The search for a market design that ensures stable bank funding is at the top of regulators' policy agenda. This paper empirically shows that the central counterparty (CCP)-based euro interbank repo market features this stability. Using a unique and comprehensive data set, we show that the...

We study the theoretical and empirical properties of a simple measure of market illiquidity, namely the realized Amihud, which is defined as the ratio between the realized volatility and trading volume and which refines the popular price impact measure proposed by Amihud (2002). In our model,...

By investigating nonfungible tokens (NFTs), we provide the first systematic study of retail investor behavior through asset bubbles.Given that NFTs are recorded in public blockchains, we are able to track investor behavior over time, leading to the identification of numerous price run-ups and...

In the first part of this chapter, we explain the main characteristics of foreign exchange (FX) swap and cross-currency swap contracts. We emphasize the importance of the valuation adjustment (XVA) approach and then map the FX swap market in terms of currencies, parties, maturities, and size....

This paper presents the first comprehensive examination of liquidity in the global foreign exchange (FX) swap market. Our analysis employs effective measures that assess both the tightness and depth of the global market. We identify three main findings: First, FX swap liquidity is fragmented...