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Capital Constraints, Counterparty Risk, and Deviations from Covered Interest Rate Parity
Coffey, Niall - 2010
We provide robust evidence of deviations from the Covered Interest Parity (CIP) relation since the onset of the crisis in August 2007. The CIP deviations exist with respect to different dollar interest rates and exchange rate pairs of the dollar vis-à-vis other currencies. The results show that...
Persistent link: https://www.econbiz.de/10013150937
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Are Market Makers Uninformed and Passive? Signing Trades in the Absence of Quotes
van der Wel, Michel - 2009
We develop a new likelihood-based approach to sign trades in the absence of quotes. It is equally efficient as existing MCMC methods, but more than 10 times faster. It can deal with the occurrence of multiple trades at the same time, and noisily observed trade times. We apply this method to a...
Persistent link: https://www.econbiz.de/10013159473
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Two-Sided Markets and Intertemporal Trade Clustering : Insights into Trading Motives
Schwartz, Robert A. - 2006
We show that equity markets are typically two-sided and that trades cluster in certain trading intervals for both NYSE … other microstructure effects, we find that two-sided clustering is associated with higher volatility but lower trading costs …. Our analysis has implications for trading motives, market structure, and the process by which new information is …
Persistent link: https://www.econbiz.de/10012733640
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Inference, Arbitrage, and Asset Price Volatility
Adrian, Tobias - 2010
Does the presence of arbitrageurs decrease equilibrium asset price volatility? I study an economy with arbitrageurs, informed investors, and noise traders. Arbitrageurs face a trade-off between arbitrage and inference: they would like to buy assets in response to temporary price declines (the...
Persistent link: https://www.econbiz.de/10012717809
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Market Sidedness : Insights into Motives for Trade Initiation
Schwartz, Robert A. - 2007
We infer motives for trade initiation from market sidedness. We define trading as more two-sided (one-sided) if the … (relative to a control sample) around events that identify trade initiators. Consistent with asymmetric information, trading is … more one-sided prior to merger news. Consistent with belief heterogeneity, trading is more two-sided before earnings and …
Persistent link: https://www.econbiz.de/10012730427
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Liquidity Dynamics and Cross-Autocorrelations
Chordia, Tarun - 2011
-autocorrelations in stock returns. We present a simple model where trading on private information occurs first in the large stocks and is … transmitted to small stocks with a lag. Such trading impacts large stock liquidity, so that, in equilibrium, large stock … information-based trading is more likely) …
Persistent link: https://www.econbiz.de/10012714364
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Liquidity and Leverage
Adrian, Tobias; Shin, Hyun Song - 2010
In a financial system in which balance sheets are continuously marked to market, asset price changes appear immediately as changes in net worth, eliciting responses from financial intermediaries who adjust the size of their balance sheets. We document evidence that marked-to-market leverage is...
Persistent link: https://www.econbiz.de/10014217747
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Another View on U.S. Treasury Term Premiums
Durham, J. Benson - 2019
The consensus suggests that subdued nominal U.S. Treasury yields on balance since the onset of the global financial crisis primarily reflect exceptionally low, if not occasionally negative, term premiums as opposed to low anticipated short rates. Depressed term premiums plausibly owe to...
Persistent link: https://www.econbiz.de/10012905065
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Fire-sale Spillovers and Systemic Risk
Duarte, Fernando - 2019
We identify and track over time the factors that make the financial system vulnerable to fire sales by constructing an index of aggregate vulnerability. The index starts increasing quickly in 2004, before most other major systemic risk measures, and triples by 2008. The fire-sale-specific...
Persistent link: https://www.econbiz.de/10012905172
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Deconstructing the Yield Curve
Crump, Richard K. - 2019
We investigate the factor structure of the term structure of interest rates and argue that characterizing the minimal dimension of the data generating process is more challenging than currently appreciated. As a result, inference procedures for yield curve models that commit to a parsimoniously...
Persistent link: https://www.econbiz.de/10012889010