet, Caroline; Le Fol, Gaëlle - Université Paris-Dauphine (Paris IX) - 2010

At the beginning of 2004, the Eurosystem implemented several modifications of its operational framework and liquidity … liquidity management are responsible for a significant decrease in the interest rate volatility. …

Persistent link: https://www.econbiz.de/10011074302

Interest Term Premiums and C-CAPM: A Test of a Parsimonious Model

de La Bruslerie, Hubert; Fouilloux, Jessica - Université Paris-Dauphine (Paris IX) - 2015

This paper proposes a consumption-based model that accounts for term premiums of the nominal term structure of interest rates. The model focuses on ex ante term premiums, which depend on the volatility processes of real consumption and inflation. The contribution of the paper is to derive and...

Persistent link: https://www.econbiz.de/10011246084

Nonlinearities in Sovereign Risk Pricing: The Role of CDS Index Contract

Portes, Richard; Fouquau, Julien; Delatte, Anne-Laure - Université Paris-Dauphine (Paris IX) - 2014

Is the pricing of sovereign risk linear during bearish episodes? Or can initial shocks on economic fundamentals be exacerbated by endogenous factors that create nonlinearities? We test for nonlinearities in the sovereign bond market of European peripheral countries during the debt crisis and...

Persistent link: https://www.econbiz.de/10010764083

Unbiased Disagreement and the Efficient Market Hypothesis

Jouini, Elyès; Napp, Clotilde - Université Paris-Dauphine (Paris IX) - 2009

Can investors with irrational beliefs be neglected as long as they are rational on average ? Does unbiased disagreement lead to trades that cancel out with no consequences on prices, as implicitly assumed by the traditional models ? We show in this paper that there is an important impact of...

Persistent link: https://www.econbiz.de/10010707972

Sunspots and predictable asset returns

Challe, Edouard - Université Paris-Dauphine (Paris IX) - 2004

This paper uses a stylised asset-pricing model to show that sunspots may cause asset returns to be predictable, a widely documented feature of many speculative markets. This result parallels and extends previous works showing that sunspots render asset prices excessively volatile.

Persistent link: https://www.econbiz.de/10010905155

Direct and Indirect Effects of Index ETFs on Spot-Futures Pricing and Liquidity : Evidence from the CAC 40 Index

Gresse, Carole; Deville, Laurent; De Séverac, Béatrice - Université Paris-Dauphine (Paris IX) - 2014

shares being used in arbitrage trades or by the indirect effect of ETF trading improving the liquidity of index stocks in the … way index traders distribute across index markets, with the ETF market absorbing the liquidity demand from some hedgers or …

Persistent link: https://www.econbiz.de/10010799319

Liquidity and Risk Sharing Benefits from Opening an ETF Market with Liquidity Providers: Evidence from the CAC 40 Index

De Winne, Rudy; Gresse, Carole; Platten, Isabelle - Université Paris-Dauphine (Paris IX) - 2014

This article examines how the introduction of an ETF replicating a stock index impacts on the liquidity of the … underlying stocks when the ETF market involves liquidity providers (LPs). We find that index stock spreads decline, relative to … those of non-index stocks, after the introduction of the ETF but this liquidity improvement is not driven by changes in …

Persistent link: https://www.econbiz.de/10010861453

Liquidity generated by heterogeneous beliefs and costly estimations

Shen, Min; Turinici, Gabriel - Université Paris-Dauphine (Paris IX) - 2012

We study in this work the liquidity, defined as the size of the trading volume, in a situation when an infinite number …

Persistent link: https://www.econbiz.de/10010707984

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