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Unconventional Monetary Policy and Funding Liquidity Risk

d'Avernas, Adrien - 2020

dynamics. Increasing the supply of reserves reduces liquidity risk in the traditional banking sector, but fails to reach the …This paper investigates the efficiency of various monetary policy instruments to stabilize asset prices in a liquidity … shadow banking sector. When the shadow banking sector is large, as in the US in 2008, the central bank can further stabilize …

Persistent link: https://www.econbiz.de/10012844931

Disastrous Defaults

Gourieroux, Christian - 2020

We define a disastrous default as the default of a systemic entity. Such an event is expected to have a negative effect on the economy and to be contagious. Bringing macroeconomic structure to a noarbitrage asset-pricing framework, we exploit prices of disaster-exposed assets (credit and equity...

Persistent link: https://www.econbiz.de/10012823414

Macro Factors in Corporate Bond Credit and Liquidity Spreads

Guo, Biao - 2019

spreads, and corporate bond liquidity spreads in a unified no-arbitrage framework. Four economic factors, monetary conditions …. During the pre-crisis period, volatility shocks decrease Treasury yields and widen both credit spreads and liquidity spreads … and real output become significant as well. Ignoring the liquidity component of corporate yield spreads is shown to lead …

Persistent link: https://www.econbiz.de/10012896270

Credit and Liquidity in Interbank Rates : A Quadratic Approach

Dubecq, Simon - 2016

incorporate credit and liquidity risks. Indeed, a bank that lends on the unsecured market requires compensations for facing (a … us to decompose the whole term structure of spreads into credit and liquidity components. Our no-arbitrage econometric … recent easing in the euro interbank market comes from a decrease in liquidity-related risk premia …

Persistent link: https://www.econbiz.de/10013007148

Disastrous Defaults

Gourieroux, Christian - 2020

We define a disastrous default as the default of a systemic entity, which has a negative effect on the economy and is contagious. Bringing macroeconomic structure to a no-arbitrage asset pricing framework, we exploit prices of disaster-exposed assets (credit and equity derivatives) to extract...

Persistent link: https://www.econbiz.de/10012852194

What does the CDS market imply for a U.S. default?

Benzoni, Luca; Cabanilla, Christian; Cocco, Alessandro; … - 2023 - Revised: May 17, 2023

As the debt ceiling episode unfolds, we highlight a sharp increase in activity across the U.S. credit default swaps (CDS) market and infer the likelihood of a U.S. default from these market prices. Beginning in January 2023, we document a significant increase in U.S. CDS trading activity and...

Persistent link: https://www.econbiz.de/10014249852

Stock Market Liquidity and Macro-Liquidity Shocks : Evidence from the 2007-2009 Financial Crisis

Florackis, Chris - 2014

We develop an empirical framework that links micro-liquidity, macro-liquidity and stock prices. We provide evidence of … a strong link between macro-liquidity shocks and the returns of UK stock portfolios constructed on the basis of micro-liquidity … measures between 1999-2012. Specifically, macro-liquidity shocks, which are extracted on the meeting days of the Bank of …

Persistent link: https://www.econbiz.de/10013067362

Asset-liability management with ultra-low interest rates

Grossman, Richard S.; Molyneux, Philip; Lambert, Frederic; … - Conference on Asset-Liability Management with Ultra-Low …; … - 2015

On 11 March 2015, SUERF jointly organised a conference with the Oesterreichische Nationalbank and the Austrian Society for Bank Research (Bankwissenschaftliche Gesellschaft - BWG). The present SUERF Study 2015/2 includes a selection of papers based on the authors' contributions to the Vienna...

Persistent link: https://www.econbiz.de/10011413495

Liquidity and market efficiency : alive and well?

Liikanen, Erkki; Jylhä, Petri; Pennacchi, George G.; … - Joint Conference with the Bank of Finland in Helsinki …; … - 2015

liquidity and market efficiency. The one-day program consisted of an opening speech, six presentations, including three keynotes …

Persistent link: https://www.econbiz.de/10011414459

Going below zero - how do banks react?

Michaelis, Henrike - 2022

Exploiting confidential data on individual German bank balance-sheets, I analyse what characterises a bank that opts to apply negative interest rates to corporate deposits. The results suggest that banks that are highly exposed to the negative interest rate policy (NIRP), i.e. funded by a larger...

Persistent link: https://www.econbiz.de/10013361902