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Bretscher, Lorenzo; Schmid, Lukas; Sen, Ishita; Sharma, … - 2020

We compile a rich dataset that links institutional investors' position level holdings with corporate bond characteristics and estimate demand elasticities with respect to critical sources of risk. Persistence in institutions' holdings provide us with an instrument to isolate exogenous movements...

Persistent link: https://www.econbiz.de/10012421461

Liquidity Risk and Solvency II

Gaspar, Raquel M. - 2010

that insurance companies hold. Until very recently and within the scope of Solvency II, liquidity risk was only considered … under Pillar II, i.e. the proposal was that insurance companies should perform a mere qualitative evaluation of it. Nowadays … Portuguese insurance sector, using actual portfolio holdings. The main empirical findings confirm liquidity risk is an important …

Persistent link: https://www.econbiz.de/10013135255

Impact of a low interest rate environment : global liquidity spillovers and the search-for-yield

Belke, Ansgar - 2013

necessity of supervision of pension funds and the insurance sector are derived. The paper also assesses the investment …

Persistent link: https://www.econbiz.de/10010255176

Impact of a low interest rate environment : global liquidity spillovers and the search-for-yield

Belke, Ansgar - 2013

necessity of supervision of pension funds and the insurance sector are derived. The paper also assesses the investment …

Persistent link: https://www.econbiz.de/10010533181

Insurance Companies and the Propagation of Liquidity Shocks to the Real Economy

Liu, Yubo - 2020

We study the role of insurance companies in propagating liquidity shocks to the real economy. We use natural disasters … Katrina, which triggered large, unexpected redemptions of property-insurance contracts, prompting exposed insurers to sell … disaster-exposed insurers cause low GDP growth and high unemployment. Our results indicate that insurance companies propagate …

Persistent link: https://www.econbiz.de/10012827830

Insurance companies as liquidity providers : The case of corporate-bond mutual funds

Aramonte, Sirio; Mano, Nicola - 2022

demand liquidity, and insurance companies, which hold large amounts of corporate bonds. They often trade in opposite …

Persistent link: https://www.econbiz.de/10014361293

Marking to Market, Liquidity and Financial Stability

Plantin, Guillaume; Sapra, Haresh; Shin, Hyun Song - 2010

This paper explores the financial stability implications of mark-to-market accounting, in particular its tendency to amplify financial cycles and the "reach for yield". Market prices play a dual role. Not only do they serve as a signal of the underlying fundamentals and the actions taken by...

Persistent link: https://www.econbiz.de/10014047345

Notes on Bonds : Illiquidity Feedback During the Financial Crisis

Musto, David K. - 2017

We trace the evolution of extreme illiquidity discounts among Treasury securities during the financial crisis, when bond prices fell more than six percent below more-liquid but otherwise identical notes. Using high-resolution data on market quality and trader identities and characteristics, we...

Persistent link: https://www.econbiz.de/10012971490

Cyclical Variations in Liquidity Risk of Corporate Bonds

Anténor-Habazac, Cassandre - 2018

We study regime switching features of liquidity risk in corporate bond premiums. Within a sample period ranging from July 2002 to April 2015, we first compute a liquidity risk index for BBB bonds, which considers various liquidity risk facets based on principal component analysis. Second, we...

Persistent link: https://www.econbiz.de/10012919085

Middlemen Matter : Corporate Bond Market Liquidity and Dealer Inventory Funding

Rapp, Andreas C. - 2019

Corporate bond dealers build up considerable inventories for which they rely on short-term funding. I provide empirical evidence that dealers' inventory financing constraints are a crucial determinant of the costs of their liquidity provision in corporate bond markets. Constructing a unique...

Persistent link: https://www.econbiz.de/10012902675