Showing 1 - 10 of 32,482
We develop a reduced-form model that allows us to decompose bond spreads and CDS premiainto a pure credit risk component, a pure liquidity component, and a component measuring therelation between credit risk and liquidity. CDS liquidity has important consequences for the bondcredit risk and...
Persistent link: https://www.econbiz.de/10005867856
Persistent link: https://www.econbiz.de/10001639703
Persistent link: https://www.econbiz.de/10001646775
Persistent link: https://www.econbiz.de/10011919647
Swap lines between advanced-economy central banks are a new important part of the global financial architecture. This … shows that the swap line mimics discount-window credit from the source central bank to the recipient-country banks using the … shows that the swap-line rate puts a ceiling on deviations from covered interest parity, and finds evidence for it in the …
Persistent link: https://www.econbiz.de/10011867130
Persistent link: https://www.econbiz.de/10014574914
Persistent link: https://www.econbiz.de/10012172457
Persistent link: https://www.econbiz.de/10014483543
Persistent link: https://www.econbiz.de/10014486912
Persistent link: https://www.econbiz.de/10014468784