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Monetary policy surprises, positions of traders, and changes in commodity futures prices

Gospodinov, Nikolaj; Jamali, Ibrahim - 2013

and speculators appears to be a channel through which the monetary policy shocks are propagated to commodity price changes. …

Persistent link: https://www.econbiz.de/10010201348

Does the Timing of Central Bank Announcements Matter? Trade-Level Data on Hedge Fund Behavior Before Swiss National Bank Meetings

Farrell, Diana - 2019

Just over three years after enacting a Minimum Exchange Rate policy for the Swiss Franc vs. Euro (EUR/CHF), the Swiss National Bank (SNB) removed it in a surprise announcement on January 15, 2015. The announcement shocked the FX market — EUR/CHF dropped 25.5 percent in the minutes that...

Persistent link: https://www.econbiz.de/10012890284

Dollar Shortage, Central Bank Actions, and the Cross Currency Basis

Bottazzi, Jean-Marc - 2012

In our model, cross-currency basis, which captures the deviations from covered interest rate parity (CIP), reflects the relative value of the scarcer currency (US dollar) as collateral in funding constraints. Our empirical evidence shows that measures of dollar shortage derived from ECB tenders,...

Persistent link: https://www.econbiz.de/10013098803

The transmission of monetary policy to the cost of hedging

Fengler, Matthias; Koeniger, Winfried; Minger, Stephan - 2024

and tail risk, and by affecting option market liquidity, including the bid-ask spread and market depth. Our estimates …

Persistent link: https://www.econbiz.de/10015158136

The transmission of monetary policy to the cost of hedging

Fengler, Matthias; Koeniger, Winfried; Minger, Stephan - 2024

and tail risk, and by affecting option market liquidity, including the bid-ask spread and market depth. Our estimates …

Persistent link: https://www.econbiz.de/10015175386

Implications for liquidity from innovation and transparency in the European corporate bond market

Laganá, Marco; Perina, Martin; von Köppen-Mertes, Isabel - 2006

This paper offers a new framework for the assessment of financial market liquidity and identifies two types: search … liquidity and systemic liquidity. Search liquidity, i.e. liquidity in “normal” times, is driven by search costs required for a … trader to find a willing buyer for an asset he/she is trying to sell or vice versa. Search liquidity is asset specific …

Persistent link: https://www.econbiz.de/10011606202

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

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

Can the Fed Control Inflation? Stock Market Implications

Andrei, Daniel; Hasler, Michael - 2022

This paper investigates how the stock market reacts to the Federal Reserve's ability to tame inflation through rate hikes. Since investors do not directly observe the speed at which rate hikes reduce inflation, they need to learn about it by observing inflation prints. When investors realize...

Persistent link: https://www.econbiz.de/10014239470

Origins and Resolution of Financial Crises; Lessons from the Current and Northern European Crises

Ostrup, Finn; Oxelheim, Lars; Wihlborg, Clas - 2009

Since July 2007 the world economy has experienced a severe financial crisis originating in the U.S. housing market. The crisis has subsequently spread to the financial sectors in European and Asian economies and led to a severe worldwide recession. The existing literature on financial crises...

Persistent link: https://www.econbiz.de/10010320249