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Trends in credit market arbitrage
Boyarchenko, Nina; Gupta, Pooja; Steele, Nick; Yen, … - 2016
Market participants and policymakers alike were surprised by the large, prolonged dislocations in credit market arbitrage trades during the second half of 2015 and the first quarter of 2016. In this paper, we examine three explanations proposed by market participants: increased idiosyncratic...
Persistent link: https://www.econbiz.de/10011538014
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Negative swap spreads
Boyarchenko, Nina; Gupta, Pooja; Steele, Nick; Yen, … - In: Economic policy review 24 (2018) 2, pp. 1-14
Persistent link: https://www.econbiz.de/10012214321
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Trends in credit basis spreads
Boyarchenko, Nina; Gupta, Pooja; Steele, Nick; Yen, … - In: Economic policy review 24 (2018) 2, pp. 15-37
Persistent link: https://www.econbiz.de/10012214334
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Trends in credit market arbitrage
Boyarchenko, Nina; Gupta, Pooja; Steele, Nick; Yen, … - 2016 - Revised July 2016
Market participants and policymakers alike were surprised by the large, prolonged dislocations in credit market arbitrage trades during the second half of 2015 and the first quarter of 2016. In this paper, we examine three explanations proposed by market participants: increased idiosyncratic...
Persistent link: https://www.econbiz.de/10011515933
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Trends in Credit Market Arbitrage
Boyarchenko, Nina - 2017
Market participants and policymakers alike were surprised by the large, prolonged dislocations in credit market arbitrage trades during the second half of 2015 and the first quarter of 2016. In this paper, we examine three explanations proposed by market participants: increased idiosyncratic...
Persistent link: https://www.econbiz.de/10012968693