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A sensitivities based CoVaR approach to asset commonality and its application to SSM banks
Del Vecchio, Leonardo; Giglio, Carla; Shaw, Frances; … - 2022
asset commonality in the spirit of CoVaR as defined by Adrian and Brunnermeier (2016). Based on granular information, we …
Persistent link: https://www.econbiz.de/10013373564
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Balance Sheet Interlinkages and Macro-Financial Risk Analysis in the Euro Area
Kavonius, Ilja Kristian; Castrén, Olli - 2009
The financial crisis has highlighted the need for models that can identify counterparty risk exposures and shock transmission processes at the systemic level. We use the euro area financial accounts (flow of funds) data to construct a sector-level network of bilateral balance sheet exposures and...
Persistent link: https://www.econbiz.de/10009640455
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Hedge fund stock trading in the financial crisis of 2007 - 2009
Ben-David, Itzhak; Franzoni, Francesco; Moussawi, Rabih - 2011 - Rev. version May 2011
Hedge funds significantly reduced their equity holdings during the recent financial crisis. In 2008Q3-Q4, hedge funds sold about 29% of their aggregate portfolio. Redemptions and margin calls were the primary drivers of selloffs. Consistent with forced deleveraging, the selloffs took place in...
Persistent link: https://www.econbiz.de/10009009543
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Exchange traded funds (ETFs)
Ben-David, Itzhak; Franzoni, Francesco; Moussawi, Rabih - 2017
Over two decades, ETFs have become one of the most popular investment vehicle among retail and professional investors due to their low transaction costs and high liquidity, taking market share from traditional investment vehicles such as mutual funds and index futures. Research has shown that in...
Persistent link: https://www.econbiz.de/10011620013
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Taking stock
Ehrmann, Michael; Fratzscher, Marcel - 2004
This paper analyses the effects of US monetary policy on stock markets. We find that, on average, a tightening of 50 basis points reduces returns by about 3%. Moreover, returns react more strongly when no change had been expected, when there is a directional change in the monetary policy stance...
Persistent link: https://www.econbiz.de/10009639408
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The informational content of over-the-counter currency options
Christoffersen, Peter; Mazzotta, Stefano - 2004
Financial decision makers often consider the information in currency option valuations when making assessments about …
Persistent link: https://www.econbiz.de/10009639420
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Liquidity, information, and the overnight rate
Ewerhart, Christian; Cassola, Nuno; Ejerskov, Steen; … - 2004
We model the interbank market for overnight credit with heterogeneous banks and asymmetric information. An … information about the liquidity situation in the market. It is shown that with positive probability, the liquidity effect … rate. The phenomenon does not disappear when the number of banks increases. We also show that private information mitigates …
Persistent link: https://www.econbiz.de/10009639432
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An empirical study of liquidity and information effects of order flow on exchange rate
Breedon, Francis; Vitale, Paolo - 2004
proposed by Bacchetta and van Wincoop (2003) and allows us to disentangle the liquidity and information effects of order flow …
Persistent link: https://www.econbiz.de/10009639485
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Price and trading response to public information
Malinowska, Magdalena - 2010
In their seminal paper French and Roll (1986) postulate that public information affects prices before anyone can trade … very precise information from the largest European bond futures market. The results show that the price response to public …
Persistent link: https://www.econbiz.de/10009640364
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The stock market reaction to the 2005 non-tradable share reform in China
Beltratti, Andrea; Bortolotti, Bernardo; Caccavaio, Marianna - 2011
During 2005-2006, the Chinese government implemented a reform aimed at eliminating the so-called non-tradable shares (NTS), shares typically held by the State or by politically connected institutional investors that were issued at the early stage of financial market development. Our analysis,...
Persistent link: https://www.econbiz.de/10009640778