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A Theory of Slow-Moving Capital and Contagion

Acharya, Viral V; Shin, Hyun Song; Yorulmazer, Tanju - C.E.P.R. Discussion Papers - 2009

making investments today and waiting for arbitrage opportunities in future is the combination of occasional fire sales and … fire sales in other types that are fundamentally unrelated, provided arbitrage activity in these investments is sourced …

Persistent link: https://www.econbiz.de/10004980209

Wealth Transfers, Contagion and Portfolio Constraints

Pavlova, Anna; Rigobon, Roberto - C.E.P.R. Discussion Papers - 2005

This paper examines the co-movement among stock market prices and exchange rates within a three-country Centre-Periphery dynamic equilibrium model in which agents in the Centre country face portfolio constraints. In our model, international transmission occurs through the terms of trade, through...

Persistent link: https://www.econbiz.de/10005504325

Multiplicity in General Financial Equilibrium with Portfolio Constraints

Basak, Suleyman; Cass, David; Licari, Juan Manuel; … - C.E.P.R. Discussion Papers - 2006

This paper explores the role of portfolio constraints in generating multiplicity of equilibrium. We present a simple financial market economy with two goods and two households, households who face constraints on their ability to take unbounded positions in risky stocks. Absent such constraints,...

Persistent link: https://www.econbiz.de/10005067630

The Role of Portfolio Constraints in the International Propagation of Shocks

Pavlova, Anna; Rigobon, Roberto - C.E.P.R. Discussion Papers - 2008

We study the comovement among stock prices and among exchange rates in a three-good three-country Centre-Periphery dynamic equilibrium model in which the Centre’s agents face portfolio constraints. We characterize equilibrium in closed form for a broad class of portfolio constraints, solving...

Persistent link: https://www.econbiz.de/10005791401

Dollar Illiquidity and Central Bank Swap Arrangements During the Global Financial Crisis

Rose, Andrew K; Spiegel, Mark - C.E.P.R. Discussion Papers - 2011

, suggesting global dollar illiquidity. In response, the Federal Reserve partnered with other central banks to inject dollars into … greater illiquidity difficulties. We examine these predictions for observed cross-sectional changes in CDS spreads, using a … transparency or illiquidity. However, several of the important announcements concerning the international swap programs …

Persistent link: https://www.econbiz.de/10009293988

Risk Arbitrage in Takeovers

Cornelli, Francesca; Li, David Daokui - C.E.P.R. Discussion Papers - 1998

The paper studies the role of risk arbitrage in takeover contests. We show that arbitrageurs have an incentive to …

Persistent link: https://www.econbiz.de/10005504384

Arbitrage, Hedging and Financial Innovation

Davidson, Malcolm - C.E.P.R. Discussion Papers - 1996

I present a simple model in which it is possible that opening a new market makes everybody worse off. Unlike previous examples in the literature, the analysis does not rely on relative price changes of different consumption goods. This is shown in a standard framework in which uninformed traders...

Persistent link: https://www.econbiz.de/10005504789

Why Does the 'Law of One Price' Fail? A Case Study

Haskel, Jonathan; Wolf, Holger C - C.E.P.R. Discussion Papers - 1999

We use retail transaction prices for a multinational retailer to examine the extent and permanence of violations of the law of one price (LOOP) for identical products sold in a variety of countries. We find median deviations of twenty to fifty percent. The differences are not systematic across...

Persistent link: https://www.econbiz.de/10005497930

Toxic Arbitrage

Foucault, Thierry; Kozhan, Roman; Tham, Wing Wah - C.E.P.R. Discussion Papers - 2014

High frequency arbitrage opportunities sometimes arise when the price of one asset follows, with a lag, changes in the … suppliers to the risk of being picked off by arbitrageurs. Hence, more frequent toxic arbitrage opportunities and a faster … triangular arbitrage opportunities in the FX market. In our sample, a 1% increase in the likelihood that a toxic arbitrage …

Persistent link: https://www.econbiz.de/10011083979

Competing Bimetallic Ratios: Amsterdam, London and Bullion Arbitrage in the Mid-18th Century

Nogues-Marco, Pilar - C.E.P.R. Discussion Papers - 2013

This article analyzes the stability of bimetallism for countries operating in integrated bullion markets who enact different legal ratios. I articulate a new theoretical framework to demonstrate that two countries can both be bimetallic only if they coordinate their legal ratios. The theoretical...

Persistent link: https://www.econbiz.de/10011084296