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The Shifting Drivers of Global Liquidity

Avdjiev, Stefan - 2017

The post-crisis period has seen a considerable shift in the composition and drivers of international bank lending and international bond issuance, the two main components of global liquidity. The sensitivity of both types of flows to U.S. monetary policy rose substantially in the immediate...

Persistent link: https://www.econbiz.de/10012953062

Global Variance Term Premia and Intermediary Risk Appetite

Van Tassel, Peter - 2017

Sellers of variance swaps earn time-varying risk premia for their exposure to realized variance, the level of variance swap rates, and the slope of the variance swap curve. To measure risk premia, we estimate a dynamic term structure model that decomposes variance swap rates into expected...

Persistent link: https://www.econbiz.de/10012968484

Global Price of Risk and Stabilization Policies

Adrian, Tobias - 2017

We estimate a highly significant price of risk that forecasts global stock and bond returns as a nonlinear function of the CBOE Volatility Index (VIX). We show that countries' exposure to the global price of risk is related to macroeconomic risks as measured by output, credit, and inflation...

Persistent link: https://www.econbiz.de/10012968499

Newer Need Not Be Better : Evaluating the Penn World Tables and the World Development Indicators Using Nighttime Lights

Pinkovskiy, Maxim - 2017

Penn World Tables (PWT) and of the World Development Indicators (WDI) better estimate true income per capita. We find that … constant-price series in both PWT 8.0 and PWT 8.1, the two most recent vintages of the PWT. We additionally find that the World … Development Indicators are as good, and often better, measures of unobserved true income as any recent vintages of the Penn World …

Persistent link: https://www.econbiz.de/10012969092

Cross-Border Prudential Policy Spillovers : How Much? How Important? Evidence from the International Banking Research Network

Buch, Claudia M. - 2017

The development of macroprudential policy tools has been one of the most significant changes in banking regulation in recent years. In this multi-study initiative of the International Banking Research Network, researchers from fifteen central banks and two international organizations use...

Persistent link: https://www.econbiz.de/10012967209

Credit Spreads, Financial Crises, and Macroprudential Policy

Akinci, Ozge - 2017

Credit spreads display occasional spikes and are more strongly countercyclical in times of financial stress. Financial crises are extreme cases of this nonlinear behavior, featuring skyrocketing credit spreads, sharp losses in bank equity, and deep recessions. We develop a macroeconomic model...

Persistent link: https://www.econbiz.de/10012967210

Market Liquidity after the Financial Crisis

Adrian, Tobias - 2017

This paper examines market liquidity in the post-crisis era in light of concerns that regulatory changes might have reduced dealers' ability and willingness to make markets. We begin with a discussion of the broader trading environment, including an overview of regulations and their potential...

Persistent link: https://www.econbiz.de/10012967739