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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
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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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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
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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
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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