In a market-based financial system, banking and capital market developments are inseparable, and funding conditions are closely tied to fluctuations in the leverage of market-based financial intermediaries. Offering a window on liquidity, the balance sheet growth of broker-dealers provides a...

The financial crisis of 2007-09 highlighted the changing role of financial institutions and the growing importance of the shadow banking system, which grew out of the securitization of assets and the integration of banking with capital market developments. This trend was most pronounced in the...

It is well documented that the U.S. employment report has a strong price impact in financial markets. Based of these precision proxies, we show that prices respond significantly stronger to more precise information, even after controlling for an asymmetric price response to ’good’ and ’bad’...

Preise auf Kapitalmärkten werden durch nicht-antizipierte Informationen getrieben. Eine zentrale Aussage Baysianischer Lernmodelle impliziert, dass die Stärke der Preisreaktion einerseits von der Höhe der nicht antizipierten Komponente abhängt, andererseits aber auch von der Präzision der...

In this paper, we give an overview of the state-of-the-art in the econometric literature on the modeling of so-called financial point processes. The latter are associated with the random arrival of specific financial trading events, such as transactions, quote updates, limit orders or price...

In a market-based financial system, banking and capital market developments are inseparable, and funding conditions are closely tied to fluctuations in the leverage of market-based financial intermediaries. Offering a window on liquidity, the balance sheet growth of broker-dealers provides a...

The financial crisis of 2007-09 highlighted the changing role of financial institutions and the growing importance of the "shadow banking system," which grew out of the securitization of assets and the integration of banking with capital market developments. This trend was most pronounced in the...