Narrow search
Showing 1 - 10 of 48
Cover Image
Balance Sheet Interlinkages and Macro-Financial Risk Analysis in the Euro Area
Kavonius, Ilja Kristian; Castrén, Olli - 2009
The financial crisis has highlighted the need for models that can identify counterparty risk exposures and shock transmission processes at the systemic level. We use the euro area financial accounts (flow of funds) data to construct a sector-level network of bilateral balance sheet exposures and...
Persistent link: https://www.econbiz.de/10009640455
Cover Image
Has the new bail-in framework increased the yield spread between subordinated and senior bonds?
Pablos Nuevo, Irene - 2019
This paper investigates the impact of the introduction and implementation of the new EU bail-in framework on the banks subordinated bond yield spreads over senior unsecured bonds, and links the bond yields developments with the characteristics of the issuing entities and the economic and...
Persistent link: https://www.econbiz.de/10012104463
Cover Image
High frequency trading and fragility
Cespa, Giovanni; Vives, Xavier - 2017
We show that limited dealer participation in the market, coupled with an informational friction resulting from high frequency trading, can induce demand for liquidity to be upward sloping and strategic complementarities in traders' liquidity consumption decisions: traders demand more liquidity...
Persistent link: https://www.econbiz.de/10011637013
Cover Image
How news affects sectoral stock prices through earnings expectations and risk premia
Hvid, Anna Kirstine; Kristiansen, Kristian Loft - 2020
A growing body of literature analyses the impact of news on companies' equity prices. We add to this literature by showing that the transmission channel of news to prices differs across sectors. First, we disentangle sectoral equity prices into components of expected future earnings and equity...
Persistent link: https://www.econbiz.de/10012316963
Cover Image
It's not time to make a change : sovereign fragility and the corporate credit risk
Fornari, Fabio; Zaghini, Andrea - 2022
Relying on a perspective borrowed from monetary policy announcements and introducing an econometric twist in the traditional event study analysis, we document the existence of an "event risk transfer", namely a significant credit risk transmission from the sovereign to the corporate sector after...
Persistent link: https://www.econbiz.de/10013391043
Cover Image
Central bank asset purchases and auction cycles revisited : new evidence from the euro area
Ferrara, Federico M. - 2024
This study provides new evidence on the relationship between unconventional monetary policy and auction cycles in the euro area. Using proprietary data on purchases of public sector securities implemented by the Eurosystem, the paper examines the flow effects of asset purchase programmes on...
Persistent link: https://www.econbiz.de/10014527031
Cover Image
Collateral booms and information depletion
Asriyan, Vladimir; Laeven, Luc; Martin, Alberto - 2019
We develop a new theory of information production during credit booms. In our model, entrepreneurs need credit to … themselves from such diversion in two ways: collateralization and costly screening, which generates durable information about … accumulates physical capital but depletes information about investment projects. As a result, collateral-driven booms end in deep …
Persistent link: https://www.econbiz.de/10011997468
Cover Image
Stock market firm-level information and real economic activity
Di Mauro, Filippo; Fornari, Fabio; Mannucci, Dario - 2011
financial information leads to a significant improvement in forecasting business cycle developments in four economic areas, at … cross sectional stock market information to macro-prudential aims through an economic Value at Risk. - Business cycle …
Persistent link: https://www.econbiz.de/10009354657
Cover Image
Taking stock
Ehrmann, Michael; Fratzscher, Marcel - 2004
This paper analyses the effects of US monetary policy on stock markets. We find that, on average, a tightening of 50 basis points reduces returns by about 3%. Moreover, returns react more strongly when no change had been expected, when there is a directional change in the monetary policy stance...
Persistent link: https://www.econbiz.de/10009639408
Cover Image
The informational content of over-the-counter currency options
Christoffersen, Peter; Mazzotta, Stefano - 2004
Financial decision makers often consider the information in currency option valuations when making assessments about …
Persistent link: https://www.econbiz.de/10009639420