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Market liquidity after the financial crisis
Adrian, Tobias; Fleming, Michael J.; Shachar, Or; Vogt, Erik - 2017 - Revised June 2017
This paper examines market liquidity in the post-crisis era in light of concerns that regulatory changes might have reduced dealers' ability and willingness to make markets. We begin with a discussion of the broader trading environment, including an overview of regulations and their potential...
Persistent link: https://www.econbiz.de/10011547707
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Dealer balance sheets and bond liquidity provision
Adrian, Tobias; Boyarchenko, Nina; Shachar, Or - 2017 - Revised March 2017
Do regulations decrease dealer ability to intermediate trades? Using a unique data set of dealer-bond-level transactions, we link changes in liquidity of individual U.S. corporate bonds to dealers’ transaction activity and balance sheet constraints. We show that, prior to the financial crisis,...
Persistent link: https://www.econbiz.de/10011576274
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Regulatory changes and the cost of capital for banks
Kovner, Anna; Van Tassel, Peter - 2018
We estimate the cost of capital for the banking industry and find that while the cost of capital soared for banks in the financial crisis, after the passage of the Dodd-Frank Act, the value-weighted cost of capital for banks fell differentially more than did the cost of capital for nonbanks. The...
Persistent link: https://www.econbiz.de/10011868475
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The effect of the term auction facility on the London inter-bank offered rate
McAndrews, James Joseph (contributor);  … - 2008
This paper examines the effects of the Federal Reserve’s Term Auction Facility (TAF) on the London Inter-Bank Offered Rate (LIBOR). The particular question investigated is whether the announcements and operations of the TAF are associated with downward shifts of the LIBOR; such an association...
Persistent link: https://www.econbiz.de/10003781580
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Pricing the term structure with linear regressions
Adrian, Tobias (contributor); Mönch, Emanuel (contributor) - 2008
approach allows computationally fast estimation of term structure models with a large number of pricing factors. Even though we … structure of interest rates with small pricing errors compared to commonly reported specifications, both in and out …
Persistent link: https://www.econbiz.de/10003781680
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Liquidity and congestion
Afonso, Gara (contributor) - 2008
; congestion ; asset pricing …
Persistent link: https://www.econbiz.de/10003781784
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Global liquidity and exchange rates
Adrian, Tobias (contributor); Etula, Erkko M. (contributor);  … - 2009
estimate prices of risk using a cross-sectional asset pricing approach and show that U.S. dollar funding liquidity forecasts … liquidity channel in an intertemporal equilibrium pricing model where the “risk appetite” of dollar-funded intermediaries … the more familiar “carry trade” channel. -- Asset pricing ; financial intermediaries ; exchange rates …
Persistent link: https://www.econbiz.de/10003812554
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The term structure of inflation expectations
Adrian, Tobias (contributor); Wu, Hao (contributor) - 2009
yield curves. The model features stochastic covariation of inflation with the real pricing kernel, enabling us to extract a … ; asset pricing ; monetary policy …
Persistent link: https://www.econbiz.de/10003812556
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The microstructure of a US Treasury ECN : the BrokerTec platform
Fleming, Michael J.; Mizrach, Bruce Marshall - 2009
This paper assesses the microstructure of the U.S. Treasury securities market, using newly available tick data from the BrokerTec electronic trading platform. Examining trading activity, bid-ask spreads, and depth for on-the-run two-, three-, five-, ten-, and thirty-year Treasury securities, we...
Persistent link: https://www.econbiz.de/10003864593
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Are market makers uninformed and passive? : Signing trades in the absence of quotes
Wel, Michel van der; Menkveld, Albert J.; Sarkar, Asani - 2009
We develop a new likelihood-based approach to signing trades in the absence of quotes. This approach is equally efficient as the existing Markov-chain Monte Carlo methods, but more than ten times faster. It can address the occurrence of multiple trades at the same time and allows for analysis of...
Persistent link: https://www.econbiz.de/10003947711