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Impact of the Dodd-Frank act on credit ratings

Dimitrov, Valentin; Palia, Darius; Tang, Leo - In: Journal of Financial Economics 115 (2015) 3, pp. 505-520

We analyze the impact of the Dodd-Frank Wall Street Reform and Consumer Protection Act (Dodd-Frank) on corporate bond ratings issued by credit rating agencies (CRAs). We find no evidence that Dodd-Frank disciplines CRAs to provide more accurate and informative credit ratings. Instead, following...

Persistent link: https://www.econbiz.de/10011208260

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

High frequency trading and fragility

Cespa, Giovanni; Vives, Xavier - 2017

We show that limited dealer participation in the market, coupled with an informational friction resulting from high frequency trading, can induce demand for liquidity to be upward sloping and strategic complementarities in traders' liquidity consumption decisions: traders demand more liquidity...

Persistent link: https://www.econbiz.de/10011637013

It's not time to make a change : sovereign fragility and the corporate credit risk

Fornari, Fabio; Zaghini, Andrea - 2022

Relying on a perspective borrowed from monetary policy announcements and introducing an econometric twist in the traditional event study analysis, we document the existence of an "event risk transfer", namely a significant credit risk transmission from the sovereign to the corporate sector after...

Persistent link: https://www.econbiz.de/10013391043

Central bank asset purchases and auction cycles revisited : new evidence from the euro area

Ferrara, Federico M. - 2024

This study provides new evidence on the relationship between unconventional monetary policy and auction cycles in the euro area. Using proprietary data on purchases of public sector securities implemented by the Eurosystem, the paper examines the flow effects of asset purchase programmes on...

Persistent link: https://www.econbiz.de/10014527031

Illiquidity or credit deterioration: A study of liquidity in the US corporate bond market during financial crises

Friewald, Nils; Jankowitsch, Rainer; Subrahmanyam, Marti G. - In: Journal of Financial Economics 105 (2012) 1, pp. 18-36

We investigate whether liquidity is an important price factor in the US corporate bond market. In particular, we focus on whether liquidity effects are more pronounced in periods of financial crises, especially for bonds with high credit risk, using a unique data set covering more than 20,000...

Persistent link: https://www.econbiz.de/10010571651

Pricing of commercial real estate securities during the 2007–2009 financial crisis

Driessen, Joost; Van Hemert, Otto - In: Journal of Financial Economics 105 (2012) 1, pp. 37-61

We study the relative and absolute pricing of CMBX contracts (commercial real estate derivatives) during the recent financial crisis. Using a structural CMBX pricing model, we find little systematic mispricing relative to REIT equity and options. We do find short-term deviations from this...

Persistent link: https://www.econbiz.de/10010576087

Collateral booms and information depletion

Asriyan, Vladimir; Laeven, Luc; Martin, Alberto - 2019

We develop a new theory of information production during credit booms. In our model, entrepreneurs need credit to … themselves from such diversion in two ways: collateralization and costly screening, which generates durable information about … accumulates physical capital but depletes information about investment projects. As a result, collateral-driven booms end in deep …

Persistent link: https://www.econbiz.de/10011997468

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

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