This paper shows empirically that match pass-through funding of covered bonds supported by strong creditor rights provides safe and liquid mortgage bonds. Despite a 30% drop in house prices during the 2008 crisis these mortgage bonds remained as liquid as comparable government bonds. The match...

We use analyst earnings forecasts for banks to extract cost of capital measures. We find that the cost of equity and debt capital are decreasing in the Tier 1 ratio, whereas the total cost of capital is uncorrelated with the Tier 1 ratio. These findings suggest that investors adjust their...

This feature analyses the market for OTC interest rate derivatives using data from the Triennial Central Bank Survey. Low and stable interest rates after the financial crisis went hand in hand with low but still positive turnover growth in most currencies. The increase was entirely driven by a...

The recent sovereign debt crisis in the euro area has seen credit spreads on sovereign bonds and credit default swaps (CDS) surge for a number of member states. While these events have increased interest in understanding the dynamics of sovereign spreads in bond and CDS markets, there is little...

In this paper we investigate whether cross-sectional information from local equity markets contained information on devaluation expectations during the Asian crisis. We concentrate on the information content of equity prices as these markets were in general the largest and most liquid at the...

The recent sovereign debt crisis in the euro area has seen credit spreads on sovereign bonds and credit default swaps (CDS) surge for a number of member states. While these events have increased interest in understanding the dynamics of sovereign spreads in bond and CDS markets, there is little...