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,...

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...

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...

We study high-frequency trading (HFT) activities and their consequent price impacts on the ASX around RBA announcement. RBA announcement provides an ideal setting for studying the speed advantage of high-frequency traders (HFTs), as the announcement has significant impact on stock prices and...

In this paper we study the macroeconomic effects of introducing a retail central bank digital currency (CBDC). Using a two agent framework and endowment economy with banked and unbanked households, we show digital currencies address financial inclusion of the unbanked, by providing a savings...

This paper aims to identify the effect of monetary policy shocks on stock prices through the lens of Mundell and Fleming's “Impossible Trinity” theory. Our identification strategy seeks to solve the simultaneity and omitted variable problems inherent in studies that focus on the effect of...

We present evidence of significant bias in event studies that investigate the effect of U.S. monetary policy on U.S. stock prices. To overcome this bias, we propose a new identification method based on the "Impossible Trinity" theory which argues that an economy with a fixed exchange rate and...

This paper attempts to identify how monetary policy shocks affect stock prices by using Mundell and Fleming's theory of the "Impossible Trinity". According to this theory, it is impossible to simultaneously have a fixed exchange rate, free capital movement (an absence of capital controls), and...

We provide evidence that the ECB's unconventional monetary policy dampens yield cycles in secondary Eurozone sovereign debt markets around new sovereign debt auctions. This effect increases in market volatility. Cycles caused by domestic auctions and the role of market volatility are largest...

We address the determination of bitcoin prices and decentralized security. Users forecast the transactional and resale value of holdings, pricing the risk of malicious systemic attacks. Miners contribute resources to protect against attackers, competing for block rewards. Bitcoin's design leads...