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Persistent link: https://www.econbiz.de/10011403233
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
This paper studies the effects of financial speculation on commodity futures returns, using publicly available data from the US Commodity Futures Trading Commission, aggregated by trader groups. We exploit the heteroskedasticity in the weekly data to identify exogenous variation in speculators'...
Persistent link: https://www.econbiz.de/10011619592
credit spreads during 2002-2012: a liquidity regime and a default regime. Both regimes contribute to the patterns observed in … credit spreads. The liquidity regime seems to explain the predictive power of credit risk on the 2007-2009 NBER recession …
Persistent link: https://www.econbiz.de/10013077480
Arbitrage and liquidity are interrelated. Liquidity facilitates arbitrageurs’ trading on deviations from the law of one … price. However, whether arbitrage opportunity leads to an increase or decrease in liquidity depends on the cause of the … deviation. A demand shock leads to greater liquidity, while asymmetric information is toxic to liquidity. We examine how …
Persistent link: https://www.econbiz.de/10014284282
information channels): when liquidity providers face higher funding constraints, liquidity spillovers across assets increase …Liquidity spillovers -- i.e., the transmissions of liquidity shocks from one asset to another -- are an important yet … not fully understood feature of price formation in financial markets. In this paper, I examine liquidity spillovers across …
Persistent link: https://www.econbiz.de/10013003036
correlate positively to calendar spread liquidity and constraints on intermediation capital. The strategy delivers low … risk. This rebalancing creates predictable demand for liquidity. We also apply the strategy to a group of commodities not …
Persistent link: https://www.econbiz.de/10013003136
fully adjusted the close out premium used to compute the CVA according to the Liquidity Risk. It is the first time that the … CVA is adjusted taking into account the Liquidity Market Risk.We innovate market liquidity risk methodologies, in order to … quantify this risk in the future to the close out premium. Therefore the CVA or Exposure will be function of our risk view or …
Persistent link: https://www.econbiz.de/10013007606
' liquidity both statistically and economically …
Persistent link: https://www.econbiz.de/10013032811
financially constrained firm with limited cash balance must hedge its liquidity with both futures and forward contracts and issue …
Persistent link: https://www.econbiz.de/10013034772