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Liquidity risk after 20 years
Pástor, Ľuboš; Stambaugh, Robert F. - 2019
Persistent link: https://www.econbiz.de/10012149923
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The Optimal Conduct of Central Bank Asset Purchases
Darracq Paries, Matthieu - 2017
We analyse the effects of central bank government bond purchases in an estimated DSGE model for the euro area. In the model, central bank asset purchases are relevant in so far as agency costs distort banks' asset allocation between loans and bonds, and households face transaction costs when...
Persistent link: https://www.econbiz.de/10012951375
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Optimal Liquidation in Dark Pools
Kratz, Peter - 2015
We consider a large trader liquidating a portfolio using a transparent trading venue with price impact and a dark pool with execution uncertainty. The optimal execution strategy uses both venues continuously, with dark pool orders over-/underrepresenting the portfolio size depending on return...
Persistent link: https://www.econbiz.de/10013010936
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A Financial Approach to Optimal Interest Rate Rules : Multiple Objectives and Asymmetries
Romaniuk, Katarzyna - 2010
The dominant approach to monetary policy builds on simple linear policy rules, assumed to describe the systematic response of central banks to various shocks. The last financial crisis has shown that in difficult times central banks follow more sophisticated strategies. We argue in this paper...
Persistent link: https://www.econbiz.de/10013146323
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The optimal conduct of central bank asset purchases
Darracq Pariès, Matthieu; Kühl, Michael - 2017
We analyse the effects of central bank government bond purchases in an estimated DSGE model for the euro area. In the model, central bank asset purchases are relevant in so far as agency costs distort banks' asset allocation between loans and bonds, and households face transaction costs when...
Persistent link: https://www.econbiz.de/10011685100
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The Optimal Conduct of Central Bank Asset Purchases
Darracq Paries, Matthieu - 2017
We analyse the effects of central bank government bond purchases in an estimated DSGE model for the euro area. In the model, central bank asset purchases are relevant in so far as agency costs distort banks asset allocation between loans and bonds, and households face transaction costs when...
Persistent link: https://www.econbiz.de/10012965539
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A New Approach for Modeling and Understanding Optimal Monetary Policy
Romaniuk, Katarzyna - 2010
Persistent link: https://www.econbiz.de/10013142771
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Are Unconventional Monetary Policies a Priced Risk Factor for Hedge Fund Strategies?
Guidolin, Massimo - 2020
Bank represent a risk factor for the hedge fund industry as a whole and for ten commonly used strategies in particular …. Using modified event studies and Markov switching models, we find that UMP announcements represent a risk factor for … through breaks in the parameters of the conventional risk factors. Using Chow and Bai-Perron tests, we find that for the …
Persistent link: https://www.econbiz.de/10012828359
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Crises and Uncertainty in the Economy
Ben Ameur, Hachmi (ed.); Ftiti, Zied (ed.);  … - 2022
Monetary Union -- 3. Macroeconomic-Financial Policies And Climate Change Nexus: Theory & Practices -- 4. Exchange Market … the Literature -- 12. How Accurate Are Risk Models During COVID-19 Pandemic Period? -- 13. What Does Matter The Climate … Change Risk On Agriculture Adaptation: Evidence From Southern Mediterranean Country. …
Persistent link: https://www.econbiz.de/10013503483
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Biweekly performance of low-risk anomalies over the FOMC cycle
Yun, Jaesun; Kwon, Kyungyoon - In: Finance research letters 58 (2023) 3, pp. 1-6
Persistent link: https://www.econbiz.de/10014631107