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Copeland, Adam; Duffie, Darrell; Yang, Yilin - 2021

that repo rate spikes are strongly associated with delayed intraday payments of reserves to these large bank holding …The Federal Reserve's "balance-sheet normalization," which reduced aggregate reserves between 2017 and September 2019 …. Substantially higher aggregate levels of reserves than existed in the period leading up to September 2019 would likely have …

Persistent link: https://www.econbiz.de/10012703467

Informational asymmetries in laboratory asset markets with state-dependent fundamentals

Keser, Claudia; Markstädter, Andreas - 2014

We investigate the formation of market prices in a new experimental setting involving multi-period call-auction asset markets with state-dependent fundamentals. We are particularly interested in two informational aspects: (1) the role of traders who are informed about the true state and/or (2)...

Persistent link: https://www.econbiz.de/10010427139

Bedingte Aktiengeschäfte

Dilger, Alexander - 2016

Bedingte Aktiengeschäfte sind solche, die nur bei Eintritt einer Bedingung wirksam werden, z. B. bei einer Übernahme oder der Wahl eines bestimmten Vorstandsvorsitzenden. Damit lassen sich Alternativen bewerten und Entscheidungen besser treffen.

Persistent link: https://www.econbiz.de/10011536171

Order Flow and the Formation of Dealer Bids: An Analysis of Information and Strategic Behavior in the Government of Canada Securities Auctions

Sareen, Samita; Hortacsu, Ali - 2004

Using data on Government of Canada securities auctions, this paper shows that in countries where direct access to primary issuance is restricted to government securities dealers, Order-flow" information is a key source of private information for these security dealers. Order-flow information is...

Persistent link: https://www.econbiz.de/10011325019

A market microstructure analysis of foreign exchange intervention

Vitale, Paolo - 2006

We formulate a market microstructure model of exchange determination we employ to investigate the impact of foreign exchange intervention on exchange rates and on foreign exchange (FX) market conditions. With our formulation we show i) how foreign exchange intervention influences exchange rates...

Persistent link: https://www.econbiz.de/10011604675

Explaining exchange rate dynamics: the uncovered equity return parity condition

Cappiello, Lorenzo; De Santis, Roberto A. - 2005

By employing Lucas’ (1982) model, this study proposes an arbitrage relationship – the Uncovered Equity Return Parity (URP) condition – to explain the dynamics of exchange rates. When expected equity returns in a country/region are lower than expected equity returns in another...

Persistent link: https://www.econbiz.de/10011604575

Competing with asking prices

Lester, Benjamin; Visschers, Ludo; Wolthoff, Ronald - 2013

In many markets, sellers advertise their good with an asking price. This is a price at which the seller is willing to take his good off the market and trade immediately, though it is understood that a buyer can submit an offer below the asking price and that this offer may be accepted if the...

Persistent link: https://www.econbiz.de/10010291458

Optimal design of tokenized markets

Lee, Michael Junho; Martin, Antoine; Townsend, Robert M. - 2024

Trades in today's financial system are inherently subject to settlement uncertainty. This paper explores tokenization as a potential technological solution. A token system, by enabling programmability of assets, can be designed to eradicate settlement uncertainty. We study the allocations...

Persistent link: https://www.econbiz.de/10015097002

Financial system architecture and technological vulnerability

Erol, Selman; Lee, Michael Junho - 2024

This paper presents a framework to study the technological resiliency of financial system architecture. Financial market infrastructures, or platforms, compete with services that play critical functions along various stages in the lifecycle of a trade, and make investments in technological...

Persistent link: https://www.econbiz.de/10015097149

Matching for Credit: Identifying information asymmetries in joint-liability lending

Klein, Thilo - 2024

Microcredit, a financial tool providing uncollateralized loans to low-income individuals, has seen a shift from joint-liability (JL) to individual liabil- ity (IL) lending models. This article tests a theory explaining this shift, focusing on borrowers matching into groups exposed to similar...

Persistent link: https://www.econbiz.de/10015211873