Similar Search Results

Mandel, Benjamin R. - 2013

This paper develops a technique to decompose price distributions into contributions from markups and marginal cost. The estimators are then used as a laboratory to measure the relationship between increasing Chinese competition and the components of U.S. import prices. The estimates suggest that...

Persistent link: https://www.econbiz.de/10009692640

Border effects and the availability of domestic products abroad

Evans, Carolyn L. (contributor) - 2001 - [Elektronische Ressource]

availability explanations of border effects. A model that includes heterogeneous fixed costs of trade illustrates how either of …

Persistent link: https://www.econbiz.de/10001591415

The GSCPI : a new barometer of global supply chain pressures

Benigno, Gianluca; Di Giovanni, Julian; Groen, Jan J. J.; … - 2022

We propose a novel indicator to capture pressures that arise at the global supply chain level, the Global Supply Chain Pressure Index (GSCPI). The GSCPI provides a new monitoring tool to gauge global supply chain conditions. We assess the index's capacity to explain inflation outcomes, using the...

Persistent link: https://www.econbiz.de/10013257028

Stock market spillovers via the global production network: transmission of U.S. monetary policy

Di Giovanni, Julian; Hale, Galina - 2020

-economy production network model that delivers a spillover pattern consistent with a spatial autoregression (SAR) process. We then use … the SAR model to decompose the overall impact of U.S. monetary policy on stock returns into a direct and a network effect …

Persistent link: https://www.econbiz.de/10012309215

The persistent effects of a false news shock

Carvalho, Carlos Viana de; Klagge, Nicholas; Mönch, Emanuel - 2009

explore this natural experiment by using a simple asset-pricing model to study the aftermath of this false news shock. We find … implied by the model and that it returned to within one standard deviation only during the sixth trading session. On the … seventh day after the episode, the stock was trading at exactly the level predicted by the asset-pricing model. We also …

Persistent link: https://www.econbiz.de/10003864579

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

Capital constraints, counterparty risk, and deviations from covered interest rate parity

Coffey, Niall; Hrung, Warren B.; Sarkar, Asani - 2009 - Rev.

We provide robust evidence of deviations from the covered interest rate parity (CIP) relation since the onset of the financial crisis in August 2007. The CIP deviations exist with respect to several different dollar-denominated interest rates and exchange rate pairings of the dollar vis-à-vis...

Persistent link: https://www.econbiz.de/10003947651

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

The microstructure of the TIPS market

Fleming, Michael J.; Krishnan, Neel - 2009

We characterize the microstructure of the market for Treasury inflation-protected securities (TIPS) using novel tick data from the interdealer market. We find a marked difference in trading activity between on-the-run and off-the-run securities, as in the nominal Treasury securities market. We...

Persistent link: https://www.econbiz.de/10003948202

Repo market effects of the term securities lending facility

Fleming, Michael J.; Hrung, Warren B.; Keane, Frank M. - 2010

The Term Securities Lending Facility (TSLF) was introduced by the Federal Reserve to promote liquidity in the financing markets for Treasury and other collateral. We evaluate one aspect of the program — the extent to which it has narrowed repo spreads between Treasury collateral and less...

Persistent link: https://www.econbiz.de/10003948796