Similar Search Results

Are CoCo bonds a good substitute for equity? : evidence from European banks

Hau, Harald; Hrasko, Gabriela - 2018

Following the 2008-9 financial crisis, large banks increasingly issued contingent convertible bonds (CoCo bonds) to increase their capital buffers – a policy supported by national bank regulators. This paper examines whether the issuance of CoCo bonds provides the same reduction in bank...

Persistent link: https://www.econbiz.de/10011937107

Discriminatory pricing of over-the-counter derivatives

Hau, Harald; Hoffmann, Peter; Langfield, Sam; Timmer, … - 2019

New regulatory data reveal extensive price discrimination against non-financial clients in the FX derivatives market. The client at the 90th percentile pays an effective spread of 0.5%, while the bottom quarter incur transaction costs of less than 0.02%. Consistent with models of search...

Persistent link: https://www.econbiz.de/10012021832

Discriminatory pricing of over-the-counter derivatives

Hau, Harald; Hoffmann, Peter; Langfield, Sam; Timmer, … - 2017

Persistent link: https://www.econbiz.de/10011821204

Discriminatory pricing of over-the-counter derivatives

Hau, Harald; Hoffmann, Peter; Langfield, Sam; Timmer, … - 2017

For the first time, new regulatory data allow precise measurement of price discrimination against non-financial clients in the FX derivatives market. Consistent with the theoretical literature, transaction costs vary systematically with measures of client sophistication. The median client pays...

Persistent link: https://www.econbiz.de/10011875673

Exchange rate, equity prices and capital flows

Hau, Harald; Rey, Hélène - 2002

Persistent link: https://www.econbiz.de/10001720824

The exchange rate effect of multi-currency risk arbitrage

Hau, Harald - 2012

to strengthen the statistical evidence on the predicted shortrun exchange rate dynamics. Cross-sectional currency hedging … and fundamentals. Speculation ; Limited Arbitrage ; Hedging ; Exchange Rate Disconnect …

Persistent link: https://www.econbiz.de/10009558406

The exchange rate effect of multi-currency risk arbitrage

Hau, Harald - 2009

Persistent link: https://www.econbiz.de/10003875359

Can time-varying currency risk hedging explain exchange rates?

Bräuer, Leonie; Hau, Harald - 2023

Persistent link: https://www.econbiz.de/10014372071

Exchange rates, equity prices and capital flows

Hau, Harald - 2003

Persistent link: https://www.econbiz.de/10013424263

Can Time-Varying Currency Risk Hedging Explain Exchange Rates?

Bräuer, Leonie; Hau, Harald - 2022

bond positions, which creates a net hedging demand for dollar assets that depreciates USD rates in both the forward and … spot markets. We document the time-varying nature of this net hedging demand and show how it relates to economic … FX hedging pressure can account for approximately 30% of all monthly variation in the seven most important dollar …

Persistent link: https://www.econbiz.de/10014236684