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LIBOR: Origins, economics, crisis, scandal, and reform
Hou, David; Skeie, David - 2014
The London Interbank Offered Rate (LIBOR) is a widely used indicator of funding conditions in the interbank market. As of 2013, LIBOR underpins more than $300 trillion of financial contracts, including swaps and futures, in addition to trillions more in variable-rate mortgage and student loans....
Persistent link: https://www.econbiz.de/10011340948
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Liquidity, volatility, and flights to safety in the US treasury market: Evidence from a new class of dynamic order book models
Engle, Robert; Fleming, Michael; Ghysels, Eric; Nguyen, … - 2012
We propose a new class of dynamic order book models that allow us to 1) study episodes of extreme low liquidity and 2) unite liquidity and volatility in one framework through which their joint dynamics can be examined. Liquidity and volatility in the U.S. Treasury securities market are analyzed...
Persistent link: https://www.econbiz.de/10010333574
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The global dash for cash: Why sovereign bond market functioning varied across jurisdictions in March 2020
Barone, Jordan; Chaboud, Alain; Copeland, Adam; … - 2022
As the economic disruptions associated with the COVID-19 pandemic increased in March 2020, there was a global dash-for-cash by investors. This selling pressure occurred across advanced sovereign bond markets and caused a deterioration in market functioning, leading to central bank interventions....
Persistent link: https://www.econbiz.de/10013330025
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Is size everything?
Antill, Samuel; Sarkar, Asani - 2018
We examine sources of systemic risk (threshold size, complexity, and interconnectedness) with factors constructed from equity returns of large financial firms, after accounting for standard risk factors. From the factor loadings and factor returns, we estimate the implicit government subsidy for...
Persistent link: https://www.econbiz.de/10012144707
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Informational contagion in the laboratory
Cipriani, Marco; Guarino, Antonio; Guazzarotti, Giovanni; … - 2015
We study the informational channel of financial contagion in the laboratory. In our experiment, two markets with … from the market that opens first. As a result, we observe financial contagion in the laboratory: Indeed, the correlation … between asset prices is very close to that predicted by the theory. Finally, as theory predicts, there is no contagion when …
Persistent link: https://www.econbiz.de/10011340963
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Financial amplification of foreign exchange risk premia
Adrian, Tobias; Etula, Erkko; Groen, Jan J. J. - 2010
Theories of systemic risk suggest that financial intermediaries' balance-sheet constraints amplify fundamental shocks. We provide supportive evidence for such theories by decomposing the U.S. dollar risk premium into components associated with macroeconomic fundamentals and a component...
Persistent link: https://www.econbiz.de/10010287155
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Nonlinearity and flight to safety in the risk-return trade-off for stocks and bonds
Adrian, Tobias; Crump, Richard; Vogt, Erik - 2015
We document a highly significant, strongly nonlinear dependence of stock and bond returns on past equity-market volatility as measured by the VIX. We propose a new estimator for the shape of the nonlinear forecasting relationship that exploits additional variation in the cross section of...
Persistent link: https://www.econbiz.de/10011340951
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Order flow segmentation and the role of dark trading in the price discovery of U.S. treasury securities
Fleming, Michael; Nguyen, Giang - 2013
This paper studies the workup protocol, a unique trading feature in the U.S. Treasury securities market that resembles a mechanism for discovering dark liquidity. We quantify its role in the price formation process in a model of the dynamics of price and segmented order flow induced by the...
Persistent link: https://www.econbiz.de/10010333609
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Did liquidity providers become liquidity seekers?
Choi, Jaewon; Shachar, Or - 2013
The misalignment between corporate bond and credit default swap (CDS) spreads (i.e., CDSbond basis) during the 2007-09 financial crisis is often attributed to corporate bond dealers shedding off their inventory, right when liquidity was scarce. This paper documents evidence against this...
Persistent link: https://www.econbiz.de/10010333633
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Investor attention to bank risk during the spring 2023 bank run
Fischl-Lanzoni, Natalia; Hiti, Martin; Kaplan, Nathan; … - 2024
We examine how investors' perception of bank balance sheet risk evolved before and during the March-April 2023 bank run. To do so, we estimate the covariance ("beta") of bank excess stock returns with returns on factors constructed from long-short portfolios sorted on shares of uninsured...
Persistent link: https://www.econbiz.de/10014581782