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Broker-dealer risk appetite and commodity returns
Etula, Erkko - 2010
This paper shows that the risk-bearing capacity of U.S. securities brokers and dealers is a strong determinant of risk premia in commodity markets. Commodity derivatives are the principal instrument used by producers and consumers of commodities to hedge against commodity price risk....
Persistent link: https://www.econbiz.de/10010287180
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Credit default swap auctions
Helwege, Jean; Maurer, Samuel; Sarkar, Asani; Wang, Yuan - 2009
to major changes in the way CDS contracts are settled when default occurs. Auctions are increasingly the mechanism used …, auctions will become a standard feature of all recent CDS contracts from now on. In this paper, we examine all of the CDS … auctions conducted to date and evaluate their efficacy by comparing the auction outcomes to prices of the underlying bonds in …
Persistent link: https://www.econbiz.de/10010283509
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Intermediaries as information aggregators: An application to US treasury auctions
Boyarchenko, Nina; Lucca, David O.; Veldkamp, Laura - 2015
, and screen or monitor borrowers. In U.S. Treasury auctions, none of these rationales apply. Intermediaries submit their …
Persistent link: https://www.econbiz.de/10011341000
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The fragility of short-term secured funding markets
Martin, Antoine; Skeie, David; von Thadden, Ernst-Ludwig - 2013
This paper develops a model of financial institutions that borrow short term and invest in longterm assets that can be traded in frictionless markets. Because these financial intermediaries perform maturity transformation, they are subject to potential runs. We derive distinct liquidity,...
Persistent link: https://www.econbiz.de/10010333587
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Doing well by doing good? Community development venture capital
Kovner, Anna; Lerner, Josh - 2012
This paper examines the investments and performance of community development venture capital (CDVC). We find substantial differences between CDVC and traditional venture capital (VC) investments: CDVC investments are far more likely to be in nonmetropolitan regions and in regions with little...
Persistent link: https://www.econbiz.de/10010333615
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Rollover risk as market discipline: A two-sided inefficiency
Eisenbach, Thomas M. - 2013
Why does the market discipline that banks face seem too weak during good times and too strong during bad times? This paper shows that using rollover risk as a disciplining device is effective only if all banks face purely idiosyncratic risk. However, if banks' assets are correlated, a two-sided...
Persistent link: https://www.econbiz.de/10010333637
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A new survey of the U.S. bilateral repo market: A snapshot of broker-dealer activity
Baklanova, Viktoria; Caglio, Cecilia; Cipriani, Marco; … - 2016
We provide aggregate statistics on U.S. dealers' bilateral repurchase agreements and economically equivalent securities lending activities. The data were collected from the U.S.-affiliated securities dealers of nine bank holding companies under a voluntary pilot program run by the Office of...
Persistent link: https://www.econbiz.de/10011460633
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The cost of capital of the financial sector
Adrian, Tobias; Friedman, Evan; Muir, Tyler - 2015
Standard factor pricing models do not capture well the common time-series or cross-sectional variation in average returns of financial stocks. We propose a five-factor asset pricing model that complements the standard Fama and French (1993) three-factor model with a financial sector ROE factor...
Persistent link: https://www.econbiz.de/10011460637
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Risk appetite and exchange rates
Adrian, Tobias; Etula, Erkko; Shin, Hyun-Song - 2015
We present evidence that the growth of U.S.-dollar-denominated banking sector liabilities forecasts appreciations of the U.S. dollar, both in-sample and out-of-sample, against a large set of foreign currencies. We provide a theoretical foundation for a funding liquidity channel in a global...
Persistent link: https://www.econbiz.de/10011460651
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Trading risk and volatility in interest rate swap spreads
Kambhu, John - 2004
This paper examines how risk in trading activity can affect the volatility of asset prices. We look for this relationship in the behavior of interest rate swap spreads and in the volume and interest rates of repurchase contracts. Specifically, we focus on convergence trading, in which...
Persistent link: https://www.econbiz.de/10010283368