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The crisis of fair value accounting: Making sense of the recent debate
Laux, Christian; Leuz, Christian - 2009
The recent financial crisis has led to a vigorous debate about the pros and cons of fair-value accounting (FVA). This debate presents a major challenge for FVA going forward and standard setters' push to extend FVA into other areas. In this article, we highlight four important issues as an...
Persistent link: https://www.econbiz.de/10010303740
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Market Liquidity in the Financial Crisis : The Role of Liquidity Commonality and Flight-to-Quality
Rösch, Christoph G. - 2012
We examine the dynamics and the drivers of market liquidity during the financial crisis, using a unique volume …-weighted spread measure. According to the literature we find that market liquidity is impaired when stock markets decline, implying a … positive relation between market and liquidity risk. Moreover, this relationship is the stronger the deeper one digs into the …
Persistent link: https://www.econbiz.de/10013113003
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The crisis of fair value accounting: Making sense of the recent debate
Laux, Christian; Leuz, Christian - Center for Financial Studies - 2009
The recent financial crisis has led to a vigorous debate about the pros and cons of fair-value accounting (FVA). This debate presents a major challenge for FVA going forward and standard setters' push to extend FVA into other areas. In this article, we highlight four important issues as an...
Persistent link: https://www.econbiz.de/10010958757
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Fire buys of central bank collateral assets
Roure, Calebe de - 2017
In times of financial distress, central banks provide unlimited liquidity to avoid fire sales. In response, banks raise … investigate how unlimited liquidity provision affects collateral prices. Also, I match banks' trades with their balance sheet and … show how funding liquidity impacts premia payment. I quantify the Fire Buy premium to be 15.6 bps; and the Risk …
Persistent link: https://www.econbiz.de/10011587096
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The Quest for Stability: The View of Financial Institutions
Blommestein, Hans J.; Hoogduin, Lex H.; Peeters, … - 2010
On September 3-4, 2009 SUERF and Utrecht University School of Economicsorganized the Colloquium "The Quest for Stability" in Utrecht, the Netherlands. The papers included in this SUERF Study are based on contributions to the Colloquium.
Persistent link: https://www.econbiz.de/10011689944
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The crisis of fair value accounting : making sense of the recent debate
Laux, Christian; Leuz, Christian - 2009
; Liquidity ; Financial crisis ; Banks ; Procyclicality …
Persistent link: https://www.econbiz.de/10003864294
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Did fair-value accounting contribute to the financial crisis?
Laux, Christian; Leuz, Christian - 2009
; Financial Institutions ; Liquidity ; Financial Crisis, Banks ; Financial Regulation ; Procyclicality ; Contagion …
Persistent link: https://www.econbiz.de/10003909310
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Capital constraints, counterparty risk, and deviations from covered interest rate parity
Coffey, Niall; Hrung, Warren B.; Sarkar, Asani - 2009 - Rev.
reduce the funding liquidity risk of global institutions. -- Covered interest rate parity ; funding constraints …
Persistent link: https://www.econbiz.de/10003947651
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Global crises and equity market contagion
Bekaert, Geert; Ehrmann, Michael; Fratzscher, Marcel - 2011
Using the 2007-2009 financial crisis as a laboratory, we analyze the transmission of crises to country-industry equity portfolios in 55 countries. We use an asset pricing framework with global and local factors to predict crisis returns, defining unexplained increases in factor loadings as...
Persistent link: https://www.econbiz.de/10009380410
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Financial crises and information transfer : an empirical analysis of the lead-lag relationship between equity and CDS iTraxx Indices
Ehlers, Stefan; Gürtler, Marc; Olboeter, Sven - 2010
This study examines the lead-lag-relationship between European equity and CDS markets in the context of the financial crisis. Previous research identified the stock market to lead the CDS market in an ordinary economic environment. Against the background of our study this lead-lag-relationship...
Persistent link: https://www.econbiz.de/10009487609