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Price and liquidity discovery in European sovereign bonds and futures
Jappelli, Ruggero; Lucke, Konrad; Pelizzon, Loriana - 2022
to understand the linkage between the cheapest to deliver bond and closest futures pairs by using high-frequency data on …
Persistent link: https://www.econbiz.de/10013194146
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Liquidity derivatives
Bagnara, Matteo; Jappelli, Ruggero - 2022
It is well established that investors price market liquidity risk. Yet, there exists no financial claim contingent on liquidity. We propose a contract to hedge uncertainty over future transaction costs, detailing potential buyers and sellers. Introducing liquidity derivatives in Brunnermeier and...
Persistent link: https://www.econbiz.de/10013365214
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Liquidity derivatives
Bagnara, Matteo; Jappelli, Ruggero - 2022
It is well established that investors price market liquidity risk. Yet, there exists no financial claim contingent on liquidity. We propose a contract to hedge uncertainty over future transaction costs, detailing potential buyers and sellers. Introducing liquidity derivatives in Brunnermeier and...
Persistent link: https://www.econbiz.de/10013491550
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OTC discount
Roure, Calebe de; Mönch, Emanuel; Pelizzon, Loriana; … - 2020
We document a sizable OTC discount in the interdealer market for German sovereign bonds where exchange and over-the-counter trading coexist: the vast majority of OTC prices are favorable with respect to exchange quotes. This is a challenge for theories of OTC markets centered around search...
Persistent link: https://www.econbiz.de/10012387914
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OTC discount
Roure, Calebe de; Mönch, Emanuel; Pelizzon, Loriana; … - 2021
We document a sizable OTC discount in the interdealer market for German sovereign bonds where exchange and over-the-counter trading coexist: the vast majority of OTC prices are favorable compared to exchange quotes. This is a challenge for theories of OTC markets centered around...
Persistent link: https://www.econbiz.de/10012643895
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Central bank-driven mispricing
Pelizzon, Loriana; Subrahmanyam, Marti G.; Tomio, Davide; … - 2018 - This version: October 2018
We show that bond purchases undertaken in the context of quantitative easing efforts by the European Central Bank …. On top of the direct effect the buying pressure exerted on bond prices, we show three indirect channels through which the …: the deterioration of bond market liquidity, the increased bond specialness on the repurchase agreement market, and the …
Persistent link: https://www.econbiz.de/10012062155
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Central bank-driven mispricing
Pelizzon, Loriana; Subrahmanyam, Marti G.; Tomio, Davide; … - 2018 - This version: August 2018
We show that bond purchases undertaken in the context of quantitative easing efforts by the European Central Bank …. On top of the direct effect the buying pressure exerted on bond prices, we show three indirect effects through which the …: the deterioration of bond market liquidity, the increased bond specialness on the repurchase agreement market, and the …
Persistent link: https://www.econbiz.de/10011892699
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The pitfalls of central clearing in the presence of systematic risk
Kubitza, Christian; Pelizzon, Loriana; Getmansky, Mila - 2018
reluctance to clear derivative trades in the absence of a central clearing obligation. We develop a comprehensive understanding … moving from a bilateral to a clearing architecture for derivative markets. Previous studies suggest that central clearing is … its counterparties: 1) correlation across and within derivative classes (i.e., systematic risk), 2) collateralization of …
Persistent link: https://www.econbiz.de/10011923506
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Discount rates, debt maturity, and the fiscal theory
Corhay, Alexandre; Kind, Thilo; Kung, Howard; Morales, … - 2021
This paper examines how the transmission of government portfolio risk arising from maturity operations depends on the stance of monetary/fiscal policy. Accounting for risk premia in the fiscal theory allows the government portfolio to affect the expected inflation, even in a frictionless...
Persistent link: https://www.econbiz.de/10012643869
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Incentive effects from write-down CoCo bonds : an empirical analysis
Hesse, Henning - 2018
Departing from the principle of absolute priority, CoCo bonds are particularly exposed to bank losses despite not having ownership rights. This paper shows the link between adverse CoCo design and their yields, confirming the existence of market monitoring in designated bail-in debt....
Persistent link: https://www.econbiz.de/10011850536