February 27, The Development of Securities Markets: Trends, Risks and Policies Università Bocconi
|
|
- Calvin Andrews
- 5 years ago
- Views:
Transcription
1 February 27, 2015 The Development of Securities Markets: Trends, Risks and Policies Università Bocconi
2 Motivation Credit risk is a significant factor in the determination of the market liquidity. At the same time, liquidity concern is closely connected to credit risk of issuers as well as market participants. It is complex relationship. Our study is unique: it presents empirical evidences on the dynamic relationship between credit risk and market liquidity, exploiting the time series evolution of credit risk, rather than cross sectional differences in credit ratings other studies focused on. In addition, we study the effects of the ECB interventions on this relation. The Euro zone sovereign crisis provides us with an unusual laboratory to study the interaction between credit risk and illiquidity.
3 Italian Sovereign Bond market We focus on the Italian sovereign bond market which faces the Euro zone crisis in July Italy has the largest sovereign bond market in the Euro zone (and the third largest in the world after the US and Japan). It has a large number of bond issues with a wide variety of characteristics. Hence, the Italian sovereign bond market is best suited to an in depth analysis of the illiquidity effects of the Euro zone crisis We employ the time series of various liquidity metrics, and CDS spreads as a measure of credit quality, to analyze the liquidity of Italian sovereign bonds during the period from June 1, 2011 to December 31, 2012.
4 ITALIAN AND GERMAN 10-YEAR BOND YIELD AND SPREAD Time-series of the Italian and German bond yields spread for 10-year maturity, the Italian CDS spread and BTP-10Y yield. Our analysis period covers the two highest spikes in the CDS spread and BTP-Bund spread pattern. 2/23
5 EVOLUTION OF THE BID-ASK AND CDS SPREAD Spikes in the quoted bid-ask spread (blue) overlap with spikes in the CDS spread (Red). 3/23
6 EVOLUTION OF THE BID-ASK AND CDS SPREAD Spikes in the quoted bid-ask spread (blue) overlap with spikes in the CDS spread (Red). 3/23
7 Hypothesis H1: Credit risk is a significant factor in the determination of the market (A) Liquidity of Italian sovereign bonds. The dynamic relationship between credit risk and market liquidity Asymmetric information channel Inventory channel Internal and BIS risk management the market makers perception of credit risk = counter party risk (B) The relation is non linear in the creditworthiness of the Government the market makers perception of credit risk = counter party risk H2: The interventions of the central bank affect the dynamic relationship between credit risk and market liquidity. H3: Both global systemic risk factors and the funding liquidity of the primary dealers have an effect on the market liquidity of the bonds, after controlling for credit risk,.
8 Findings: Contribution H1: A strong and dynamic relationship between Italian sovereign credit risk and market liquidity in the secondary sovereign bond market. The change in credit risk leads changes in market liquidity, not vice versa. The relationship is stronger when the CDS spread is above 500 bp. H2: The strength of the relationship diminishes after the announcement of the LTRO by the ECB on December 8, H3: Other global market and funding liquidity risk factors affect market liquidity. Funding costs specific to the primary dealers adversely affects market liquidity
9 Literature The existing literature has highlighted the theoretical relationship between credit risk and market liquidity, as well as that between funding liquidity and market liquidity (see Brunnermeier and Pedersen (2009)) in a general setting. Theoretical Background: Inventory models, Amihud and Mendelson '80, Ho and Stoll '80; Funding liquidity: Brunnermeier and Pedersen '09. Papers on the market liquidity of the US Treasury bond market: Fleming, Remolona '99, Fleming '03, Goyenko, Subrahmanyam, and Ukhov '11 Paper on the liquidity of the corporate bond market: Friewald, Jankowitsch,Subrahmanyam '12, Dick Nielsen, Feldhuetter, and Lando '12 Papers on Euro zone sovereign bonds: Beber, Brandt, Kavajecz '08, Cheung, de Jong, Rindi '05
10 THE DATA GRANULARITY AND MARKET STRUCTURE MTS, Mercato dei Titoli di Stato, is an Electronic, Inter-Dealer market. Large share of interdealer market Dealer to Retail client: not covered. Primary Dealers and Price takers From June 2011: Trade-by-Trade data. Order-by-Order data, uniquely linked to the trades. Every quote, every update, un-netted. Until June 2011: Trade-by-Trade, best 3 quotes prices and quantities. We calculate a series of liquidity measures. Quoted Spread: Best ask-best bid per 100e of face value. Quoted Quantity: Quantity quoted at any level of the bid and ask, in Million e. Lambda: How much a trader would move the best price when trading 15 Me Eective Bid-Ask Spread: 2* Share-weighted average price - relevant best price. 7/23
11 THE DATA BONDS COMPOSITION AND MARKET VOLUME We cover all 152 Italian sovereign bonds between June 11 and December 12 (=406 days). Variable Mean 5th Pct Median 95th Pct Trades Volume(be) Quoted Spread (e/100e) Italian CDS (bps) Median market daily volume is 2 billion e. US treasury market: 500 Billion$. US muni: 15 Billion$. Similar to US securitized xed income and corporate bond markets. We employ several liquidity measures. This presentation: Quoted Spread. CDS spread increased nearly threefold in the sample. 8/23
12 THE DATA BONDS COMPOSITION AND MARKET VOLUME We cover all 152 Italian sovereign bonds between June 11 and December 12 (=406 days). Variable Mean 5th Pct Median 95th Pct Trades Volume(be) Quoted Spread (e/100e) Italian CDS (bps) Median market daily volume is 2 billion e. US treasury market: 500 Billion$. US muni: 15 Billion$. Similar to US securitized xed income and corporate bond markets. We employ several liquidity measures. This presentation: Quoted Spread. CDS spread increased nearly threefold in the sample. 8/23
13 THE DATA BONDS COMPOSITION AND MARKET VOLUME We cover all 152 Italian sovereign bonds between June 11 and December 12 (=406 days). Variable Mean 5th Pct Median 95th Pct Trades Volume(be) Quoted Spread (e/100e) Italian CDS (bps) Median market daily volume is 2 billion e. US treasury market: 500 Billion$. US muni: 15 Billion$. Similar to US securitized xed income and corporate bond markets. We employ several liquidity measures. This presentation: Quoted Spread. CDS spread increased nearly threefold in the sample. 8/23
14 THE DATA BONDS COMPOSITION AND MARKET VOLUME We cover all 152 Italian sovereign bonds between June 11 and December 12 (=406 days). Variable Mean 5th Pct Median 95th Pct Trades Volume(be) Quoted Spread (e/100e) Italian CDS (bps) Median market daily volume is 2 billion e. US treasury market: 500 Billion$. US muni: 15 Billion$. Similar to US securitized xed income and corporate bond markets. We employ several liquidity measures. This presentation: Quoted Spread. CDS spread increased nearly threefold in the sample. 8/23
15 H1: CREDIT RISK AFFECTS LIQUIDITY THE DEVELOPMENT AND TESTING OF THE HYPOTHESIS Credit risk to aect liquidity through two channels: Microstructure: The higher the risk of an asset, the greater its illiquidity Asymmetry of information Inventory models VaR: Internal and external risk control constraints The model in He and Milbradt (2014) shows that credit risk could depend on market liquidity. In order to establish the causality direction(s) in the relationship we perform a Granger-causality analysis: ( QSt ) ( ) ( KQS a111 a 121 = + CDS t K CDS a 211 a ( a113 a 123 a 213 a 223 ) ( ) QSt 3 CDS t 3 We consider log-changes of the variables. ) ( ) ( QSt 1 a112 a CDS t 1 a 212 a 222 ) ( ) QSt 2 CDS t 2 ( ) ( ) ( ) a11p a 12P QSt P ɛqst a 21P a 22P CDS t P ɛ CDSt 9/23
16 H1: CREDIT RISK AFFECTS LIQUIDITY THE GRANGER-CAUSALITY TEST Variable BA t CDS t Intercept BA t *** CDS t *** 0.266*** BA t * CDS t * BA t *** CDS t Granger Causality Tests BA GC CDS CDS GC BA 5.189***. Strong statistical support for one-directional relationship. 10/23
17 H1: CREDIT RISK AFFECTS LIQUIDITY THE IMPULSE RESPONSE FUNCTIONS Impulse Response from BidAskSpread Impulse Response from CDS CDS CDS BidAskSpread BidAskSpread % Bootstrap CI, 5000 runs 95 % Bootstrap CI, 5000 runs 11/23
18 H1: CREDIT RISK AFFECTS LIQUIDITY THE LIQUIDITY REGRESSION Given the VAR results, we decide to focus on the liquidity regression and its dynamics. M N BASpread t = α 0 + α i BASpread t i + β j CDS t j + ɛ t i=1 j=0 Variable Intercept BA t *** *** *** *** CDS t *** *** ** ** CDS t *** *** *** CDS t Adj R Like in the VAR analysis, strongly signicant statistical and economical eect. 12/23
19 H1: CREDIT RISK AFFECTS LIQUIDITY THE LIQUIDITY REGRESSION Given the VAR results, we decide to focus on the liquidity regression and its dynamics. M N BASpread t = α 0 + α i BASpread t i + β j CDS t j + ɛ t i=1 j=0 Variable Intercept BA t *** *** *** *** CDS t *** *** ** ** CDS t *** *** *** CDS t Adj R Like in the VAR analysis, strongly signicant statistical and economical eect. 12/23
20 H1: CREDIT RISK AFFECTS LIQUIDITY THE NONLINEARITY IN THE CDS LEVEL We expect a structural shift in the relation between credit risk and liquidity: Margins in the REPO market depend on credit quality Dierent credit rating means dierent investors Similar to grouping corporate bonds by credit rating We estimate the threshold ˆγ 0 that minimizes the sum of squared residual of the following regression: BASpread t =α 0 + α 1 BASpread t 1 + β 0 CDS t + β 1 CDS t 1 +I [CDS γ 0 ] ( α 0 + α 1 BASpread t 1 + β 0 CDS t + β 1 CDS t 1 ) + ɛ t The test HT (γ, ˆγ 0 ) developed by Hansen (2001) has a pivotal non-standard distribution which allows us to calculate condence intervals for ˆγ 0. We estimate ˆγ 0 and calculate HT (γ, ˆγ 0 ), for the null H 0 : γ = ˆγ 0, which is drawn in the next slide as a function of γ. 13/23
21 H1: CREDIT RISK AFFECTS LIQUIDITY THE NONLINEARITY IN THE CDS LEVEL Hansen Test: Modication of the Likelihood Ratio Test Presence of a threshold at 500bp in the CDS spread: Statistical (see Hansen 2001): bp is the 5% condence interval Investment Grade: 500bp is the CDS level for junk-bonds also for CCP's Margins: LCH.Clearnet documents cite 500 bps. Market participants' comments 14/23
22 H1: CREDIT RISK AFFECTS LIQUIDITY THE NONLINEARITY IN THE CDS LEVEL Hansen Test: Modication of the Likelihood Ratio Test Presence of a threshold at 500bp in the CDS spread: Statistical (see Hansen 2001): bp is the 5% condence interval Investment Grade: 500bp is the CDS level for junk-bonds also for CCP's Margins: LCH.Clearnet documents cite 500 bps. Market participants' comments 14/23
23 H1: CREDIT RISK AFFECTS LIQUIDITY THE NONLINEARITY IN THE CDS LEVEL - TWO SUBSETS CDS t Below 500bp Intercept BA t *** *** *** *** CDS t 0.72 ** ** CDS t *** *** *** CDS t Adj R CDS t Above 500bp Intercept BA t *** *** *** *** CDS t 3.64 *** 3.78 *** *** *** CDS t CDS t Adj R Relationships between changes in the CDS spread and liquidity are dierent below and above 500bp: Larger economic impact: a 10% increase in CDS Five-fold increase Below 500bp: 7% increase in Quoted Spread Above 500bp: 36% increase in Quoted Spread Dierent dynamics Below 500bp: Lagged reaction Above 500bp: Contemporaneous reaction 15/23
24 H1: CREDIT RISK AFFECTS LIQUIDITY THE NONLINEARITY IN THE CDS LEVEL - TWO SUBSETS CDS t Below 500bp Intercept BA t *** *** *** *** CDS t 0.72 ** ** CDS t *** *** *** CDS t Adj R CDS t Above 500bp Intercept BA t *** *** *** *** CDS t 3.64 *** 3.78 *** *** *** CDS t CDS t Adj R Relationships between changes in the CDS spread and liquidity are dierent below and above 500bp: Larger economic impact: a 10% increase in CDS Five-fold increase Below 500bp: 7% increase in Quoted Spread Above 500bp: 36% increase in Quoted Spread Dierent dynamics Below 500bp: Lagged reaction Above 500bp: Contemporaneous reaction 15/23
25 H1: CREDIT RISK AFFECTS LIQUIDITY THE NONLINEARITY IN THE CDS LEVEL - TWO SUBSETS CDS t Below 500bp Intercept BA t *** *** *** *** CDS t 0.72 ** ** CDS t *** *** *** CDS t Adj R CDS t Above 500bp Intercept BA t *** *** *** *** CDS t 3.64 *** 3.78 *** *** *** CDS t CDS t Adj R Relationships between changes in the CDS spread and liquidity are dierent below and above 500bp: Larger economic impact: a 10% increase in CDS Five-fold increase Below 500bp: 7% increase in Quoted Spread Above 500bp: 36% increase in Quoted Spread Dierent dynamics Below 500bp: Lagged reaction Above 500bp: Contemporaneous reaction 15/23
26 H2: CENTRAL BANK INTERVENTIONS AFFECT THE CREDIT RISK - MARKET LIQUIDITY RELATIONSHIP Euro-zone nancial regulators took actions which we expect to aect the credit-liquidity relationship EU bail-outs. ECB Monetary interventions: SMP, LTRO, OMT. Draghi's The ECB is ready to do whatever it takes to preserve the Euro and, believe me, it will be enough. The ECB can aect market liquidity through 3 channels: Purchase of bonds on the market Provide liquidity to the banks Moral Suasion 16/23
27 H2: CENTRAL BANK INTERVENTIONS AFFECT THE CREDIT RISK - MARKET LIQUIDITY RELATIONSHIP Structural break for: BA t = CDS t BA t = CDS t 1 Evidence of structural break on December 8, 2011 Statistical (Chow (1960) test) Announcement date of LTRO I Sample split 17/23
28 H2: CENTRAL BANK INTERVENTIONS AFFECT THE CREDIT RISK - MARKET LIQUIDITY RELATIONSHIP Estimating the same equation for the three subsamples: Before 8/12/2011 Before 8/12/2011 After 8/12/2011 Variable CDS<500bp CDS>500bp Intercept BA t ** *** CDS t *** CDS t *** ** 0.553** Adj R Dierent economic impact: a 10% increase in CDS Below 500: 18% increase in Quoted Spread Above 500: 58% increase in Quoted Spread In 2012: 5% increase in Quoted Spread 18/23
29 H2: CENTRAL BANK INTERVENTIONS AFFECT THE CREDIT RISK - MARKET LIQUIDITY RELATIONSHIP Estimating the same equation for the three subsamples: Before 8/12/2011 Before 8/12/2011 After 8/12/2011 Variable CDS<500bp CDS>500bp Intercept BA t ** *** CDS t *** CDS t *** ** 0.553** Adj R Dierent economic impact: a 10% increase in CDS Below 500: 18% increase in Quoted Spread Above 500: 58% increase in Quoted Spread In 2012: 5% increase in Quoted Spread 18/23
30 H3: MARKET LIQUIDITY IS DRIVEN BY MARKET AND FUNDING RISK FACTORS. Do global factors have an eect on the liquidity of the Italian bond market? Global systemic factors impact liquidity through risk-aversion and inventory concerns: Cost and availability of funding liquidity (Euribor-Eonia, Eonia-DeTBill, CCBSS) Appetite for risk (USVIX) Funding Liquidity: DiEuribor: FLrt,τ = Mi=1 r i,t,τ M ˆr t,τ Can we disentangle market-wide liquidity concerns and market-maker specic liquidity concerns? Brunnermeier and Pedersen (2009) show how funding liquidity aects market liquidity. Higher margins will have market-wide eect on market liquidity. 19/23
31 H3: MARKET LIQUIDITY IS DRIVEN BY MARKET AND FUNDING RISK FACTORS. To test the funding liquidity hypothesis, we replicate the previous regression, including a cohort of macro variables and proceed in a general-to-specic fashion. Variable Below 500, 2011 Above 500, Intercept BA t *** *** BA t *** BA t *** *** CDS t *** CDS t *** ** ** Euribor-Eonia t **. CCBSS t ** *** DiEuribor t **.. Adj R /23
32 ROBUSTNESS CHECKS We verify the robustness of our results through a series of robustness checks: Go Go Go Go Go Other Liquidity Measures: Repeat the analysis with alternative liquidity measures. Yield volatility as driving force: MMS literature indicates volatility as a fundamental determinant of liquidity, we include it in the VAR. Contemporaneous volatility: The eect could be on the contemporaneous volatility vs. liquidity. Unknown break date: The Chow test refers to a specic break date, the supwald is more suitable for unknown break date. Longer time series: Other breakpoints could be present if a longer time series was considered. 21/23
33 THE CONCLUSIONS Strong negative eect of credit risk on market liquidity (with no feedback eect). CDS-Liquidity linkage is stronger and faster when the CDS level rises above 500 bp. The relationship is weaker after the Central Bank intervention. 22/23
34 THE CONCLUSIONS Policy implications: Euro-zone national treasuries: to understand the dynamic nature of the relationship between credit risk, global risk factors and market liquidity, which has strong consequences for the pricing of their issues in the auctions as well as in secondary markets. ECB: to understand the impact of the unconventional instruments of new monetary policy and focus on the market's perceptions of sovereign credit risk. The introduction of the LTRO program, providing short-term liquidity to banks, shows that the channel from bank bailout to sovereign risk could be reversed: oering liquidity to banks may improve the market liquidity of sovereign bonds and also indirectly reduce sovereign risk! Market regulators (the national central banks or European market regulators such as ESMA): to identify the main factors that aect sovereign bonds' market liquidity in the Euro area. Bank regulators: to improve their tools for monitoring both bank capital adequacy and liquidity risk. Changes in bank regulation impact market liquidity, close coordination between regulators may prevent strong negative externalities. 23/23
35 Thank you for your attention!
36 ROBUSTNESS CHECKS OTHER LIQUIDITY MEASURES Back The results are robust to the choice of liquidity variable. Variable All Sample Below 500 Above 500 <500bp >500bp T=2011 T=2012 Dependent Variable: Quoted Quantity, QQ t Intercept QQ t *** *** *** ** ** *** QQ t *** *** * *** QQ t *** ** ** *** CDS t * *** ** CDS t * * R Dependent Variable: Lambda, λ t Intercept λ t *** *** *** *** ** *** λ t *** *** ** *** λ t *** *** *** *** *** λ t ** *** *** *** CDS t *** *** CDS t ** 1.542** ** * R
37 ROBUSTNESS CHECKS OTHER LIQUIDITY MEASURES Back The results are robust to the choice of liquidity variable. Variable All Sample Below 500 Above 500 <500bp >500bp T=2011 T=2012 Dependent Variable: Quoted Quantity, QQ t Intercept QQ t *** *** *** ** ** *** QQ t *** *** * *** QQ t *** ** ** *** CDS t * *** ** CDS t * * R Dependent Variable: Lambda, λ t Intercept λ t *** *** *** *** ** *** λ t *** *** ** *** λ t *** *** *** *** *** λ t ** *** *** *** CDS t *** *** CDS t ** 1.542** ** * R
38 ROBUSTNESS CHECKS RESULTS WITH VOLATILITY Back Only the credit risk Granger-causes the other measures. Variable BA t CDS t σ 2 t Intercept BA t *** ** CDS t *** *** σ 2 t *** BA t ** CDS t * σ 2 t *** BA t * CDS t σ 2 t *** BA t CDS t * σ 2 t *** Granger Causality Tests BA GC CDS + σ CDS GC BA + σ *** σ 2 GC CDS + BA 0.34
39 ROBUSTNESS CHECKS RESULTS WITH VOLATILITY Back The parameters' magnitude is widely unchanged by the inclusion of the contemporaneous yield volatility. Variable Below 500, 2011 Above 500, Intercept CDS t ** 2.82 *** CDS t *** ** *** BA t *** BA t *** BA t *** ** σ 2 t *** *** *** Adj R-Sq
40 ROBUSTNESS CHECKS SUP-WALD STRUCTURAL BREAK Back The supwald test indicates December 8th as breakpoint. A second breakpoint can be found when the CDS crosses the 500bp threshold. F statistics F statistics AveF= 17.05*** P=0.000 Time Time SupF = 23.39** P=0.013
41 ROBUSTNESS CHECKS LONGER TIME SERIES Our results are robust to using a longer time series (July 10-December12): The lag-selection leads the same result. The Granger causality is just as sigicant. We nd the same structural break. Back
Sovereign Credit Risk, Liquidity and ECB Intervention: Deus ex Machina?
Sovereign Credit Risk, Liquidity and ECB Intervention: Deus ex Machina? Loriana Pelizzon Marti G Subrahmanyam Davide Tomio Jun Uno First draft: September 2013. Abstract We study the interaction between
More informationSovereign Credit Risk, Liquidity and ECB Intervention: Deus ex Machina?
Sovereign Credit Risk, Liquidity and ECB Intervention: Deus ex Machina? Loriana Pelizzon Marti G Subrahmanyam Davide Tomio Jun Uno First draft: September 2013. Abstract This paper explores the interaction
More informationSovereign Credit Risk, Liquidity, and ECB Intervention: Deus ex Machina?
Sovereign Credit Risk, Liquidity, and ECB Intervention: Deus ex Machina? Loriana Pelizzon Marti G Subrahmanyam Davide Tomio Jun Uno This draft: November 2013. Abstract We explore the interaction between
More informationTHE TERM STRUCTURE OF BOND MARKET LIQUIDITY
THE TERM STRUCTURE OF BOND MARKET LIQUIDITY Ruslan Goyenko, University Avanidhar Subrahmanyam, Andrey Ukhov, ON-the-Run vs OFF-the-Run Treasury market illiquidity literature focus: on-the-run ( Fleming
More informationThe Microstructure of the European Sovereign Bond Market: A Study of the Euro-zone Crisis
The Microstructure of the European Sovereign Bond Market: A Study of the Euro-zone Crisis Loriana Pelizzon Marti G Subrahmanyam Davide Tomio Jun Uno March 2013. First draft: February 2013. Abstract We
More informationSovereign credit risk, liquidity, and European Central Bank intervention: Deus ex machina?
Sovereign credit risk, liquidity, and European Central Bank intervention: Deus ex machina? Loriana Pelizzon a,b,, Marti G. Subrahmanyam c, Davide Tomio d, Jun Uno b,e a Goethe University, SAFE Center,
More informationIlliquidity or Credit Deterioration: A Study of Liquidity in the US Corporate Bond Market during Financial Crisis.
Illiquidity or Credit Deterioration: A Study of Liquidity in the US Corporate Bond Market during Financial Crisis Nils Friewald WU Vienna Rainer Jankowitsch WU Vienna Marti Subrahmanyam New York University
More informationScarcity effects of QE: A transaction-level analysis in the Bund market
Scarcity effects of QE: A transaction-level analysis in the Bund market Kathi Schlepper Heiko Hofer Ryan Riordan Andreas Schrimpf Deutsche Bundesbank Deutsche Bundesbank Queen s University Bank for International
More informationDiscussion of From Funding Liquidity to Market Liquidity: Evidence from Danish Bond Markets
Discussion of From Funding Liquidity to Market Liquidity: Evidence from Danish Bond Markets by Jens Dick-Nielsen, Jacob Gyntelberg and Jesper Lund Stefano Corradin (ECB) ECB Workshop Structural Changes
More informationPrice Effects of Sovereign Debt Auctions in the Euro-zone: The Role of the Crisis
Price Effects of Sovereign Debt Auctions in the Euro-zone: The Role of the Crisis Massimo Giuliodori (University of Amsterdam and TI) Roel Beetsma (University of Amsterdam and TI) Frank de Jong (Tilburg
More informationAnalyzing volatility shocks to Eurozone CDS spreads with a multicountry GMM model in Stata
Analyzing volatility shocks to Eurozone CDS spreads with a multicountry GMM model in Stata Christopher F Baum and Paola Zerilli Boston College / DIW Berlin and University of York SUGUK 2016, London Christopher
More informationMeasuring and explaining liquidity on an electronic limit order book: evidence from Reuters D
Measuring and explaining liquidity on an electronic limit order book: evidence from Reuters D2000-2 1 Jón Daníelsson and Richard Payne, London School of Economics Abstract The conference presentation focused
More informationAssicurazioni Generali: An Option Pricing Case with NAGARCH
Assicurazioni Generali: An Option Pricing Case with NAGARCH Assicurazioni Generali: Business Snapshot Find our latest analyses and trade ideas on bsic.it Assicurazioni Generali SpA is an Italy-based insurance
More informationThreshold cointegration and nonlinear adjustment between stock prices and dividends
Applied Economics Letters, 2010, 17, 405 410 Threshold cointegration and nonlinear adjustment between stock prices and dividends Vicente Esteve a, * and Marı a A. Prats b a Departmento de Economia Aplicada
More informationThe collateral scarcity premia in EU repo markets
26 February 2016 Milan The collateral scarcity premia in EU repo markets Background Collateral plays a very important role in financial markets: dealers need collateral to finance their market-making activities
More informationEurozone Sovereign Bond Crisis: Liquidity or Fundamental Contagion
Eurozone Sovereign Bond Crisis: Liquidity or Fundamental Contagion Jennie Bai, Christian Julliard and Kathy Yuan September 2, 2012 Preliminary Abstract We study how liquidity and credit risks evolve in
More informationCFR Working Paper NO The Pricing of Different Dimensions of Liquidity: Evidence from Government Guaranteed Bank Bonds
CFR Working Paper NO. 15-10 10 The Pricing of Different Dimensions of Liquidity: Evidence from Government Guaranteed Bank Bonds J. R. Black D. Stock P. K. Yadav The Pricing of Different Dimensions of Liquidity:
More informationIPO Underpricing and Information Disclosure. Laura Bottazzi (Bologna and IGIER) Marco Da Rin (Tilburg, ECGI, and IGIER)
IPO Underpricing and Information Disclosure Laura Bottazzi (Bologna and IGIER) Marco Da Rin (Tilburg, ECGI, and IGIER) !! Work in Progress!! Motivation IPO underpricing (UP) is a pervasive feature of
More informationDiscussion of Corporate Bond Liquidity Before and After the Onset of the Subprime Crisis by J. Dick-Nielsen, P. Feldhütter, D.
Discussion of Corporate Bond Liquidity Before and After the Onset of the Subprime Crisis by J. Dick-Nielsen, P. Feldhütter, D. Lando Discussant: Loriano Mancini Swiss Finance Institute at EPFL Swissquote
More informationTrinity College and Darwin College. University of Cambridge. Taking the Art out of Smart Beta. Ed Fishwick, Cherry Muijsson and Steve Satchell
Trinity College and Darwin College University of Cambridge 1 / 32 Problem Definition We revisit last year s smart beta work of Ed Fishwick. The CAPM predicts that higher risk portfolios earn a higher return
More informationLender of Last Resort versus Buyer of Last Resort Evidence from the European Sovereign Debt Crisis
Lender of Last Resort versus Buyer of Last Resort Evidence from the European Sovereign Debt Crisis Viral Acharya Reserve Bank of India Diane Pierret HEC Lausanne & SFI Sascha Steffen Frankfurt School of
More informationRescuing the Interest Rate Pass Through: Role of Unconventional Policies & Banks Financing Choices
Rescuing the Interest Rate Pass Through: Role of Unconventional Policies & Banks Financing Choices Francesco Paolo Mongelli (ECB & Goethe Univ.) ASSOCIATION FOR COMPARATIVE ECONOMIC STUDIES Poster Session,
More informationRecent developments in the euro money market. Money Market Contact Group Frankfurt, 18 September 2012
Recent developments in the euro money market Money Market Contact Group Frankfurt, 18 September 2012 ECB developments and announcements I 5 July 2012 The ECB reduced by 25 basis points the interest rate
More informationECB Money Market Workshop Discussion Strains on money market makers and money market tensions by Fecht, Reitz and Weber
Dr. Directorate General Market Operations Money Market & Liquidity *Disclaimer: Any views expressed are only those of the author and do not necessarily represent the views of the ECB or the Eurosystem.
More informationThe Real Effects of Liquidity Shocks in Sovereign Debt Markets: Evidence from Italy
The Real Effects of Liquidity Shocks in Sovereign Debt Markets: Evidence from Italy Andrea Gazzani and Alejandro Vicondoa April 25, 2016 Abstract This paper provides the first empirical evidence on the
More informationGlobal Imbalances and Bank Risk-Taking
Global Imbalances and Bank Risk-Taking Valeriya Dinger & Daniel Marcel te Kaat University of Osnabrück, Institute of Empirical Economic Research - Macroeconomics Conference on Macro-Financial Linkages
More informationTHE EFFECT OF LIQUIDITY COSTS ON SECURITIES PRICES AND RETURNS
PART I THE EFFECT OF LIQUIDITY COSTS ON SECURITIES PRICES AND RETURNS Introduction and Overview We begin by considering the direct effects of trading costs on the values of financial assets. Investors
More informationMoney Market Uncertainty and Retail Interest Rate Fluctuations: A Cross-Country Comparison
DEPARTMENT OF ECONOMICS JOHANNES KEPLER UNIVERSITY LINZ Money Market Uncertainty and Retail Interest Rate Fluctuations: A Cross-Country Comparison by Burkhard Raunig and Johann Scharler* Working Paper
More informationThe Intraday Interest Rate In the Italian GC Repo Market
The Intraday Interest Rate In the Italian GC Repo Market Alfonso Dufour, Miriam Marra and Ivan Sangiorgi* Draft Version: 17 01 2017 Not for circulation * Alfonso Dufour is an Associate Professor at the
More informationA Blessing or a Curse? The Impact of High Frequency Trading on Institutional Investors
Second Annual Conference on Financial Market Regulation, May 1, 2015 A Blessing or a Curse? The Impact of High Frequency Trading on Institutional Investors Lin Tong Fordham University Characteristics and
More informationCommunications Breakdown: The Transmission of Dierent types of ECB Policy Announcements
Communications Breakdown: The Transmission of Dierent types of ECB Policy Announcements Andrew Kane, John H. Rogers and Bo Sun April 27, 218 1 / 27 Background I Large literature using high-frequency changes
More informationAdaptive Monitoring of Intraday Market Data
Enzo Giacomini Nikolaus Hautsch Vladimir Spokoiny CASE - Center for Applied Statistics and Economics Humboldt-Universität zu Berlin Motivation 1-2 Ultra-High Frequency Data Ultra-high frequency, Engle
More informationECONOMICS & STATISTICS DISCUSSION PAPER No. 53/09
Università degli Studi del Molise Facoltà di Economia Dipartimento di Scienze Economiche, Gestionali e Sociali Via De Sanctis, I-86100 Campobasso (Italy) ECONOMICS & STATISTICS DISCUSSION PAPER No. 53/09
More informationTesting for Convergence from the Micro-Level
Testing for Convergence from the Micro-Level Giorgio Fazio Università degli Studi di Palermo Davide Piacentino Università di Napoli "Parthenope" University of Glasgow May 6, 2011 Abstract In the growth
More informationMaking Derivative Warrants Market in Hong Kong
Making Derivative Warrants Market in Hong Kong Chow, Y.F. 1, J.W. Li 1 and M. Liu 1 1 Department of Finance, The Chinese University of Hong Kong, Hong Kong Email: yfchow@baf.msmail.cuhk.edu.hk Keywords:
More informationBIS working paper No. 271 February 2009 joint with M. Loretan, J. Gyntelberg and E. Chan of the BIS
2 Private information, stock markets, and exchange rates BIS working paper No. 271 February 2009 joint with M. Loretan, J. Gyntelberg and E. Chan of the BIS Tientip Subhanij 24 April 2009 Bank of Thailand
More informationWholesale funding runs
Christophe Pérignon David Thesmar Guillaume Vuillemey HEC Paris The Development of Securities Markets. Trends, risks and policies Bocconi - Consob Feb. 2016 Motivation Wholesale funding growing source
More informationCentral Bank Driven Mispricing
Central Bank Driven Mispricing Loriana Pelizzon Marti G Subrahmanyam Davide Tomio Jun Uno First version: May 2017 This version: June 2017 Abstract We use millisecond-stamped data from the Mercato dei Titoli
More informationINVENTORY MODELS AND INVENTORY EFFECTS *
Encyclopedia of Quantitative Finance forthcoming INVENTORY MODELS AND INVENTORY EFFECTS * Pamela C. Moulton Fordham Graduate School of Business October 31, 2008 * Forthcoming 2009 in Encyclopedia of Quantitative
More informationTHE TERM STRUCTURE OF BOND MARKET LIQUIDITY. Avanidhar Subrahmanyam University of California at Los Angeles. August 10, 2007.
THE TERM STRUCTURE OF BOND MARKET LIQUIDITY Ruslan Goyenko McGill University Avanidhar Subrahmanyam University of California at Los Angeles Andrey Ukhov Indiana University August 1, 27 Abstract Previous
More informationPermanent trading impacts and bond yields
Permanent trading impacts and bond yields Article Accepted Version Dufour, A. and Nguyen, M. (2012) Permanent trading impacts and bond yields. European Journal of Finance, 18 (9). pp. 841 864. ISSN 1466
More informationFrom Funding Liquidity to Market Liquidity: Evidence from Danish Bond Markets
From Funding Liquidity to Market Liquidity: Evidence from Danish Bond Markets Jens Dick-Nielsen, Jacob Gyntelberg, Jesper Lund, 24 September 2013 Abstract This paper shows empirically that funding liquidity
More informationThe Liquidity of Dual-Listed Corporate Bonds: Empirical Evidence from Italian Markets
The Liquidity of Dual-Listed Corporate Bonds: Empirical Evidence from Italian Markets N. Linciano, F. Fancello, M. Gentile, and M. Modena CONSOB BOCCONI Conference Milan, February 27, 215 The views and
More informationSelling Money on ebay: A Field Study of Surplus Division
: A Field Study of Surplus Division Alia Gizatulina and Olga Gorelkina U. St. Gallen and U. Liverpool Management School May, 26 2017 Cargese Outline 1 2 3 Descriptives Eects of Observables 4 Strategy Results
More informationLinkage between Gold and Crude Oil Spot Markets in India-A Cointegration and Causality Analysis
Linkage between Gold and Crude Oil Spot Markets in India-A Cointegration and Causality Analysis Narinder Pal Singh Associate Professor Jagan Institute of Management Studies Rohini Sector -5, Delhi Sugandha
More informationCredit Shocks and the U.S. Business Cycle. Is This Time Different? Raju Huidrom University of Virginia. Midwest Macro Conference
Credit Shocks and the U.S. Business Cycle: Is This Time Different? Raju Huidrom University of Virginia May 31, 214 Midwest Macro Conference Raju Huidrom Credit Shocks and the U.S. Business Cycle Background
More informationCorporate bond liquidity before and after the onset of the subprime crisis. Jens Dick-Nielsen Peter Feldhütter David Lando. Copenhagen Business School
Corporate bond liquidity before and after the onset of the subprime crisis Jens Dick-Nielsen Peter Feldhütter David Lando Copenhagen Business School Swissquote Conference, Lausanne October 28-29, 2010
More informationRecent Comovements of the Yen-US Dollar Exchange Rate and Stock Prices in Japan
15, Vol. 1, No. Recent Comovements of the Yen-US Dollar Exchange Rate and Stock Prices in Japan Chikashi Tsuji Professor, Faculty of Economics, Chuo University 7-1 Higashinakano Hachioji-shi, Tokyo 19-393,
More informationTowards a Stronger EMU: Recent Developments in Monetary Policy and EMU Governance Reform
Towards a Stronger EMU: Recent Developments in Monetary Policy and EMU Governance Reform Gilles Noblet Deputy Director General DG International and European Relations European Central Bank Presentation
More informationCHAPTER 6 DETERMINANTS OF LIQUIDITY COMMONALITY ON NATIONAL STOCK EXCHANGE OF INDIA
CHAPTER 6 DETERMINANTS OF LIQUIDITY COMMONALITY ON NATIONAL STOCK EXCHANGE OF INDIA 6.1 Introduction In the previous chapter, we established that liquidity commonality exists in the context of an order-driven
More informationA Tough Act to Follow: Contrast Effects in Financial Markets. Samuel Hartzmark University of Chicago. May 20, 2016
A Tough Act to Follow: Contrast Effects in Financial Markets Samuel Hartzmark University of Chicago May 20, 2016 Contrast eects Contrast eects: Value of previously-observed signal inversely biases perception
More informationInvestor Flows and Fragility in Corporate Bond Funds. Itay Goldstein, Wharton Hao Jiang, Michigan State David Ng, Cornell
Investor Flows and Fragility in Corporate Bond Funds Itay Goldstein, Wharton Hao Jiang, Michigan State David Ng, Cornell Total Net Assets and Dollar Flows of Active Corporate Bond Funds $Billion 2,000
More informationHedge Funds as International Liquidity Providers: Evidence from Convertible Bond Arbitrage in Canada
Hedge Funds as International Liquidity Providers: Evidence from Convertible Bond Arbitrage in Canada Evan Gatev Simon Fraser University Mingxin Li Simon Fraser University AUGUST 2012 Abstract We examine
More informationEquity Price Dynamics Before and After the Introduction of the Euro: A Note*
Equity Price Dynamics Before and After the Introduction of the Euro: A Note* Yin-Wong Cheung University of California, U.S.A. Frank Westermann University of Munich, Germany Daily data from the German and
More informationList of tables List of boxes List of screenshots Preface to the third edition Acknowledgements
Table of List of figures List of tables List of boxes List of screenshots Preface to the third edition Acknowledgements page xii xv xvii xix xxi xxv 1 Introduction 1 1.1 What is econometrics? 2 1.2 Is
More information2018 Municipal Finance Conference: Public Pensions, Political Economy and State Government Borrowing Costs
2018 Municipal Finance Conference: Public Pensions, Political Economy and State Government Borrowing Costs Chuck Boyer University of Chicago July 17, 2018 Motivation Over $1.1 trillion in U.S. state bonded
More informationFiscal Policy Uncertainty and the Business Cycle: Time Series Evidence from Italy
Fiscal Policy Uncertainty and the Business Cycle: Time Series Evidence from Italy Alessio Anzuini, Luca Rossi, Pietro Tommasino Banca d Italia ECFIN Workshop Fiscal policy in an uncertain environment Tuesday,
More informationDepreciation shocks and the bank lending activities in the EU countries
Depreciation shocks and the bank lending activities in the EU countries Svatopluk Kapounek and Jarko Fidrmuc Mendel University in Brno, Czech Republic Zeppelin University in Friedrichshafen, Germany Slovak
More informationDeposit Insurance and Banks Deposit Rates: Evidence From a EU Policy
Deposit Insurance and Banks Deposit Rates: Evidence From a EU Policy Matteo Gatti Tommaso Oliviero EUI University of Naples and CEF May 1, 2017 Motivation In 2009 EU raised deposit insurance limit to e100,
More informationPrice Impact of Aggressive Liquidity Provision
Price Impact of Aggressive Liquidity Provision R. Gençay, S. Mahmoodzadeh, J. Rojček & M. Tseng February 15, 2015 R. Gençay, S. Mahmoodzadeh, J. Rojček & M. Tseng Price Impact of Aggressive Liquidity Provision
More informationIlliquidity or Credit Deterioration: A Study of Liquidity in the US Corporate Bond Market during Financial Crises
Illiquidity or Credit Deterioration: A Study of Liquidity in the US Corporate Bond Market during Financial Crises Nils Friewald, Rainer Jankowitsch, Marti G. Subrahmanyam First Version: April 30, 2009
More informationAsymmetric Price Transmission: A Copula Approach
Asymmetric Price Transmission: A Copula Approach Feng Qiu University of Alberta Barry Goodwin North Carolina State University August, 212 Prepared for the AAEA meeting in Seattle Outline Asymmetric price
More informationSystemic Risk Measures
Econometric of in the Finance and Insurance Sectors Monica Billio, Mila Getmansky, Andrew W. Lo, Loriana Pelizzon Scuola Normale di Pisa March 29, 2011 Motivation Increased interconnectednessof financial
More informationThe Effects of Fiscal Policy: Evidence from Italy
The Effects of Fiscal Policy: Evidence from Italy T. Ferraresi Irpet INFORUM 2016 Onasbrück August 29th - September 2nd Tommaso Ferraresi (Irpet) Fiscal policy in Italy INFORUM 2016 1 / 17 Motivations
More informationCorporate bond liquidity before and after the onset of the subprime crisis. Jens Dick-Nielsen Peter Feldhütter David Lando. Copenhagen Business School
Corporate bond liquidity before and after the onset of the subprime crisis Jens Dick-Nielsen Peter Feldhütter David Lando Copenhagen Business School Risk Management Conference Firenze, June 3-5, 2010 The
More informationThe Microstructure of the TIPS Market
The Microstructure of the TIPS Market Michael Fleming -- Federal Reserve Bank of New York Neel Krishnan -- Option Arbitrage Fund Federal Reserve Bank of New York Conference on Inflation-Indexed Securities
More informationMarket MicroStructure Models. Research Papers
Market MicroStructure Models Jonathan Kinlay Summary This note summarizes some of the key research in the field of market microstructure and considers some of the models proposed by the researchers. Many
More informationAdverse Selection on Maturity: Evidence from On-Line Consumer Credit
Adverse Selection on Maturity: Evidence from On-Line Consumer Credit Andrew Hertzberg (Columbia) with Andrés Liberman (NYU) and Daniel Paravisini (LSE) Credit and Payments Markets Oct 2 2015 The role of
More informationFunding Liquidity, Market Liquidity, and TED Spread
Funding Liquidity, Market Liquidity, and TED Spread Kris Boudt 1 Ellen C. S. Paulus 2 Dale W.R. Rosenthal 3 1 K.U. Leuven 2 London Business School 3 UIC 2 December 2011 Liquidity Liquidity: ability to
More informationDoes Broadband Internet Affect Fertility?
Does Broadband Internet Affect Fertility? Francesco C. Billari 1 Osea Giuntella 2 Luca Stella 3 1 Bocconi University 2 University of Pittsburgh and IZA 3 Bocconi University and IZA The University of Sheeld,
More informationThe Persistent Effect of Temporary Affirmative Action: Online Appendix
The Persistent Effect of Temporary Affirmative Action: Online Appendix Conrad Miller Contents A Extensions and Robustness Checks 2 A. Heterogeneity by Employer Size.............................. 2 A.2
More informationCorresponding author: Gregory C Chow,
Co-movements of Shanghai and New York stock prices by time-varying regressions Gregory C Chow a, Changjiang Liu b, Linlin Niu b,c a Department of Economics, Fisher Hall Princeton University, Princeton,
More informationEffectiveness and Transmission of the ECB s Balance Sheet Policies
Effectiveness and Transmission of the ECB s Balance Sheet Policies Jef Boeckx NBB Maarten Dossche NBB Gert Peersman UGent Motivation There is a large literature that has used SVAR models to examine the
More informationSpillovers in the Credit Default Swap Market
Spillovers in the Credit Default Swap Market Mauricio Calani Central Bank of Chile University of Pennsylvania Prepared for the BIS CCA Research Conference - Santiago, Chile April 25, 2013 Mauricio Calani
More informationLIQUIDITY EXTERNALITIES OF CONVERTIBLE BOND ISSUANCE IN CANADA
LIQUIDITY EXTERNALITIES OF CONVERTIBLE BOND ISSUANCE IN CANADA by Brandon Lam BBA, Simon Fraser University, 2009 and Ming Xin Li BA, University of Prince Edward Island, 2008 THESIS SUBMITTED IN PARTIAL
More informationThe influence factors of short-term international capital flows in China Based on state space model Dong YANG1,a,*, Dan WANG1,b
3rd International Conference on Science and Social Research (ICSSR 2014) The influence factors of short-term international capital flows in China Based on state space model Dong YANG1,a,*, Dan WANG1,b
More informationAn Agent-based model of liquidity and solvency interactions
Grzegorz Hałaj An Agent-based model of liquidity and solvency interactions DISCLAIMER: This presentation should not be reported as representing the views of the European Central Bank (ECB). The views expressed
More informationMispriced Index Option Portfolios George Constantinides University of Chicago
George Constantinides University of Chicago (with Michal Czerwonko and Stylianos Perrakis) We consider 2 generic traders: Introduction the Index Trader (IT) holds the S&P 500 index and T-bills and maximizes
More informationDiscussion of "The Value of Trading Relationships in Turbulent Times"
Discussion of "The Value of Trading Relationships in Turbulent Times" by Di Maggio, Kermani & Song Bank of England LSE, Third Economic Networks and Finance Conference 11 December 2015 Mandatory disclosure
More informationThe Transmission Mechanism of Credit Support Policies in the Euro Area
The Transmission Mechanism of Credit Support Policies in the Euro Area ECB workshop on Monetary policy in non-standard times Frankfurt, 12 September 2016 INTERN J. Boeckx (NBB) M. De Sola Perea (NBB) G.
More informationTRADE COLLAPSE DURING THE 2009 CRISIS: HOW DID EUROPEAN COMPANIES FARE? LESSONS FROM
TRADE COLLAPSE DURING THE 2009 CRISIS: HOW DID EUROPEAN COMPANIES FARE? LESSONS FROM SEVEN COUNTRIES Gábor Békés, Miklós Koren, Balázs Muraközy & László Halpern (Institute of Economics, Hungarian Academy
More informationHazardous Times for Monetary Policy: What do 23 Million Bank Loans Say About the Effects of Monetary Policy on Credit Risk?
Hazardous Times for Monetary Policy: What do 23 Million Bank Loans Say About the Effects of Monetary Policy on Credit Risk? Gabriel Jiménez Banco de España Steven Ongena CentER - Tilburg University & CEPR
More informationECB policies involving government bond purchases: Impacts and channels
ECB policies involving government bond purchases: Impacts and channels Arvind Krishnamurthy, Northwestern University Stefan Nagel, University of Michigan Annette Vissing- Jorgensen, University of California
More informationConditional Heteroscedasticity and Testing of the Granger Causality: Case of Slovakia. Michaela Chocholatá
Conditional Heteroscedasticity and Testing of the Granger Causality: Case of Slovakia Michaela Chocholatá The main aim of presentation: to analyze the relationships between the SKK/USD exchange rate and
More informationCredit and liquidity in Interbank Rates: A Quadratic Approach
Credit and liquidity in Interbank Rates: A Quadratic Approach By Simon Dubecq, Alain Montfort, Jean-Paul Renne and Guillaume Rousselet 6 th Financial Risks International Forum, Paris, 25-26 March 2013
More informationAssessing the Interest Rate and Bank Lending Channels of ECB Monetary Policies
Assessing the Interest Rate and Bank Lending Channels of ECB Monetary Policies Jérôme Creel Paul Hubert Mathilde Viennot 1 Paul Hubert, OFCE Sciences Po Motivation (1) Mario Draghi, chairman of the ECB,
More informationA Study on the Relationship between Monetary Policy Variables and Stock Market
International Journal of Business and Management; Vol. 13, No. 1; 2018 ISSN 1833-3850 E-ISSN 1833-8119 Published by Canadian Center of Science and Education A Study on the Relationship between Monetary
More informationAlgorithmic and High-Frequency Trading
LOBSTER June 2 nd 2016 Algorithmic and High-Frequency Trading Julia Schmidt Overview Introduction Market Making Grossman-Miller Market Making Model Trading Costs Measuring Liquidity Market Making using
More informationValue at Risk, 3rd Edition, Philippe Jorion Chapter 13: Liquidity Risk
Value at Risk, 3rd Edition, Philippe Jorion Chapter 13: Liquidity Risk Traditional VAR models assume that the model is frozen over some time horizon Questionable if VAR is used to measure the worst loss
More informationRisk and Return of Short Duration Equity Investments
Risk and Return of Short Duration Equity Investments Georg Cejnek and Otto Randl, WU Vienna, Frontiers of Finance 2014 Conference Warwick, April 25, 2014 Outline Motivation Research Questions Preview of
More informationUniversity of Mannheim
Do Hostile Takeovers Stie Innovation? Evidence from Antitakeover Legislation and Corporate Patenting Julian Atanassov, published in the Journal of Finance in June 2013 Introduction Capital markets can
More informationThe empirical analysis of dynamic relationship between financial intermediary connections and market return volatility
MPRA Munich Personal RePEc Archive The empirical analysis of dynamic relationship between financial intermediary connections and market return volatility Renata Karkowska University of Warsaw, Faculty
More informationBanks as Patient Lenders: Evidence from a Tax Reform
Banks as Patient Lenders: Evidence from a Tax Reform Elena Carletti Filippo De Marco Vasso Ioannidou Enrico Sette Bocconi University Bocconi University Lancaster University Banca d Italia Investment in
More informationWholesale funding dry-ups
Christophe Pérignon David Thesmar Guillaume Vuillemey HEC Paris MIT HEC Paris 12th Annual Central Bank Microstructure Workshop Banque de France September 2016 Motivation Wholesale funding: A growing source
More informationSocial Networks and the Decision to Insure: Evidence from Randomized Experiments in China. University of Michigan
Social Networks and the Decision to Insure: Evidence from Randomized Experiments in China Jing Cai University of Michigan October 5, 2012 Social Networks & Insurance Demand 1 / 32 Overview Introducing
More informationOnline Appendix: Asymmetric Effects of Exogenous Tax Changes
Online Appendix: Asymmetric Effects of Exogenous Tax Changes Syed M. Hussain Samreen Malik May 9,. Online Appendix.. Anticipated versus Unanticipated Tax changes Comparing our estimates with the estimates
More informationMacroeconomic announcements and implied volatilities in swaption markets 1
Fabio Fornari +41 61 28 846 fabio.fornari @bis.org Macroeconomic announcements and implied volatilities in swaption markets 1 Some of the sharpest movements in the major swap markets take place during
More informationApplication of Conditional Autoregressive Value at Risk Model to Kenyan Stocks: A Comparative Study
American Journal of Theoretical and Applied Statistics 2017; 6(3): 150-155 http://www.sciencepublishinggroup.com/j/ajtas doi: 10.11648/j.ajtas.20170603.13 ISSN: 2326-8999 (Print); ISSN: 2326-9006 (Online)
More informationLiquidity Creation as Volatility Risk
Liquidity Creation as Volatility Risk Itamar Drechsler Alan Moreira Alexi Savov Wharton Rochester NYU Chicago November 2018 1 Liquidity and Volatility 1. Liquidity creation - makes it cheaper to pledge
More informationSovereign Distress, Bank Strength and Performance:
Sovereign Distress, Bank Strength and Performance: Evidence from the European Debt Crisis Yifei Cao, Francesc Rodriguez-Tous and Matthew Willison 29 November 2016, Sheffield *The views expressed in this
More information