Showing 1 - 10 of 1,410
Using a vector error correction model I test whether shocks in the funding liquidity conditions in the U.S. and Europe separately explain deviations from the covered interest parity (CIP) between the U.S. Dollar and the Mexican Peso. I find that: (1) Apparent deviations from the CIP seem to be...
Persistent link: https://www.econbiz.de/10010370903
The Volume-Synchronized Probability of Informed trading (VPIN) metric is introduced by Easley, Lopez de Prado, and O'Hara (2011a) as a real-time indicator of order flow toxicity. They find the measure useful in monitoring order flow imbalances and conclude it may help signal impending market...
Persistent link: https://www.econbiz.de/10013067703
I provide evidence that financial contagion risk is an important source of the equity risk premium. Banks' contributions to aggregate financial contagion are estimated in a state space framework and linked to systemic risk. Greater bank connectedness today leads to increased systemic risk 3-12...
Persistent link: https://www.econbiz.de/10012973399
Aufgabe darin besteht, glaubwürdige Information für Investoren bereitzustellen. Drei Determinanten der Instabilität werden … Eigenkapitalstandards und eine notwendige Risikobegrenzung auf Derivatemärkten. -- Financial Crisis ; Information ; Regulation ; Banking …
Persistent link: https://www.econbiz.de/10003864312
participants at each stage of the securitization process to obtain easily full information about the underlying original risks and …
Persistent link: https://www.econbiz.de/10003815243
This paper investigates the information spillover effect of government bailouts. Analyzing money market funds' dynamic … variable approach. Overall, results show that investors extract useful information about financial institutions' underlying …
Persistent link: https://www.econbiz.de/10012938383
dynamic interactions between European and US stock markets. We are particularly interested in differences of information … bi-directional information transfer between the US and the European markets with a dominant flow from the US market …. During the crisis dynamic interactions increase. At the same time information flows from European markets increase. The US …
Persistent link: https://www.econbiz.de/10010240602
This paper investigates the relationship between negative news in financial newspapers and stock markets in times of global crisis, such as the 2008/2009 period. We analyzed one year of front page banner headlines of three financial newspapers, such as the Wall Street Journal, Financial Times,...
Persistent link: https://www.econbiz.de/10013105589
In this study, we propose an implied forward-looking measure for systemic risk that employs the information from put …
Persistent link: https://www.econbiz.de/10013237720
attempt to assess the potential impact of a selective sovereign default if worse came to worst. Yet finding that information …
Persistent link: https://www.econbiz.de/10013063273