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The private production of safe assets
Kacperczyk, Marcin; Pérignon, Christophe; Vuillemey, … - 2018
Using high-frequency, granular panel data on short-term debt securities issued in Europe, we study the existence, empirical boundaries, and fragility of private assets' safety. We show that only securities with the shortest maturities, issued by banks (certificates of deposit, or CDs), benefit...
Persistent link: https://www.econbiz.de/10011951184
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The private production of safe assets
Kacperczyk, Marcin; Pérignon, Christophe; Vuillemey, … - 2017
Persistent link: https://www.econbiz.de/10011787951
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Tests for non-linear dynamics in systems of non-stationary economic time series : the case of short-term US interest rates
Jones, Barry E.; Nesmith, Travis D. - 1999
Persistent link: https://www.econbiz.de/10001443058
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Investor runs in wholesale funding markets : three essays
Thierfelder, Felix - 2014
Persistent link: https://www.econbiz.de/10010426637
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Introduction to m-m processes
Granger, C. W. J.; Hyung, Namwon - In: Journal of econometrics 130 (2006) 1, pp. 143-164
Persistent link: https://www.econbiz.de/10003228633
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Introduction to m-m processes
Granger, C. W. J.; Hyung, Namwon - 1998
Persistent link: https://www.econbiz.de/10000993944
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Introduction to M-M Processes
Granger, Clive W. J.; Hyung, Namwon - 1999
This paper introduces a new type of nonlinear model, the min-max model, and analyzes the properties for a pair of series. Stability conditions of this system are given for the nonlinearly integrated bivariate series. Under these stability conditions, the difference of the two series has a...
Persistent link: https://www.econbiz.de/10014204751
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The Forward Premium Puzzle and Latent Factors Day by Day
Bernoth, Kerstin - 2011
We use futures instead of forward rates to study the complete maturity spectrum of the forward premium puzzle from two … days to six months. At short maturities the slope coefficient is positive, but these turn negative as the maturity … decomposed into a contract-specific and a time-to-maturity effect. Once we do this, we find that the coefficients on the forward …
Persistent link: https://www.econbiz.de/10013119324
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The Forward Premium Puzzle and Latent Factors Day by Day
Bernoth, Kerstin - 2010
We use futures instead of forward rates to study the complete maturity spectrum of the forward premium puzzle from two … days to six months. At short maturities the slope coefficient is positive, but these turn negative as the maturity … decomposed into a contract-specific and a time-to-maturity effect. Once we do this, we find that the coefficients on the forward …
Persistent link: https://www.econbiz.de/10013141467
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Determinants of short-term debt : a note
Buch, Claudia M.; Lusinyan, Lusine - In: Journal of international financial markets, … 13 (2003) 2, pp. 157-170
Persistent link: https://www.econbiz.de/10001950039