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Trader positions and marketwide liquidity demand

Onur, Esen; Roberts, John S.; Tuzun, Tugkan - 2017

changes carries important information about liquidity demand in the market. From this distribution of trader position …-changes, we construct a marketwide measure for intraday liquidity demand that does not necessarily depend on aggressive trading …. Using a rich regulatory dataset on S&P 500 E-mini futures and 10-year Treasury futures markets, we show that this liquidity …

Persistent link: https://www.econbiz.de/10011803199

Counterparty risk and counterparty choice in the credit default swap market

Du, Wenxin; Gadgil, Salil; Gordy, Michael B.; Vega, Clara - 2016

We investigate how market participants price and manage counterparty risk in the post-crisis period using confidential trade repository data on single-name credit default swap (CDS) transactions. We find that counterparty risk has a modest impact on the pricing of CDS contracts, but a large...

Persistent link: https://www.econbiz.de/10011578787

Variance disparity and market frictions

Park, Yang-Ho - 2019

, especially during the 2008 financial crisis. I find that the segmentation is associated with frictions such as funding …

Persistent link: https://www.econbiz.de/10012182042

Tractable rare disaster probability and options-pricing

Barro, Robert J.; Liao, Gordon Y. - 2019

We derive an option-pricing formula from recursive preference and estimate rare disaster probability. The new options-pricing formula applies to far-out-of-the money put options on the stock market when disaster risk dominates, the size distribution of disasters follows a power law, and the...

Persistent link: https://www.econbiz.de/10012182396

Macro risks and the term structure of interest rates

Bekaert, Geert; Engstrom, Eric; Ermolov, Andrey - 2017

We use non-Gaussian features in U.S. macroeconomic data to identify aggregate supply and demand shocks while imposing minimal economic assumptions. Recessions in the 1970s and 1980s were driven primarily by supply shocks, later recessions were driven primarily by demand shocks, and the Great...

Persistent link: https://www.econbiz.de/10011709342

Identifying contagion in a banking network

Morrison, Alan; Vasios, Michalis; Wilson, Mungo; Zikes, … - 2017

We present the first micro-level evidence of the transmission of shocks through financial networks. Using the network of credit default swap (CDS) transactions between banks, we identify bank CDS returns attributable to counterparty losses. A bank's own CDS spread increases whenever...

Persistent link: https://www.econbiz.de/10011710164