We analyse the effects of prudential regulation on short-term interest rates. The European Market Infrastructure Regulation (EMIR) induces clearing houses (CCPs) to supply large amounts of cash in reverse repurchase agreements (repos). Basel III, in contrast, disincentivises the borrowing demand...

Using trade repository data at transaction and ID levels, we provide the first systematic study of interest rate swaps traded over the counter in the new regulatory regime. We find substantial and persistent heterogeneity in derivatives prices consistent with a pass-through of regulatory costs...

We propose a new method to estimate the bid-ask spread when quote data are not available. Compared to other low-frequency estimates, this method utilizes a wider information set, namely, readily available close, high, and low prices. In the absence of end-of-day quote data, this method generally...

The Swiss Treasury has used the sealed-bid, uniform-price auction format for allocating government bonds since 1980. In this study, we examine the authorities' motivation for choosing the uniform-price auction. In addition, we describe how the institutional set-up evolved over time. It includes...

In this paper we analyze high-frequency movements in Swiss asset markets in reaction to real-time communication by the Swiss National Bank. Our analysis of central bank communication encompasses monetary policy announcements, speeches and interviews. We examine the reactions of the currency...

This supplemental appendix extends the results in Mancini, Ranaldo, and Wrampelmeyer (2015) by presenting additional analyses and robustness checks. It also describes the procedure to construct proxies for the volume-weighted average haircuts applied by the ECB and Eurex Repo.The paper "The Euro...

The Internet Appendix discusses details, additional results and robustness checks on the paper.The paper "Understanding FX Liquidity" to which these Appendices apply is available at the following URL: "http://ssrn.com/abstract=2329738" http://ssrn.com/abstract=2329738

The credit risk of the sovereign affects the financial health of its banking sector and vice versa, creating an adverse feedback loop known as “sovereign- bank nexus”. We show that Quantitative Easing can effectively mitigate the sovereign-bank nexus. Our results indicate that the ECB’s...

Although designed to support monetary policy, two crucial aspects of the central bank framework can disconnect the monetary policy transmission: banks' access to central bank deposits and Quantitative Easing (QE). We show how both hinder the monetary policy transmission through the main...