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Dealers and the dealer of last resort : evidence from MBS markets in the COVID-19 crisis
Chen, Jiakai; Liu, Haoyang; Sarkar, Asani; Song, Zhaogang - 2021 - Revised May 2021
We examine the economic mechanisms that limited arbitrage between the cash and forward markets of agency MBS, and …
Persistent link: https://www.econbiz.de/10012243623
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The Fed's international dollar liquidity facilities: new evidence on effects
Goldberg, Linda S.; Ravazzolo, Fabiola - 2021
In March 2020, the Federal Reserve eased the terms on its standing swap lines in collaboration with other central banks, reactivated temporary swap agreements, and then introduced the new Foreign and International Monetary Authorities (FIMA) Repo Facility. We provide new evidence on how the...
Persistent link: https://www.econbiz.de/10012797880
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Stock market spillovers via the global production network: transmission of U.S. monetary policy
Di Giovanni, Julian; Hale, Galina - 2020
We quantify the role of global production linkages in explaining spillovers of U.S. monetary policy shocks to stock returns of fifty-four sectors in twenty-six countries. We first present a conceptual framework based on a standard open-economy production network model that delivers a spillover...
Persistent link: https://www.econbiz.de/10012309215
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Inference, arbitrage, and asset price volatility
Adrian, Tobias (contributor) - 2004 - [Elektronische Ressource], Rev. February 2008
, informed investors, and noise traders. Arbitrageurs face a trade-off between arbitrage and inference: they would like to buy … assets in response to temporary price declines (the arbitrage effect) but sell when prices decline permanently (the inference … effect). In equilibrium, the presence of arbitrageurs increases volatility when the inference effect dominates the arbitrage …
Persistent link: https://www.econbiz.de/10002101431
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The overnight drift
Boyarchenko, Nina; Larsen, Lars C.; Whelan, Paul - 2021 - Revised September 2021
We show that nearly 100 percent of the U.S. equity premium is earned over a window around the opening hours of European markets when U.S. cash markets are closed. We explore two potential complementary explanations. First, consistent with predictions from dealer inventory risk models, we find...
Persistent link: https://www.econbiz.de/10012170744
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Capital constraints, counterparty risk, and deviations from covered interest rate parity
Coffey, Niall; Hrung, Warren B.; Sarkar, Asani - 2009 - Rev.
. These results indicate a breakdown of arbitrage transactions in the international capital markets during the crisis that …
Persistent link: https://www.econbiz.de/10003947651
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Time variation in asset price response to macro announcements
Goldberg, Linda S.; Grisse, Christian - 2013
Although the effects of economic news announcements on asset prices are well established, theserelationships are unlikely to be stable. This paper documents the time variation in the responses of yield curves and exchange rates using high-frequency data from January 2000 through August 2011....
Persistent link: https://www.econbiz.de/10009787494
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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 correlated fundamentals open sequentially. In both markets, subjects receive private information. Subjects in the market opening second also observe the history of trades and prices...
Persistent link: https://www.econbiz.de/10010488290
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Bank-intermediated arbitrage
Boyarchenko, Nina; Eisenbach, Thomas M.; Gupta, Pooja; … - 2018
bank intermediation for their arbitrage strategies. …
Persistent link: https://www.econbiz.de/10011868543
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Organizational complexity and balance sheet management in global banks
Cetorelli, Nicola; Goldberg, Linda S. - 2016
Banks have progressively evolved from being standalone institutions to being subsidiaries of increasingly complex financial conglomerates. We conjecture and provide evidence that the organizational complexity of the family of a bank is a fundamental driver of the business model of the bank...
Persistent link: https://www.econbiz.de/10011446535