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The Credibility of the Hungarian Exchange Rate Regime 1997-98

Szeidl, Adam - C.E.P.R. Discussion Papers - 2003

This study intends to analyse the credibility of the Hungarian exchange rate regime preceding and during the Russian stock market crisis and devaluation (in 1998). Throughout the Paper the comparison with the similar regime in Poland is stressed. The basic tool applied is a measure of market...

Persistent link: https://www.econbiz.de/10005067588

Moral Hazard, Collateral and Liquidity

Acharya, Viral V; Viswanathan, S. Vish - C.E.P.R. Discussion Papers - 2008

We consider a moral hazard setup wherein leveraged firms have incentives to take on excessive risks and are thus rationed when they attempt to borrow in order to meet liquidity shocks. The rationed firms can optimally pledge cash as collateral to borrow more, but in the process must liquidate...

Persistent link: https://www.econbiz.de/10005661905

Liquidity Risk and Correlation Risk: A Clinical Study of the General Motors and Ford Downgrade of May 2005

Acharya, Viral V; Schaefer, Stephen M; Zhang, Yili - C.E.P.R. Discussion Papers - 2007

The GM and Ford downgrade to junk status during May 2005 caused a wide-spread sell-off in their corporate bonds. Using a novel dataset, we document that this sell-off appears to have generated significant liquidity risk for market-makers, as evidenced in the significant imbalance in their quotes...

Persistent link: https://www.econbiz.de/10005123999

Arbitrage with Inelastic Liquidity Demand and Financial Constraints

Attari, Mukarram; Mello, Antonio S - C.E.P.R. Discussion Papers - 2001

This paper derives arbitrage trading strategies taking into account the fact that the actions of arbitrageurs impact prices. This avoids the difficulty of having to rely on exogenous position limits to prevent infinite arbitrage profits. When arbitrageurs are financially constrained their...

Persistent link: https://www.econbiz.de/10005136768

Quantifying the Speculative Component in the Real Price of Oil: The Role of Global Oil Inventories

Kilian, Lutz; Lee, Thomas K - C.E.P.R. Discussion Papers - 2013

crude oil inventories affects the empirical evidence for speculation. Notwithstanding some differences, overall these …

Persistent link: https://www.econbiz.de/10011083911

Speculation in the Oil Market

Juvenal, Luciana; Petrella, Ivan - C.E.P.R. Discussion Papers - 2014

comovement among different commodities. We assess whether speculation in the oil market played a role in driving this salient … demand. However, speculation played a significant role in the oil price increase between 2004 and 2008, and its subsequent …

Persistent link: https://www.econbiz.de/10011084143

The Role of Speculation in Oil Markets: What Have We Learned So Far?

Fattouh, Bassam; Kilian, Lutz; Mahadeva, Lavan - C.E.P.R. Discussion Papers - 2012

was caused by the increased financialization of oil futures markets, which in turn allowed speculation to become a major … empirical methodologies and discuss to what extent each approach sheds light on the role of speculation. We find that the … existing evidence is not supportive of an important role of speculation in driving the spot price of oil after 2003. Instead …

Persistent link: https://www.econbiz.de/10011084244

Speculation, Risk Premia and Expectations in the Yield Curve

Barillas, Francisco; Nimark, Kristoffer P - C.E.P.R. Discussion Papers - 2013

An affine asset pricing model in which agents have rational but heterogeneous expectations about future asset prices is developed. We estimate the model using data on bond yields and individual survey responses from the Survey of Professional Forecasters and perform a novel three-way...

Persistent link: https://www.econbiz.de/10011084555

The Advantage to Hiding One's Hand: Speculation and Central Bank Intervention in the Foreign Exchange Market

Bhattacharya, Utpal; Weller, Paul - C.E.P.R. Discussion Papers - 1992

Using a portfolio balance model of exchange rate determination, this paper develops a theoretical explanation of why central banks do not make precise announcements of their exchange rate targets. In foreign exchange markets, where it is common knowledge that the central bank intervenes to...

Persistent link: https://www.econbiz.de/10005661690

Commodity Prices, Financial Markets and World Income: A Structural Rational Expectations Model

Ramanujam, Prathap; Vines, David - C.E.P.R. Discussion Papers - 1989

In this we specify and jointly estimate supply, demand and price equations for four aggregate commodity groups: food, beverages, agricultural raw materials and metals. This simple structural model allows us, for each group of commodities, to incorporate stock data for the first time, and to...

Persistent link: https://www.econbiz.de/10005667071