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Persistent link: https://www.econbiz.de/10008668331
Using a novel and comprehensive dataset, we provide the first systematic study of liquidity in the foreign exchange (FX) market. Contrary to common perceptions, we find significant variation in liquidity across exchange rates, substantial costs due to FX illiquidity, and strong commonality in...
Persistent link: https://www.econbiz.de/10003971293
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This supplemental appendix extends the results in Mancini, Ranaldo, and Wrampelmeyer (2011), presenting additional analyses and robustness checks. It also describes the cleaning procedure of the EBS data, compares EBS to other datasets, and discusses the robust estimation of the price impact model
Persistent link: https://www.econbiz.de/10013091934
This paper provides the first systematic study of the temporal and cross-sectional variation in the forward premium in very short-term rates. Using a unique and comprehensive data set of European repurchase agreements (repo), we find that the forward premium varies significantly with the (net)...
Persistent link: https://www.econbiz.de/10012902787
Using trade repository data at transaction and ID levels, we provide the first systematic study of interest rate swaps traded over the counter in the new regulatory regime. We find substantial and persistent heterogeneity in derivatives prices consistent with a pass-through of regulatory costs...
Persistent link: https://www.econbiz.de/10012898467
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We propose and test a new channel that links funding liquidity risk and interest rates in short-term funding markets. Borrowers with high liquidity risk are willing to pay a markup to lock in their funding, independent of risk premiums demanded by lenders. We test the channel using unique...
Persistent link: https://www.econbiz.de/10012050871
We provide an asset pricing analysis of one of the main categories of near-money or safe assets,the repurchase agreement (repo). Heterogeneity in repo rates allows for a remunerative carry trade. The return on this carry trade, our carry factor, together with a market factor explain the temporal...
Persistent link: https://www.econbiz.de/10012050941