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A tale of four tails: Inflation, the policy rate, longer-term rates, and stock prices
Anene, Dominic; D'Amico, Stefania - 2017
We analyze empirical links between the perceived tail-risk of inflation, the policy rate, longer-term interest rates, and equity prices in the U.S. Their simultaneous changes enable us to distinguish between a systematic and "exogenous" response to monetary-policy news. And, those tail...
Persistent link: https://www.econbiz.de/10012030329
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Pitfalls of central clearing in the presence of systematic risk
Kubitza, Christian; Pelizzon, Loriana; Getmansky … - 2019
derivatives markets, and its interaction with systematic risk, portfolio directionality, and loss sharing. Previous studies …
Persistent link: https://www.econbiz.de/10012064310
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What do we really know about corporate hedging? A meta-analytical study
Geyer-Klingeberg, Jerome; Hang, Markus; Rathgeber, … - In: Business Research 11 (2018) 1, pp. 1-31
This paper employs meta-analysis to aggregate and systematically analyze the mixed empirical evidence on the determinants of corporate hedging reported in 132 previously published studies covering data from more than 73,000 firms. Among the fourteen proxy variables analyzed by multivariate...
Persistent link: https://www.econbiz.de/10011817089
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The pitfalls of central clearing in the presence of systematic risk
Kubitza, Christian; Pelizzon, Loriana; Getmansky, Mila - 2018
derivatives markets, and highlight that recent central clearing reforms might not incentivize market participants to clear … derivatives. …
Persistent link: https://www.econbiz.de/10011936020
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Hedging costs and joint determinants of premiums and spreads in structured financial products
Entrop, Oliver; Fischer, Georg - 2019
This paper is the first to analyze the joint determinants of premiums and spreads in structured financial products, while also focusing on issuers' hedging costs. We evaluate more than 396,000 single stock discount certificates on an intraday basis in the German secondary market. We find that...
Persistent link: https://www.econbiz.de/10011961047
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How dynamic hedging affects stock price movements: Evidence from German option and certificate markets
Fischer, Georg - 2019
We examine the impact of dynamic hedging demand of German option and discount certificate markets on the autocorrelation of German stock price changes. We theoretically model the demand of liquidity providers in the discount certificate market, a structured financial product with a concave...
Persistent link: https://www.econbiz.de/10011961048
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The Economics of Developing Security Embedded Software
Wright, Craig S; Zia, Tanveer A - 2010
Market models for software vulnerabilities have been disparaged in the past citing how these do little to lower the risk of insecure software. In this paper we argue that the market models proposed are flawed and not the concept of a market itself. A well-defined software risk derivative market...
Persistent link: https://www.econbiz.de/10009440801
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Model Uncertainty and Liquidity
Routledge, Bryan R; Zin, Stanley E. - 2009
market for mortgage backed securities or credit derivatives. Moreover, the observed behavior of traders and institutions that …
Persistent link: https://www.econbiz.de/10009441008
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INSTRUMENTOS DERIVATIVOS PARA O AGRONEGÓCIO: MISTIFICAÇÃO OU SOLUÇÃO?
Silva, Edwin Pinto De La Sota; Amaral, Carlos Antonio … - 2008
an approach to derivatives instruments used to temper or even eliminate them. To illustrate the use of these derivatives …
Persistent link: https://www.econbiz.de/10009442613
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Perceived Effectiveness of Responses to the Global Financial Crisis
Palmer, Sean - 2011
In 2007 an international financial crisis developed and specialised financial products known as credit derivatives … experts have suggested in controlling the perceived excesses of the credit derivatives industry. These solutions were then … critically examined, by interviewing financial experts who deal in credit derivatives, to determine whether these solutions are …
Persistent link: https://www.econbiz.de/10009447649