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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

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

Intraday patterns in FX returns and order flow

Breedon, Francis J.; Ranaldo, Angelo - In: Journal of money, credit and banking : JMCB 45 (2013) 5, pp. 953-965

Persistent link: https://www.econbiz.de/10010197597

Precious metals under the microscope : a high-frequency analysis

Caporin, Massimiliano; Ranaldo, Angelo; Velo, Gebriel G. - 2014

, volume, and selected liquidity measures. We find clear evidence of periodic patterns matching the trading hours of the most …

Persistent link: https://www.econbiz.de/10010407214

Understanding FX liquidity

Karnaukh, Nina; Ranaldo, Angelo; Söderlind, Paul - 2014 - This version: March 2014

We provide a comprehensive study of the liquidity of spot foreign exchange (FX) rates over more than two decades and a … large cross-section of currencies. First, we show that FX liquidity can be accurately measured with daily and readily …-available data. Second, we demonstrate that FX liquidity declines with funding constraints and global risk, supporting theoretical …

Persistent link: https://www.econbiz.de/10010410328

Unsecured and secured funding

Di Filippo, Mario; Ranaldo, Angelo; Wrampelmeyer, Jan - 2016

Persistent link: https://www.econbiz.de/10011686871

Intraday patterns in FX returns and order flow

Breedon, Francis J.; Ranaldo, Angelo - 2012

Using a comprehensive high-frequency foreign exchange dataset, we present evidence of time-of-day effects in foreign exchange returns through a significant tendency for currencies to depreciate during local trading hours. We confirm this pattern across a range of currencies and time zones. We...