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Does SOFR-linked debt cost borrowers more than LIBOR-linked debt?
Klingler, Sven; Syrstad, Olav - 2023
We investigate if the benchmark transition from London Interbank Offered Rate (Libor) to Secured Overnight Financing Rate (SOFR) affects the costs of borrowing floating rate debt. The primary market for dollar-denominated floating rate notes (FRNs) provides an ideal laboratory to study these e...
Persistent link: https://www.econbiz.de/10014551704
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Interdependencies between mining costs, mining rewards and blockchain security
Ciaian, Pavel; Kancs, D'Artis; Rajcaniova, Miroslava - 2021
This paper studies to what extent the cost of operating a proof-of-work blockchain is intrinsically linked to the cost of preventing attacks, and to what extent the underlying digital ledger's security budgets are correlated with the cryptocurrency market outcomes. We theoretically derive an...
Persistent link: https://www.econbiz.de/10012939244
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Why and how to integrate liquidity risk into a VaR-framework
Stange, Sebastian; Kaserer, Christoph - 2008
We integrate liquidity risk measured by the weighted spread into a Value-at-Risk (VaR) framework. The weighted spread measure extracts liquidity costs by order size from the limit order book. We show that it is precise from a risk perspective in a wide range of clearly defined situations. Using...
Persistent link: https://www.econbiz.de/10010305731
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Non-market interaction in primary equity markets: evidence from France and Germany
Stolpe, Michael - 2004
This paper provides micro-econometric evidence on the relevance of non-market interaction for the timing of initial public offerings (IPOs) in the French and German primary equity markets. The surge of IPO volume in the late 1990s appears to be consistent with rational expectations, not with...
Persistent link: https://www.econbiz.de/10010265432
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Agent-based financial markets and New Keynesian macroeconomics: A synthesis
Lengnick, Matthias; Wohltmann, Hans-Werner - 2010
used to reduce volatility and distortion of the macroeconomic aggregates. …
Persistent link: https://www.econbiz.de/10010302700
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Short-Selling Bans around the World: Evidence from the 2007-09 Crisis
Beber, Alessandro; Pagano, Marco - 2010
liquidity, especially for stocks with small market capitalization,high volatility and no listed options; (ii) slowed down price …
Persistent link: https://www.econbiz.de/10010325910
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Unterschiedliche Markteinschätzungen von Spekulanten als Determinante des Rohölpreises
Möbert, Jochen - 2009
Bis zum Amtsantritt von Gary Gensler ging die US Commodity Futures Trading Commission von einem geringen Einfluss der Spekulanten auf den Rohölpreis aus, während nun eine Neubewertung stattfindet.Dieser Artikel misst die Aktivität der Spekulanten mit Hilfe von Variablen der wöchentlichen...
Persistent link: https://www.econbiz.de/10010302112
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Do speculators drive crude oil prices? Dispersion in beliefs as a price determinant
Möbert, Jochen - 2009
dispersion in beliefs influences both crude oil prices and price volatility. …
Persistent link: https://www.econbiz.de/10010302113
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Recent Developments in Financial Economics and Econometrics: An Overview
Chang, Chia-Lin; Allen, David; McAleer, Michael - 2013
liquidity shock, separating information maximum likelihood estimation of the integrated volatility and covariance with micro …, with evidence from listed firms in Taiwan, pricing options on stocks denominated in different currencies, with theory and … illustrations, EVT and tail-risk modelling, with evidence from market indices and volatility series, the economics of data using …
Persistent link: https://www.econbiz.de/10010326212
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Stock prices, uncertainty and risks: Evidence from developing and advanced economies
Sánchez-Gabarre, Mary Elena - In: European Journal of Government and Economics (EJGE) 9 (2020) 3, pp. 265-279
, stock market volatility, and geopolitical risks. In particular, our aim is to determine whether these forms of uncertainty … volatility, which impact negatively in share prices, both in the short and long term. Regarding Brazil, the global uncertainty in …
Persistent link: https://www.econbiz.de/10014551556