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Stock Market Liquidity, Monetary Policy and the Business Cycle

Leippold, Markus; Wolff, Vincent - 2022

Næs, Skjeltorp, and Ødegaard (2011) provide empirical evidence that stock market liquidity contains leading information …’s accommodative monetary policy to buoy stock markets in crisis starting in the 1990s. Moreover, we document that liquidity dry-ups in … conditions and aggregate stock market liquidity’s well-established business cycle component …

Persistent link: https://www.econbiz.de/10014235447

The euro interbank repo market

Mancini, Loriano; Ranaldo, Angelo; Wrampelmeyer, Jan - 2014 - This version: March 2014

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...

Persistent link: https://www.econbiz.de/10010410308

Asset allocation and monetary policy : evidence from the eurozone

Hau, Harald; Lai, Sandy - 2013

The eurozone has a single short-term nominal interest rate, but monetary policy conditions measured by either real short-term interest rates or Taylor rule residuals varied substantially across countries in the period from 2003-2010. We use this cross-country variation in the (local) tightness...

Persistent link: https://www.econbiz.de/10010256407

The effect of unconventional monetary policy on cross-border bank loans : evidence from an emerging market

Alper, Koray; Altunok, Fatih; Çapacıoğlu, Tanju; … - 2019 - This draft: July 17, 2019

We analyze the impact of quantitative easing by the Federal Reserve, European Central Bank and Bank of England on cross‐border credit flows. Relying on comprehensive loan‐level data, we find that Fed QE strongly boosts cross‐border credit granted to Turkish banks by banks located in the...

Persistent link: https://www.econbiz.de/10012052426

Does quantitative easing boost bank lending to the real economy or cause other bank asset reallocation? : the case of the UK

Giansante, Simone; Fatouh, Mahmoud; Ongena, Steven - 2019

We investigate the impact of the Bank of England's asset purchase program (APP) on the composition of assets of UK banks, and the implications for the real economy, using a unique database on the program. Knowing the identity of the banks that receive reserves injections through APP (QE banks)...

Persistent link: https://www.econbiz.de/10012179328

The illusion of the perpetual money machine

Cauwels, Peter; Sornette, Didier - 2012

We argue that the present crisis and stalling economy continuing since 2007 have clear origins, namely in the delusionary belief in the merits of policies based on a “perpetual money machine” type of thinking. Indeed, we document strong evidence that, since the early 1980s, consumption has...

Persistent link: https://www.econbiz.de/10009684129

Central bank collateral frameworks

Nyborg, Kjell G. - 2015

on financial markets and the wider economy. They can, for example, bias the private provision of real liquidity and …

Persistent link: https://www.econbiz.de/10011296085

Liquidity and investment horizon

Vovchak, Volodymyr - 2014

The paper investigates the relationship between the investment holding horizon and liquidity. I confirm and expand … short period carry more of liquidity risk. This means that short term investors load on liquidity risk when making …

Persistent link: https://www.econbiz.de/10010258742

True cost of immediacy

Hendershott, Terrence; Li, Dan; Livdan, Dmitry; … - 2020

Traditional liquidity measures can provide a false impression of the liquidity and stability of financial market … show that a standard measure of liquidity, the effective bid-ask spread, dramatically underestimates the true cost of …

Persistent link: https://www.econbiz.de/10012271211

How does sovereign bond market integration relate to fundamentals and CDS spreads?

Chaieb, Ines; Errunza, Vihang R.; Gibson, Rajna - 2016

We find that the degree and dynamics of sovereign bond market integration across 21 developed and 18 emerging countries is significantly heterogeneous. We show that better spanning can significantly enhance market integration through dissipating local risk premiums. Integration of the sovereign...

Persistent link: https://www.econbiz.de/10011618981