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Predatory Short Selling
Brunnermeier, Markus K. - 2013
Financial institutions may be vulnerable to predatory short selling. When the stock of a financial institution is shorted aggressively, leverage constraints imposed by short-term creditors can force the institution to liquidate long-term investments at fire sale prices. For financial...
Persistent link: https://www.econbiz.de/10013074650
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The Short Rate Disconnect in a Monetary Economy
Lenel, Moritz - 2019
In modern monetary economies, most payments are made with inside money provided by payment intermediaries. This paper studies interest rate dynamics when payment intermediaries value short bonds as collateral to back inside money. We estimate intermediary Euler equations that relate the short...
Persistent link: https://www.econbiz.de/10012865764
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Equilibrium Corporate Finance and Intermediation
Bisin, Alberto - 2014
This paper analyzes a class of competitive economies with production, incomplete financial markets, and agency frictions. Firms take their production, financing, and contractual decisions so as to maximize their value under rational conjectures. We show that competitive equilibria exist and that...
Persistent link: https://www.econbiz.de/10013049698
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On the Correlation Structure of Microstructure Noise : A Financial Economic Approach
Diebold, Francis X. - 2010
We introduce the financial economics of market microstructure into the financial econometrics of asset return volatility estimation. In particular, we use market microstructure theory to derive the cross-correlation function between latent returns and market microstructure noise, which feature...
Persistent link: https://www.econbiz.de/10013137011
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Traders, Market Microstructure and Exchange Rate Dynamics
Cheung, Yin-Wong - 2008
We report findings from a survey of United States foreign exchange traders. Our results indicate that: (i) The share of customer business, versus interbank business, has remained fairly constant; (ii) The channels by which transactions take place have changed, as electronically-brokered...
Persistent link: https://www.econbiz.de/10012774807
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How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise
Ait-Sahalia, Yacine - 2005
Classical statistics suggest that for inference purposes one should always use as much data as is available. We study how the presence of market microstructure noise in high-frequency financial data can change that result. We show that the optimal sampling frequency at which to estimate the...
Persistent link: https://www.econbiz.de/10012785227
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Middlemen Versus Market Makers : A Theory of Competitive Exchange
Hall, George J. - 2003
We present a model in which the microstructure of trade in a commodity or asset is endogenously determined. Producers … and consumers of a commodity (or buyers and sellers of an asset) who wish to trade can choose between two competing types … strict increase in their expected gains from trade. We show that strict Pareto improvements occur even in cases where the …
Persistent link: https://www.econbiz.de/10012786896
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High Frequency Market Microstructure Noise Estimates and Liquidity Measures
Ait-Sahalia, Yacine - 2010
Using recent advances in the econometrics literature, we disentangle from high frequency observations on the transaction prices of a large sample of NYSE stocks a fundamental component and a microstructure noise component. We then relate these statistical measurements of market microstructure...
Persistent link: https://www.econbiz.de/10012759514
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Microstructure of the Yen/Dollar Foreign Exchange Market : Patterns of Intra-Day Activity Revealed in the Electronic Broking System
Ito, Takatoshi - 2010
This paper establishes several intra-day patterns of the high-frequency exchange rate behavior, using the firm bid-ask quote, transaction of the EBS data set. First, the activity of quote and transactions is high in the beginning hours of the three major currency markets -- Tokyo, London, and...
Persistent link: https://www.econbiz.de/10012762564
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A Tale of Two Time Scales : Determining Integrated Volatility with Noisy High Frequency Data
Zhang, Lan - 2010
It is a common practice in finance to estimate volatility from the sum of frequently-sampled squared returns. However market microstructure poses challenges to this estimation approach, as evidenced by recent empirical studies in finance. This work attempts to lay out theoretical grounds that...
Persistent link: https://www.econbiz.de/10012762713