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Central bank-driven mispricing
Pelizzon, Loriana; Subrahmanyam, Marti G.; Tomio, Davide; … - 2018 - This version: October 2018
: the deterioration of bond market liquidity, the increased bond specialness on the repurchase agreement market, and the …
Persistent link: https://www.econbiz.de/10012062155
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Sovereign credit risk, liquidity, and European Central Bank intervention : Deus ex machina?
Pelizzon, Loriana; Subrahmanyam, Marti G.; Tomio, Davide; … - In: Journal of financial economics 122 (2016) 1, pp. 86-115
Persistent link: https://www.econbiz.de/10011590889
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Sovereign credit risk, liquidity, and ECB intervention : deus ex machina?
Pelizzon, Loriana; Subrahmanyam, Marti G.; Tomio, Davide; … - 2015 - First draft: September 2013, This draft: March 2015
This paper examines the dynamic relationship between credit risk and liquidity in the sovereign bond market in the … context of the European Central Bank (ECB) interventions. Using a comprehensive set of liquidity measures obtained from a … risk, as measured by the Italian sovereign credit default swap (CDS) spread, generally drive the liquidity of the market: a …
Persistent link: https://www.econbiz.de/10010503289
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Central bank-driven mispricing
Pelizzon, Loriana; Subrahmanyam, Marti G.; Tomio, Davide; … - 2018 - This version: August 2018
: the deterioration of bond market liquidity, the increased bond specialness on the repurchase agreement market, and the …
Persistent link: https://www.econbiz.de/10011892699
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Limits to arbitrage during the crisis : funding liquidity constraints and covered interest parity
Mancini Griffoli, Tommaso; Ranaldo, Angelo - 2014
liquidity in dollars kept traders from arbitraging away excess profits. Risk factors, instead, are mostly insignificant …. Liquidity factors involve intermediaries cutting back loans to arbitrageurs in order to shrink their balance sheet, and hoarding … liquidity to cover their own funding strains. In addition, it seems that arbitrageurs themselves had insufficient pledge …
Persistent link: https://www.econbiz.de/10010407205
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The euro interbank repo market
Mancini, Loriano; Ranaldo, Angelo; Wrampelmeyer, Jan - 2014 - This version: March 2014
The search for a market design that ensures stable bank funding is at the top of regulators' policy agenda. This paper empirically shows that the central counterparty (CCP)-based euro interbank repo market features this stability. Using a unique and comprehensive data set, we show that the...
Persistent link: https://www.econbiz.de/10010410308
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Scarcity and Spotlight Effects on Liquidity : Quantitative Easing in Japan
Pelizzon, Loriana - 2018
We investigate the determinants of the term structures of bond yield and market liquidity in the context of the … (JGBs) show an improvement in liquidity through the spotlight effect but also experience a deterioration in liquidity … deterioration in liquidity …
Persistent link: https://www.econbiz.de/10012929473
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Scarcity and spotlight effects on liquidity and yield : quantitative easing in Japan
Pelizzon, Loriana; Subrahmanyam, Marti G.; Tobe, Reiko; … - 2018
Persistent link: https://www.econbiz.de/10013447882
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A high-frequency analysis of Bitcoin markets
Brauneis, Alexander; Mestel, Roland; Riordan, Ryan; … - 2018 - This version: October 24, 2018
Persistent link: https://www.econbiz.de/10011984113
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Liquidity dynamics in an electronic open limit order book : an event study approach
Gomber, Peter; Schweickert, Uwe; Theissen, Erik - In: European financial management : the journal of the … 21 (2015) 1, pp. 52-78
Persistent link: https://www.econbiz.de/10010516705