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Implications of index arbitrage trading on monetary policy and financial valuation
Rainish, Robert M. - In: American business review 7 (1989) 2, pp. 1-5
Persistent link: https://www.econbiz.de/10001077573
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Central bank-driven mispricing
Pelizzon, Loriana; Subrahmanyam, Marti G.; Tomio, Davide; … - 2018 - This version: October 2018
We show that bond purchases undertaken in the context of quantitative easing efforts by the European Central Bank created a large mispricing between the market for German and Italian government bonds and their respective futures contracts. On top of the direct effect the buying pressure exerted...
Persistent link: https://www.econbiz.de/10012062155
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Central bank-driven mispricing
Pelizzon, Loriana; Subrahmanyam, Marti G.; Tomio, Davide; … - 2018 - This version: August 2018
We show that bond purchases undertaken in the context of quantitative easing efforts by the European Central Bank created a large mispricing between the market for German and Italian government bonds and their respective futures contracts. On top of the direct effect the buying pressure exerted...
Persistent link: https://www.econbiz.de/10011892699
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The effects of yield control monetary policy : a helicopter money drop to financial institutions
Jarrow, Robert A.; Lamichhane, Sujan - In: The quarterly journal of finance 10 (2020) 1, pp. 1-38
Persistent link: https://www.econbiz.de/10012423551
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Limits to arbitrage and interest rates : a debate among Keynes, Hawtrey, and Hicks
Brillant, Lucy - In: Journal of the history of economic thought 40 (2018) 3, pp. 335-351
Persistent link: https://www.econbiz.de/10011957636
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Interest on Reserves and Arbitrage in Post-Crisis Money Markets
Keating, Thomas; Macchiavelli, Marco - 2020
document several salient features of IOR arbitrage trades …
Persistent link: https://www.econbiz.de/10014093114
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Exploring the transmission mechanism of speculative and inventory arbitrage activity to commodity price volatility : novel evidence for the US economy
Yao, Wei; Alexiou, Constantinos - In: International review of financial analysis 80 (2022), pp. 1-19
Persistent link: https://www.econbiz.de/10013366201
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Drivers of structural change in cross-border banking since the global financial crisis
Bremus, Franziska; Fratzscher, Marcel - In: Journal of international money and finance 52 (2015), pp. 32-59
Persistent link: https://www.econbiz.de/10011490885
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Limits to arbitrage during the crisis : funding liquidity constraints and covered interest parity
Mancini Griffoli, Tommaso; Ranaldo, Angelo - 2014
Arbitrage ensures that covered interest parity holds. The condition is central to price foreign exchange forwards and … interbank lending rates, and reflects the efficient functioning of markets. Normally, deviations from arbitrage, if any, last … seconds and reach a few basis points. After the Lehman bankruptcy, instead, arbitrage profits were large, persisted for months …
Persistent link: https://www.econbiz.de/10010407205
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Market Segmentation and Limits to Arbitrage under Negative Interest Rates : Evidence from the Bank of Japan’s QQE
Hattori, Takahiro - 2019
This paper decomposes the bond yield into the segmentation factor using Japan's unique dataset. For controlling the channel of future expectation and the term premium, we take advantage of the government guaranteed bond, which is the identical asset as the government bond except the liquidity...
Persistent link: https://www.econbiz.de/10012901407