Current theories of financial regulation suggest expanding rules-based formal state intervention to promote international banking stability. Such policy solutions should then be global in scope. This article instead argues that principles-based informal co- and self-regulation through domestic...

Global banks and interconnected national banking sectors have been a main characteristic of the modern international financial systems over the last half century. After a sluggish wake up in the early postwar years, international banking took off in the 1970s as the Euromarkets gained traction...

This paper considers the question of how Brexit will affect the City of London from a long-term perspective, putting the changes induced by Brexit into the context of the City's historical evolution over the past century. This perspective permits us to see that the City has continued to thrive...

This paper aims to find if the market-based measure of monetary policy expectations such as the Eurodollar future rates has predictive power in anticipating trend changes in Treasury curves. The report examines the empirical relationship between Eurodollar pack spreads and Treasury curves and...

In this paper, we investigate the determinants of the Euro term structure of credit spreads. More specifically, we analyze whether the sensitivity of credit spread changes to financial and macroeconomic variables depends on bond characteristics such as rating and maturity. According to the...

The Eurosystem has become one of the crucial players in the market for euro area government bonds. After first substantive purchases through the Securities Market Programme (SMP) in 2010, the Eurosystem’s involvement has reached a new breadth and magnitude with the establishment of the Public...

This paper investigates the role of monetary policy uncertainty for the transmission of FOMC actions to financial markets using a novel model-free measure of uncertainty based on derivative prices. We document a systematic pattern in monetary policy uncertainty over the course of the FOMC...

In this article, we analyse and compare the yield curve risk of interest rates. Our evidence is from the Swedish futures market based on 3 and 6 month Eurodollar futures contract. The shape of the yield curve can be upward, flat and downward. But what is a yield curve? It is a line that shows...

Average rates in the decentralized unsecured market for euro funds, like the EONIA for the overnight maturity, are fundamental indicators of the smooth transmission of the signal rate by the central bank. Public information plays an important role in this context, as key interest rates are set...

The pattern of information flows between Eurodollar spot and futures markets is examined using a robust two-step procedure. This procedure allows for conditional mean and variance dynamics as well as conditional heteroskedasticity. We find spot rates affect futures data and vice versa. In...

In this article, we test the backwardation and contango effects on a 3 – month Eurodollar futures contract by applying a vector error correction, VEC, model. Backwardation is a case where the futures price is below the spot price. It takes place when there is advantage to hold the underlying...

In the years preceding the international debt crisis of the 1980s, international banks displayed a growing enthusiasm for lending to Mexico and other developing countries. During this period, Mexico's development and commercial banks got heavily involved in intermediating foreign finance with...

In the years preceding the international debt crisis of the 1980s, international banks displayed a growing enthusiasm for lending to Mexico and other developing countries. During this period, Mexico's development and commercial banks got heavily involved in intermediating foreign finance with...

This paper develops a methodology, based on Furfine (1999), for identifying unsecured interbank money market loans from the transaction data of the most important euro payment processing system TARGET2, for maturities ranging from one day (overnight) up to three months. The implementation has...

In the years preceding the international debt crisis of the 1980s, international banks displayed a growing enthusiasm for lending to Mexico and other developing countries. During this period, Mexico's development and commercial banks got heavily involved in intermediating foreign finance with...

London’s interbank market went through a sectoral shift in recent years. The rate at which banks channel funds back into the interbank market declined sharply following the introduction of the euro and the subsequent contraction in foreign exchange trading. Surplus dollars from the banking...

This paper develops a methodology, based on Furfine (1999), to identify unsecured interbank money market loans from transaction data of the most important euro processing payment system, TARGET2, for maturity ranging from one day (overnight) up to three months. The implementation has been...

What factors and developments have fuelled the "cartelisation" of capital markets? - to the extent of the rigging of EURIBOR and LIBOR rates? In what ways can EURIBOR and LIBOR rate rigging practices be addressed?How and why have offshore markets expanded to the degree and extent to which they...

After August 2007 the plumbing system that supplied banks with wholesale funding, the interbank market, failed because toxic assets obstructed the pipes. Banks were forced to squeeze liquidity in a 'lemons market' or to ask for liquidity 'on tap' from central banks. This paper disentangles the...

This paper examines the process of price discovery in the MTS system, which builds on the parallel quoting of euro-denominated government securities on a number of (relatively large) domestic markets and on a (relatively small) European marketplace (EuroMTS). Using twenty-seven months of daily...

This paper provides an assessment of the impact of the covered bond purchase programme (hereafter referred to as the CBPP) relative to its policy objectives. The analysis presented on the impact of the CBPP on both the primary and secondary bond markets indicates that the Programme has been an...

In order to analyse the interest rate transmission mechanism, we study daily Euro-rates term structure for the US, Germany, and the UK between 1983 and 1997. We estimate multivariate VECM-GARCH models, which take into account moste of the usual features of financial data (non-stationarity,...

A question of survival -- Defective design -- Fragile strength -- Greeks bearing debts -- Bad banks -- Hotel California: the existential crisis -- Defender of last resort -- Sovereign remedies -- Debtors' prison

In this paper, we analyze wether the sensitivity of credit spread changes to financial and macroeconomic variables depends on bond characteristics such as rating and maturity. First, we estimate the term structure of credit spreads for different rating categories by applying an extension of the...

We analyze the impact of the recent financial market crisis on the Euro Overnight Index Average (EONIA) and interbank market trading and assess the effectiveness of the ECB liquidity policy between 07/2007 - 08/2008. We extend the model of [QM06] by (i) incorporating the microstructure of the...