Showing 1 - 10 of 41
Persistent link: https://www.econbiz.de/10003913146
Despite major structural shifts in the international monetary system over the past six decades, the US dollar remains the dominant international reserve currency. Using a newly compiled database of individual economies' reserve holdings by currency, this departmental paper finds that financial...
Persistent link: https://www.econbiz.de/10012373227
We empirically document and theoretically investigate why non-dilutive CoCos are prevalent, even though advocates of CoCos suggest such securities should be dilutive to reduce bank risk-taking. In an agency model with two subsequent moral hazards, we show that while dilutive CoCos deter ex-ante...
Persistent link: https://www.econbiz.de/10013404892
We empirically document and theoretically investigate why non-dilutive CoCos are prevalent, even though advocates of CoCos suggest such securities should be dilutive to reduce bank risk-taking. In an agency model with two subsequent moral hazards, we show that while dilutive CoCos deter ex-ante...
Persistent link: https://www.econbiz.de/10014256422
Persistent link: https://www.econbiz.de/10014227371
In this paper, we empirically investigate the degree of systemic risk in the U.S. banking sector versus other industry sectors. We characterize the systemic risk in each sector by the lower tail dependence of stock returns. Our study differs from extant literature in three respects. First, we...
Persistent link: https://www.econbiz.de/10013143151
Persistent link: https://www.econbiz.de/10009375426
Persistent link: https://www.econbiz.de/10011392701
Persistent link: https://www.econbiz.de/10011869031
Using a comprehensive dataset of first, second and third generation commodity indices, we investigate the potential diversification benefits in equity-bond portfolios. The results show that first generation commodity indices are outperformed by enhanced indices. Second generation indices provide...
Persistent link: https://www.econbiz.de/10011879959