This study examines volatility spillover dynamics among the S&P 500 index, the US 10-year Treasury yield, the US dollar index futures and the commodity price index. The focus of the study is to analyze effects of Fed's unconventional monetary policy on the US financial markets. We use realized...

This paper investigates the links between regulatory arbitrage, financial instability, and taxpayer loss exposures. We model and estimate ex ante safety-net benefits from increased leverage and asset volatility at a sample of large banks in US and Europe during 2003-2008. Hypothesis tests...

In this paper we model and estimate ex ante safety-net benefits at a sample of large banks in US and Europe during 2003-2008. Our results suggest that difficult-to-fail and unwind (DFU) banks enjoyed substantially higher ex ante benefits than other institutions. Safety-net benefits prove...

This paper evaluates the effect of all European economic news releases to the US financial markets, for the main crisis period from June 2007 up to October 2011. Evaluation concerns Sharpe ratios, as well as magnitude and frequency of volatility jumps for the periods before and after a news...

Since July 2007, the developed countries faced the most serious and disruptive crisis after the 1929 Great Depression. As the crisis unfolded, policy authorities stepped in to support troubled financial institutions with large bailouts. This prevented a meltdown of the system, but at the cost of...

We analyze the impact of financial crises and monetary policy on the supply of wholesale funding liquidity, and also on the compositional supply effects through cross-border and relationship lending. For empirical identification, we draw on the proprietary bank-to-bank European interbank dataset...

I study rollover risk in the wholesale funding market when intermediaries can hold liquidity ex ante and are subject to fire sales ex post. Precautionary liquidity restores multiple equilibria in a global rollover game. An intermediate liquidity level supports both the usual run equilibrium and...

This paper examines whether investors receive compensation for holding crash-sensitive stocks. We capture the crash sensitivity of stocks by their lower tail dependence (LTD) with the market based on copulas. We find that stocks with strong LTD have higher average future returns than stocks with...

Using a semi-supervised topic model on 7,000,000 New York Times articles spanning 160 years, we test whether topics of media discourse predict future stock and bond market returns to test rational and behavioral hypotheses about market valuation of disaster risk. Focusing on media discourse...

We analyze the daily positions of 31 foreign Central Banks in U.S. interest rate futures markets between 2003 and 2011 for targeted hedging or informed profit-making decisions. Central Bank positions before the financial crisis of 2007-2009 are consistent with hedging some underlying balance...