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Monetary exchange in over-the-counter markets : a theory of speculative bubbles, the Fed model, and self-fulfilling liquidity crises

Lagos, Ricardo; Zhang, Shengxing - 2015

Persistent link: https://www.econbiz.de/10011349390

The impact of ECB macro-announcements on bid-ask spreads of European blue chips

Rühl, Tobias R.; Stein, Michael - In: Journal of empirical finance 31 (2015), pp. 54-71

Persistent link: https://www.econbiz.de/10011489337

The cost of new information : ECB macro announcement impacts on bid-ask spreads of European blue chips

Rühl, Tobias R.; Stein, Michael - 2013

Bid-ask spreads using intraday data reveal significant sensitivity to European Central Bank (ECB) macro announcements. Effects are strongest for announcements that comprise unexpected information or a change in interest rates, and spreads rise sharply during the minutes surrounding interest rate...

Persistent link: https://www.econbiz.de/10010211906

Regime-dependent determinants of the uncollateralised overnight rate : the interplay of operating procedure and market microstructure

A, Edwin Prabu; Bhattacharyya, Indranil - 2023

Persistent link: https://www.econbiz.de/10014315303

Flighty Liquidity

Boyarchenko, Nina - 2019

We study how the risks to future liquidity flow across corporate bond, Treasury, and stock markets. We document … distribution “flight-to-safety” effects: a deterioration in the liquidity of high-yield corporate bonds forecasts an increase in … the average liquidity of Treasury securities and a decrease in uncertainty about the liquidity of investment …

Persistent link: https://www.econbiz.de/10012897700