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Asset encumbrance, bank funding and financial fragility

Ahnert, Toni; Anand, Kartik; Gai, Prasanna; Chapman, James - 2016

bank issues covered bonds backed by a pool of assets that is bankruptcy remote and replenished following losses …. Encumbering assets allows a bank to raise cheap secured debt and expand profitable investment, but it also concentrates risk on …

Persistent link: https://www.econbiz.de/10011451099

Stressed but not helpless : strategic behavior of banks under adverse market conditions

Halaj, Grzegorz; Priazhkina, Sofia - 2021 - Last updated: July 19, 2021

We model bank management actions in severe stress test conditions using a game-theoretical framework. Banks update …

Persistent link: https://www.econbiz.de/10012591729

Regulatory requirements of banks and arbitrage in the post-crisis federal funds market

Garratt, Rod; Priazhkina, Sofia - 2022 - Last updated: November 28, 2022

This paper explains the nature of interest rates in the U.S. federal funds market after the 2007-09 financial crisis. We build a model of the over-the-counter lending market that incorporates new aspects of the financial system: abundance of liquidity, different regulatory standards for banks,...

Persistent link: https://www.econbiz.de/10013466133

Small-sample tests for stock return predictability with possibly non-stationary regressors and GARCH-type effects

Gungor, Sermin; Luger, Richard - 2017

We develop a simulation-based procedure to test for stock return predictability with multiple regressors. The process governing the regressors is left completely free and the test procedure remains valid in small samples even in the presence of non-normalities and GARCH-type effects in the stock...

Persistent link: https://www.econbiz.de/10011618038

Household stockholding behavior during the great financial crisis

Zhou, Jie - 2015

Using the Panel Study of Income Dynamics, this paper studies household stock market participation and trading behavior in 2007 - 09, a period that saw a major stock market downswing. The stock market participation rate fell after the market crash. We find evidence that less-educated households,...

Persistent link: https://www.econbiz.de/10010514033

Funding liquidity, market liquidity and the cross-section of stock returns

Fontaine, Jean-Sébastien; Garcia, René; Gungor, Sermin - 2015

Following theory, we check that funding risk connects illiquidity, volatility and returns in the cross-section of stocks. We show that the illiquidity and volatility of stocks increase with funding shocks, while contemporaneous returns decrease with funding shocks. The dispersions of...

Persistent link: https://www.econbiz.de/10010496138

Quantifying contagion risk in funding markets : a model-based stress-testing approach

Anand, Kartik; Gauthier, Céline; Souissi, Moez - 2015

market risks of banks are intertwined. We highlight how coordination failure between a bank's creditors and adverse selection … in the secondary market for the bank's assets interact, leading to a vicious cycle that can drive otherwise solvent banks … to illiquidity. Investors' pessimism over the quality of a bank's assets reduces the bank's recourse to liquidity, which …

Persistent link: https://www.econbiz.de/10011304764

High-frequency trading around macroeconomic news announcements : evidence from the U.S. treasury market

Jiang, George J.; Lo, Ingrid; Valente, Giorgio - 2014

This paper investigates high-frequency (HF) market and limit orders in the U.S. Treasury market around major macroeconomic news announcements. BrokerTec introduced i-Cross at the end of 2007 and we use this exogenous event as an instrument to analyze the impact of HF activities on liquidity and...

Persistent link: https://www.econbiz.de/10010441177

The effect of oil price: shocks on asset markets : evidence from oil inventory news

Alquist, Ron; Ellwanger, Reinhard; Jin, Jianjian - 2020 - Last updated: March 23, 2020

We quantify the reaction of U.S. equity, bond futures, and exchange rate returns to oil price shocks driven by oil inventory news. Across most sectors, equity prices decrease in response to higher oil prices before the 2007/08 crisis but increase after it. Positive oil price shocks cause a...

Persistent link: https://www.econbiz.de/10012181225

A counterfactual valuation of the stock index as a predictor of crashes

Roberts, Tom - 2017

Stock market fundamentals would not seem to meaningfully predict returns over a shorter-term horizon - instead, I shift focus to severe downside risk (i.e., crashes). I use the cointegrating relationship between the log S&P Composite Index and log earnings over 1871 to 2015, combined with...

Persistent link: https://www.econbiz.de/10011777936