This paper estimates the factors underlying the volatility of the euro overnight interest rate and its transmission …'s operational framework for monetary policy implementation. Strong persistence is detected in all log-volatility processes and and …. the second factor explains the transmission of volatility along the money market yield curve. We find evidence that most …

When people share risk in financial markets, intermediaries provide costly enforcement for most trades and, hence, are … an integral part of financial marketsu0092 organization. We assess the degree of risk sharing that can be achieved … allow for optimal risk sharing as long as markets are complete, default is prevented in equilibrium and intermediaries …

With the overarching objective of reducing systemic risk, EMIR introduces the obligation to clear certain classes of …

With the overarching objective of reducing systemic risk, EMIR introduces the obligation to clear certain classes of …

monetary policy actions of the European Central Bank (ECB). In particular, this paper focuses on the asymmetries in bond market …

The competition between a central securities depository (CSD) and a custodian bank is analysed in a Stackelberg model …. The CSD sets its prices first, the custodian bank follows. There are many investor banks each of which has to decide … whether to use the service of the CSD or of the custodian bank. This decision depends on the prices and the investor bank …