Showing 1 - 10 of 5,942
We model a financial market where some traders of a risky asset do not fully appreciate what prices convey about others' private information. Markets comprising solely such "cursed" traders generate more trade than those comprising solely rationals. Because rationals arbitrage distortions caused...
Persistent link: https://www.econbiz.de/10012928331
Persistent link: https://www.econbiz.de/10011622267
and in a formal regression analysis. -- Government bond spreads ; Eurozone ; senior tranche lending ; multiple equilibria …
Persistent link: https://www.econbiz.de/10009659917
graphically and in a formal regression analysis. -- government bond spreads ; Eurozone ; senior tranche lending ; multiple …
Persistent link: https://www.econbiz.de/10009630117
Exploring the period since the inception of the euro, we show that secondary-market yields on Italian public debt increase in anticipation of auctions of new issues and decrease after the auction, while no or a smaller such effect is present for German public debt. However, these yield movements...
Persistent link: https://www.econbiz.de/10013076026
bias downwards the correlation between yields and the amounts of bonds purchased. Simple regression of daily changes in …
Persistent link: https://www.econbiz.de/10013059119
daily price changes may bias downward the correlation between yields and the amounts of bonds purchased. Simple regressions …
Persistent link: https://www.econbiz.de/10012919240
We assess the yield impact of asset purchases within the ECB's Securities Markets Programme in five euro area sovereign bond markets during 2010-11. Identification is non-trivial and based on time series panel data regression on predetermined purchases and control covariates. In addition to...
Persistent link: https://www.econbiz.de/10013077031
Persistent link: https://www.econbiz.de/10010191221
Exploring the period since the inception of the euro, we show that secondary-market yields on Italian public debt increase in anticipation of auctions of new issues and decrease after the auction, while no or a smaller such effect is present for German public debt. However, these yield movements...
Persistent link: https://www.econbiz.de/10013315717