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Positive liquidity spillovers from sovereign bond-backed securities
Dunne, Peter G. - 2018
There are competing arguments about the likely effects of Sovereign Bond-Backed Securitisation on the liquidity of … sovereign bond markets. By analysing hedging and diversification opportunities, this paper shows that positive liquidity …
Persistent link: https://www.econbiz.de/10011848364
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ETF arbitrage under liquidity mismatch
Pan, Kevin; Zeng, Yao - 2017
A natural liquidity mismatch emerges when liquid exchange traded funds (ETFs) hold relatively illiquid assets. We … provide a theory and empirical evidence showing that this liquidity mismatch can reduce market efficiency and increase the … conflict is small, liquidity mismatch reduces the arbitrage capacity of ETFs; as the conflict increases, an inventory …
Persistent link: https://www.econbiz.de/10011978386
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Short-selling bans and bank stability
Beber, Alessandro; Fabbri, Daniela; Pagano, Marco; … - 2018
In both the subprime crisis and the euro-area crisis, regulators imposed bans on short sales, aimed mainly at preventing stock price turbulence from destabilizing financial institutions. Contrary to the regulators' intentions, financial institutions whose stocks were banned experienced greater...
Persistent link: https://www.econbiz.de/10011978462
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Insurers as asset managers and systemic risk
Ellul, Andrew; Jotikasthira, Chotibhak; Kartasheva, … - 2018
Financial intermediaries often provide guarantees that resemble out-of-the-money put options, exposing them to tail risk. Using the U.S. life insurance industry as a laboratory, we present a model in which variable annuity (VA) guarantees and associated hedging operate within the regulatory...
Persistent link: https://www.econbiz.de/10011978571
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Sovereign bond-backed securities : a VAR-for-VaR and marginal expected shortfall assessment
Sola Perea, Maite de; Dunne, Peter G.; Puhl, Martin; … - 2018
The risk reducing benefits of the sovereign bond-backed security (SBBS) proposal of Brunnermeier et al (2011, 2016, 2017) have been assessed in terms of the likely losses that different kinds of holders would suffer under simulated default scenarios. However, the effects of mark-to-market losses...
Persistent link: https://www.econbiz.de/10011848354
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Has the Grexit news affected euro area financial markets?
Gregori, Wildmer Daniel; Sacchi, Agnese - 2017
This paper investigates whether rumours about Greek exit from the euro area have spilled over into other European countries' sovereign bond yields. Our empirical analysis is based on more than 64,000 daily news items on Grexit between December 2014 and October 2015. We build a Grexit intensity...
Persistent link: https://www.econbiz.de/10012054687
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Moving towards a more dynamic business sector in Spain
González Pandiella, Alberto - 2014
Policy efforts to revitalise entrepreneurship and investment in Spain are key to generating growth and new jobs. The government has a substantial reform program to make it easier to do business in Spain, which should in some cases be deepened. Boosting economic growth requires a new generation...
Persistent link: https://www.econbiz.de/10010464863
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From bricks to brains : increasing the contribution of knowledge-based capital to growth in Ireland
Haugh, David - 2013
With sound framework conditions, fine universities, good infrastructure and policies friendly towards foreign direct investment, Ireland scores high in international innovation scoreboards. Overall, policies to boost innovation and entrepreneurship are on the right track, but investment in...
Persistent link: https://www.econbiz.de/10010231006
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Dark pools in European equity markets : emergence, competition and implications
Petrescu, Monica; Wedow, Michael - 2017
This paper considers the growth of dark pools: trading venues for equities without pre-trade transparency. It first …
Persistent link: https://www.econbiz.de/10011673614
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Arbitraging the Basel securitization framework : evidence from German ABS investment
Efing, Matthias - 2016
This paper provides evidence for regulatory arbitrage within the class of asset-backed securities (ABS) based on individual asset holding data of German banks. I find that banks operating with tight regulatory constraints exploit the low risk-sensitivity of rating-contingent capital requirements...
Persistent link: https://www.econbiz.de/10011975264