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Does monetary policy impact market integration? : evidence from developed and emerging markets

Caporin, Massimiliano; Pelizzon, Loriana; Plazzi, Alberto - 2017

co-movement, even in the Eurozone …

Persistent link: https://www.econbiz.de/10011874674

How does sovereign bond market integration relate to fundamentals and CDS spreads?

Chaieb, Ines; Errunza, Vihang R.; Gibson, Rajna - 2016

We find that the degree and dynamics of sovereign bond market integration across 21 developed and 18 emerging countries is significantly heterogeneous. We show that better spanning can significantly enhance market integration through dissipating local risk premiums. Integration of the sovereign...

Persistent link: https://www.econbiz.de/10011618981

The sovereign debt crisis : rebalancing or freezes?

Östberg, Peter; Richter, Thomas - 2018

Using high-frequency data we document that episodes of market turmoil in the European sovereign bond market are on average associated with large decreases in trading volume. The response of trading volume to market stress is conditional on transaction costs. Low transaction cost turmoil episodes...

Persistent link: https://www.econbiz.de/10011865537

The information content of option demand

Kehrle, Kerstin; Puhan, Tatjana-Xenia - 2012

This paper combines the concept of market sidedness with excess option demand (changes in open interest) to solve the empirical challenge of separating directional from uninformed trading motives in widely available, unsigned options data. Our measure of options market sidedness persistently...

Persistent link: https://www.econbiz.de/10009684072

Electronic trading in OTC markets vs. centralized exchange

Liu, Ying; Vogel, Sebastian; Zhang, Yuan - 2017

We model a two-tiered market structure in which an investor can trade an asset on a trading platform with a set of dealers who in turn have access to an interdealer market. The investor's order is informative about the asset's payoff and dealers who were contacted by the investor use this...

Persistent link: https://www.econbiz.de/10011877487

Asymmetric information and the securitization of SME loans

Albertazzi, Ugo; Bottero, Margherita; Gambacorta, Leonardo - 2021

Using all loans granted to firms recorded in the Italian credit register, we estimate correlations between risk-transfer and default probabilities to gauge the severity of informational asymmetries in the loan securitization market. First, the analysis confirms the presence of information...

Persistent link: https://www.econbiz.de/10012487672

Leveraged loans: is high leverage risk priced in?

Newton, David P.; Ongena, Steven; Xie, Ru; Zhao, Binru - 2020

We investigate the impact of the 2014 Interagency Clarification on the leverage risk premium for bank- and nonbank-originated loans. Using a novel dataset from 2011 to 2019, we show that leveraged loan spreads have declined rapidly for nonbank facilities relative to bank facilities since the...

Persistent link: https://www.econbiz.de/10012420989

Understanding asset correlations

Burkhardt, Dominic; Hasseltoft, Henrik - 2012 - This draft: September 2012

We document an inverse relation between stock-bond correlations and correlations of growth and inflation. We find that rising inflation uncertainty lowers stock prices but can either lower or raise nominal bond prices depending on whether inflation is counter- or procyclical. We show that the...

Persistent link: https://www.econbiz.de/10009684165

Cross-section without factors : correlation risk, strings and asset prices

Distaso, Walter; Mele, Antonio; Vilkov, Grigory - 2021 - This version: January 13, 2021

quantities driven by common factors, which hinders achieving a neat definition of a correlation premium. We formulate a model … returns: an average correlation premium. This premium is both statistically and economically significant, and considerably …-series behavior of the premium for the risk of changes in asset correlations (the premium for correlation risk), including its inverse …

Persistent link: https://www.econbiz.de/10012421289

Volatility indexes and contracts for government bonds and time deposits

Mele, Antonio; Obayashi, Yoshiki - 2013 - This version: April 22, 2013

The volatilities of Treasury and time deposit markets comove with equity volatility quite heterogeneously over time, with correlations ranging from negative to positive, and marked by periods of rapid movement. What is the price of Treasury volatility or, say, that of the Eurodollar LIBOR? How...

Persistent link: https://www.econbiz.de/10009750612

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