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Scarcity effects of QE : a transaction-level analysis in the Bund market

Schlepper, Kathi; Hofer, Heiko; Riordan, Ryan; … - 2017

Persistent link: https://www.econbiz.de/10011752683

Scarcity effects of QE : a transaction-level analysis in the Bund market

Schlepper, Kathi; Riordan, Ryan; Hofer, Heiko; … - 2017

impact on liquidity conditions as measured by bid-ask spreads and inter-dealer order book depth. We further show that the …

Persistent link: https://www.econbiz.de/10011632212

Non-monetary news in central bank communication

Cieślak, Anna; Schrimpf, Andreas - 2018

Persistent link: https://www.econbiz.de/10011980084

Monetary policy's rising FX impact in the era of ultra-low rates

Ferrari, Massimo; Kearns, Jonathan; Schrimpf, Andreas - 2017 - This version: 7th April 2017

Persistent link: https://www.econbiz.de/10011752680

Non-monetary news in central bank communication

Cieślak, Anna; Schrimpf, Andreas - 2018

Persistent link: https://www.econbiz.de/10011916050

Monetary policy's rising FX impact in the era of ultra-low rates

Ferrari, Massimo; Kearns, Jonathan; Schrimpf, Andreas - 2017

Persistent link: https://www.econbiz.de/10011654420

Covered interest parity arbitrage

Rime, Dagfinn; Schrimpf, Andreas; Syrstad, Olav - 2019

Persistent link: https://www.econbiz.de/10012130967

Debt de-risking

Cutura, Jannic; Parise, Gianpaolo; Schrimpf, Andreas - 2020

We examine the incentive of corporate bond fund managers to manipulate portfolio risk in response to competitive pressure. We find that bond funds engage in a reverse fund tournament in which laggard funds actively de-risk their portfolios, trading-off higher yields for more liquid and safer...

Persistent link: https://www.econbiz.de/10012238855

Constrained liquidity provision in currency markets

Huang, Wenqian; Ranaldo, Angelo; Schrimpf, Andreas; … - 2024

We devise a simple model of liquidity demand and supply to deepen the understanding of dealers’ liquidity provision in …' intermediation capacity is constrained the cost of liquidity provision increases disproportionately relative to dealer …-intermediated volume. Thus, the otherwise strong and positive relation between liquidity costs and trading volume effectively shrinks to …

Persistent link: https://www.econbiz.de/10014460793

Non-bank financial intermediaries and financial stability

Aramonte, Sirio; Schrimpf, Andreas; Shin, Hyun Song - 2021 - This version: October 27, 2021

Persistent link: https://www.econbiz.de/10012798253