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Valuing the Futures Market Clearinghouse's Default Exposure During the 1987 Crash
Bates, David S. - 2008
three measures of the default exposure on the popular Samp;P500 futures contract traded on the Chicago Mercantile Exchange …
Persistent link: https://www.econbiz.de/10012774903
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Counterparty Risk and the Establishment of the New York Stock Exchange Clearinghouse
Bernstein, Asaf - 2014
in global financial stability. Empirical identification of the effect of centralized clearing on counterparty risk is … already had a clearinghouse. Using identical securities on the CSE as a control, we find that the introduction of clearing … reduced annualized volatility of NYSE returns by 90-173bps and increased asset values. Prior to clearing, shocks to overnight …
Persistent link: https://www.econbiz.de/10013047773
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Mutual Assistance between Federal Reserve Banks, 1913-1960 as Prolegomena to the Target2 Debate
Eichengreen, Barry - 2014
This paper reconstructs the forgotten history of mutual assistance among Reserve Banks in the early years of the Federal Reserve System. We use data on accommodation operations by the 12 Reserve Banks between 1913 and 1960 which enabled them to mutualise their gold reserves in emergency...
Persistent link: https://www.econbiz.de/10013051745
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Central Clearing and Collateral Demand
Duffie, Darrell - 2014
We use an extensive data set of bilateral exposures on credit default swap (CDS) to estimate the impact on collateral … demand of new margin and clearing practices and regulations. We decompose collateral demand for both customers and dealers … impact on collateral demand of more widespread initial margin requirements, increased novation of CDS to central clearing …
Persistent link: https://www.econbiz.de/10013059087
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Digital Currencies, Decentralized Ledgers, and the Future of Central Banking
Raskin, Max - 2016
currencies has the potential to improve central banks' payment and clearing operations, and possibly to serve as a platform from …
Persistent link: https://www.econbiz.de/10012992627
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Bail-Ins and Bail-Outs : Incentives, Connectivity, and Systemic Stability
Bernard, Benjamin - 2017
This paper endogenizes intervention in financial crises as the strategic negotiation between a regulator and creditors of distressed banks. Incentives for banks to contribute to a voluntary bail-in arise from their exposure to financial contagion. In equilibrium, a bail-in is possible only if...
Persistent link: https://www.econbiz.de/10012948447
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Cream Skimming in Financial Markets
Bolton, Patrick - 2011
We propose an equilibrium occupational choice model, where agents can choose to work in the real sector (become entrepreneurs) or to become informed dealers in financial markets. Agents incur costs to become informed dealers and develop skills for valuing assets up for trade. The financial...
Persistent link: https://www.econbiz.de/10013129218
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Differences of Opinion and International Equity Markets
Dumas, Bernard - 2011
We develop an international financial market model in which domestic and foreign residents differ in their beliefs about the information content in public signals. We determine how informational advantages by domestic investors in the interpretation of home public signals impact equity markets....
Persistent link: https://www.econbiz.de/10013130709
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A Simple Test of Private Information in the Insurance Markets with Heterogeneous Insurance Demand
Gan, Li - 2011
A positive correlation between insurance coverage and ex post risk can be an indicator for private information in insurance markets. However, this test fails if agents have heterogeneous risk attitudes. We propose a new test that conditions on unobserved types of individuals who differ in their...
Persistent link: https://www.econbiz.de/10013130968
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Kosher Pork
Drazen, Allan - 2011
Both conventional wisdom and leading academic research view pork barrel spending as antithetical to responsible policymaking in times of crisis. In this paper we present an alternative view. When agents are heterogeneous in their ideology and in their information about the economic situation,...
Persistent link: https://www.econbiz.de/10013131672