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The Real-Time Impact of ECB Press Conferences on Financial Markets

Ulrich, Maxim - 2019

We present a new methodology to trace the information flow of communication events: Using the captions of press conference webcasts and textual analysis tools we fully automatically create timestamps for the different information content which can then be used to study the respective real-time...

Persistent link: https://www.econbiz.de/10012864697

Liquidity Risk, Market Valuation, and Bank Failures

Wu, Deming - 2012

We propose a model that links the conditional probability of bank failure to insolvency and liquidity risks, and show … that liquidity risk affects bank failures through systematic and idiosyncratic channels. Empirical results based on U … systematic liquidity risk was a major predictor of bank failures in 2008 and 2009. This finding has important implications for …

Persistent link: https://www.econbiz.de/10013097835

Should Central Banks Prick Asset Price Bubbles? An Analysis Based on a Financial Accelerator Model with an Agent-Based Financial Market

Vasilenko, Alexey - 2018

This paper studies whether and how the central bank should prick asset price bubbles, if the effect of interest rate policy on bubbles can significantly vary across periods. For this purpose, I first construct a financial accelerator model with an agent-based financial market that can...

Persistent link: https://www.econbiz.de/10012932004

Joint extreme events in equity returns and liquidity and their cross-sectional pricing implications

Ruenzi, Stefan; Ungeheuer, Michael; Weigert, Florian - 2020 - This version: January 2020

We merge the literature on downside return risk and liquidity risk and introduce the concept of extreme downside … liquidity (EDL) risks. The cross-section of stock returns reflects a premium if a stock's return (liquidity) is lowest at the … same time when the market liquidity (return) is lowest. This effect is not driven by linear or downside liquidity risk or …

Persistent link: https://www.econbiz.de/10012175486

Stock Market Reaction to Fed Funds Rate Surprises : State Dependence and the Financial Crisis

Saggu, Aman - 2015

This paper examines the response of US stock returns to Federal Funds rate (FFR) surprises between 1989 and 2012, focusing on the impact of the recent financial crisis. We find that outside the crisis period, stock prices increased as a response to unexpected FFR cuts. State dependence is...

Persistent link: https://www.econbiz.de/10013020193

Monetary conditions, financial markets and asset price dynamics

Drescher, Christian - 2014 - neue Ausg

Persistent link: https://www.econbiz.de/10010339269

Using financial markets to estimate the macro effects of monetary policy : an impact-identified FAVAR

Pitschner, Stefan - 2013

In this paper, I use high-frequency financial market estimates to identify the monetary policy shock in a non-recursive 133 variable FAVAR. All restrictions are imposed exclusively on impact, and only on financial market variables. Using the economy's underlying factor structure as the link...

Persistent link: https://www.econbiz.de/10009760371

A tractable model of indirect asset liquidity

Herrenbrueck, Lucas; Geromichalos, Athanasios - 2015

Assets have "indirect liquidity" if they cannot be used as media of exchange, but can be traded to obtain a medium of … liquidity, provides closed form solutions for real and nominal assets, and discusses properties of the solutions. Some of these … for teaching concepts from monetary theory. …

Persistent link: https://www.econbiz.de/10011429961

The impact of macroeconomic factors on the German stock market : evidence for the crisis, pre- and post-crisis periods

Celebi, Kaan; Hönig, Michaela - In: International Journal of Financial Studies : open … 7 (2019) 2/18, pp. 1-13

Today we live in a post-truth and highly digitalized era characterized by a flow of (mis-) information around the world. Identifying the impact of this information on stock markets and forecasting stock returns and volatilities has become a much more difficult task, perhaps almost impossible....

Persistent link: https://www.econbiz.de/10012039605

How Risk-Mitigating Are the ECB's Unconventional Monetary Policy Announcements? Evidence from Risk-Neutral Densities

Frommherz, Anja - 2016

In the aftermath of the financial crisis in 2008 and over the course of the European debt crisis, the ECB announced a number of unconventional monetary policy implementations with the aim of restoring confidence in the functioning of the European financial system. This paper studies the effect...

Persistent link: https://www.econbiz.de/10012979804

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