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Realized Illiquidity
Lacava, Demetrio; Ranaldo, Angelo; Santucci de … - 2022
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,...
Persistent link: https://www.econbiz.de/10014238265
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Foreign Exchange Swap Liquidity
Kloks, Peteris; Mattille, Edouard; Ranaldo, Angelo - 2023
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...
Persistent link: https://www.econbiz.de/10014351476
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Liquidity provision in the foreign exchange market
Gallien, Florent; Kassibrakis, Serge; Klimenko, Nataliya; … - 2018 - This version: July 15, 2018
Foreign exchange operates as a two-tiered over-the-counter (OTC) market dominatedby large, strategic dealers. Using proprietary high frequency data on quotesby the largest foreign exchange dealer banks in the dealer-to-customer (D2C) market,we find a significant heterogeneity in their behavior....
Persistent link: https://www.econbiz.de/10011900334
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Municipal bond markets
Cestau, Dario; Hollifield, Burton; Li, Dan; Schürhoff, … - 2018
The effective functioning of the municipal bond market is crucial for the provision of public services, as it is the largest capital market for state and municipal issuers. Prior research has documented tax, credit, liquidity, and segmentation effects in municipal bonds. Recent regulatory...
Persistent link: https://www.econbiz.de/10011938223
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International bond risk premia
Dahlquist, Magnus; Hasseltoft, Henrik - 2011
We identify local and global factors across international bond markets that are poorly spanned by the traditional level, slope and curvature factors but have strong forecasting power for future bond excess returns. Local and global factors are jointly significant predictors of bond returns,...
Persistent link: https://www.econbiz.de/10009009483
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Integration of sovereign bonds markets : time variation and maturity effects
Chaieb, Ines; Errunza, Vihang R.; Gibson, Rajna - 2014
We examine time varying integration of developed (DM) and emerging (EM) market government bonds. Although we find an upward trend for most countries and maturity bands, we do observe reversals and negative trends among both DMs and EMs and for some maturities during the financial crisis. We...
Persistent link: https://www.econbiz.de/10010413280
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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
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The sovereign debt crisis : rebalancing or freezes?
Östberg, Peter; Richter, Thomas - 2018
Using high-frequency data we document that episodes of market turmoil in the European sovereign bond market are on average associated with large decreases in trading volume. The response of trading volume to market stress is conditional on transaction costs. Low transaction cost turmoil episodes...
Persistent link: https://www.econbiz.de/10011865537
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Long-run UIP holds even in the short run
Ackermann, Fabian; Pohl, Walter; Schmedders, Karl - 2013
The failure of uncovered interest rate parity to explain short-term interest rate movements is well documented. We show that short-term changes in long-term interest rates do help to explain short-term exchange rate movements. The relationship gets stronger over our sample period, as the...
Persistent link: https://www.econbiz.de/10009751157
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Dynamic Currency Hedging with Ambiguity
Polak, Pawel; Ulrych, Urban - 2021
currency returns, we develop an ambiguity-adjusted dynamic currency hedging strategy for international investors. We propose an …'s ambiguity into the dynamic currency hedging strategy algorithm that can numerically optimize an arbitrary risk measure, such as … investors, the derived dynamic currency hedging strategy with ambiguity is stable, robust, and highly risk reductive. It …
Persistent link: https://www.econbiz.de/10013215574