Narrow search
Showing 1 - 10 of 19,213
Cover Image
Friction-induced interbank rate volatility under alternative interest corridor systems
Link, Thomas; Neyer, Ulrike - 2017
This paper proposes rules for the control of interbank rate volatility under different interest corridor systems when volatility stems from interbank market frictions. Friction-induced volatility will occur if there is heterogeneity in two dimensions (across banks and time) with respect to the...
Persistent link: https://www.econbiz.de/10011684762
Cover Image
Credit market competition and liquidity crises
Elena, Carletti; Leonello, Agnese - 2014
We develop a model where banks invest in reserves and loans, and face aggregate liquidity shocks. Banks with liquidity … financial stability. The structure of liquidity shocks affects the severity and the occurrence of crises, as well as the amount …
Persistent link: https://www.econbiz.de/10010249670
Cover Image
Liquidity Risk, Credit Risk and the Overnight Interest Rate Spread : A Stochastic Volatility Modelling Approach
Beirne, John - 2010
liquidity risk, credit risk (financial and sovereign), and interest rate expectations. Our results suggest that liquidity risk … fears. In addition, the ECB appears to have been more effective in addressing liquidity risk since the onset of the crisis …
Persistent link: https://www.econbiz.de/10013141038
Cover Image
Liquidity Risk, Credit Risk and the Overnight Interest Rate Spread : A Stochastic Volatility Modelling Approach
Beirne, John - 2013
liquidity risk, credit risk (financial and sovereign), and interest rate expectations. Our results suggest that liquidity risk … fears. In addition, the ECB appears to have been more effective in addressing liquidity risk since the onset of the crisis …
Persistent link: https://www.econbiz.de/10013094544
Cover Image
Day-to-Day Monetary Policy and the Volatility of the Federal Funds Interest Rate
Bartolini, Leonardo - 2006
We propose a model of the interbank money market with an explicit role for central bank intervention and periodic reserve requirements, and study the interaction of profit-maximizing banks with a central bank targeting interest rates at high frequency. The model yields predictions on biweekly...
Persistent link: https://www.econbiz.de/10012735689
Cover Image
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
Cover Image
Multivariate Dependence of Implied Volatilities from Equity Options as Measure of Systemic Risk
Jobst, Andreas (Andy) - 2013
This paper presents a methodology to examine the multivariate tail dependence of the implied volatility of equity options as an early warning indicator of systemic risk within the financial sector. Using non-parametric methods of estimating changes in the dependence structure in response to...
Persistent link: https://www.econbiz.de/10013089243
Cover Image
Euro Money Market Interest Rates Dynamics and Volatility : How They Respond to Recent Changes in the Operational Framework
Jardet, Caroline - 2010
At the beginning of 2004, the Eurosystem implemented several modifications of its operational framework and liquidity … liquidity management are responsible for a significant decrease in the interest rate volatility …
Persistent link: https://www.econbiz.de/10013136867
Cover Image
Money Market Volatility − A Simulation Study
Kempa, Michal - 2007
interest rate. The model combines profit maximising behaviour by commercial banks with the central bank supplying the liquidity … that keeps the market rate on target. It seems that frequent liquidity supplying operations represent an efficient tool to … in volatility and use of standing facilities disappear. The paper also compares two different liquidity supply policies …
Persistent link: https://www.econbiz.de/10014223773
Cover Image
Four essays on Financial market institutions, capital allocation and economic uncertainty
Littke, Helge - 2018
Persistent link: https://www.econbiz.de/10012018983