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An affine multifactor model with macro factors for the German term structure: Changing results during the recent crises
Halberstadt, Arne; Stapf, Jelena - 2012
less at the short end as compared to longer maturities in times of crisis. A liquidity stress factor included in the macro …
Persistent link: https://www.econbiz.de/10010310656
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Equity capital, bankruptcy risk and the liquidity trap
Levintal, Oren - 2012
This paper explains the emergence of liquidity traps in the aftermath of large-scale financial crises, as happened in … long time. -- liquidity trap ; financial crisis ; rare disasters ; equity capital ; leverage ; bankruptcy risk …
Persistent link: https://www.econbiz.de/10009535806
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The price of money : now collateral policy affects the yield curve
Nyborg, Kjell G.; Woschitz, Jiri - 2021
Central-bank collateral policy governs the convertibility of assets into central-bank money provided directly by the central bank. Focusing on government bonds, we develop clean identification of variation in such convertibility by exploiting differential treatment of same-country government...
Persistent link: https://www.econbiz.de/10012799625
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Measuring Market Expectations
Baumeister, Christiane - 2021
Asset prices are a valuable source of information about financial market participants.expectations about key macroeconomic variables. However, the presence of time-varying risk premia requires an adjustment of market prices to obtain the market's rational assessment of future price and policy...
Persistent link: https://www.econbiz.de/10012658011
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Measuring market expectations
Baumeister, Christiane - 2021
Asset prices are a valuable source of information about financial market participants.expectations about key macroeconomic variables. However, the presence of time-varying risk premia requires an adjustment of market prices to obtain the market’s rational assessment of future price and policy...
Persistent link: https://www.econbiz.de/10012622575
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Unconventional monetary policy and funding liquidity risk
Avernas, Adrien d'; Vandeweyer, Quentin; Darracq … - 2020
This paper investigates the efficiency of various monetary policy instruments to stabilize asset prices in a liquidity … dynamics. Increasing the supply of reserves reduces liquidity risk in the traditional banking sector, but fails to reach the …
Persistent link: https://www.econbiz.de/10012137673
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ECB monetary operations and the interbank repo market
Dunne, Peter G.; Fleming, Michael J.; Zholos, Andrey - 2013
We examine the relationship between monetary policy operations and interbank borrowing and lending of funds using sovereign bonds as collateral. We first establish that, in the precrisis period, there are important but rather weak relations between these funding sources and that this...
Persistent link: https://www.econbiz.de/10010222894
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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
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Theory and empirics of an affine term structure model applied to European data
Jakas, Vicente - Volkswirtschaftliche Fakultät, … - 2011
The basic asset pricing equation is adapted to include the effects of unemployment, consumers’ expectations, the price level and money supply on money market rates and government bond yields. Expected consumption growth is modelled using European unemployment figures and Eurostat Consumer...
Persistent link: https://www.econbiz.de/10009418500
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Was there a « Greenspan Conundrum » in the Euro area?
LAMÉ, G. - Département des Études Économiques d'Ensemble (D3E), … - 2013
This paper implements an affine term structure model that accommodates "unspanned" macro risks for the Euro area, i.e. distinct from yield-curve risks. I use an averaging-estimator approach to obtain a better estimation of the historical dynamics of the pricing factors, thus providing more...
Persistent link: https://www.econbiz.de/10010732233