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Time-varying contributions by the corporate bond and CDS markets to credit risk price discovery

Dötz, Niko - Deutsche Bundesbank - 2007

This paper looks at the dynamic price relationship between spreads in the corporate bond market and credit default swaps (CDS). It picks up where Blanco et al (2005) leave off but is focused on European credit markets. The study is based on companies listed in the iTraxx CDS index and thus on...

Persistent link: https://www.econbiz.de/10005082750

Investor fears and risk premia for rare events

Schwarz, Claudia - Deutsche Bundesbank - 2014

from options data. In a second step, jump tail distributions are approximated using the extreme value theory. Applying the …

Persistent link: https://www.econbiz.de/10010957155

The German sub-national government bond market: evolution, yields and liquidity

Schulz, Alexander; Wolff, Guntram B. - Deutsche Bundesbank - 2008

The paper presents a comprehensive data set of all bonds issued by the sixteen German states (L¨ander) since 1992. It thus provides a complete picture of a capital market comparable in size to funds raised in the German fixed income market for corporations. The quantitative analysis reveals...

Persistent link: https://www.econbiz.de/10005083318

Tail Wags Dog? Time-Varying Information Shares in the Bund Market

Upper, Christian; Werner, Thomas - Deutsche Bundesbank - 2002

The flow of information between futures and spot prices may vary over time, in particular during periods of stress. This article analyses the information content of the Bund Future and German government bonds during 1998 and test whether it is constant over time. The use of high-frequency data...

Persistent link: https://www.econbiz.de/10005059035

The coordination channel of foreign exchange intervention: a nonlinear microstructural analysis

Reitz, Stefan; Taylor, Mark P. - Deutsche Bundesbank - 2006

The coordination channel has been proposed as a means by which foreign exchange market intervention may be effective, in addition to the traditional portfolio balance and signaling channels. If strong and persistent misalignments of the exchange rate are caused by non-fundamental influences,...

Persistent link: https://www.econbiz.de/10005083132

On the nonlinear influence of Reserve Bank of Australia interventions on exchange rates

Reitz, Stefan; Ruelke, Jan C.; Taylor, Mark P. - Deutsche Bundesbank - 2010

This paper applies nonlinear econometric models to empirically investigate the effectiveness of the Reserve Bank of Australia (RBA) exchange rate policy. First, results from a STARTZ model are provided revealing nonlinear mean reversion of the Australian dollar exchange rate in the sense that...

Persistent link: https://www.econbiz.de/10008595898

Who trades on momentum?

Baltzer, Markus; Jank, Stephan; Smajlbegovic, Esad - Deutsche Bundesbank - 2014

momentum and contrarian trading of different investor groups. Foreign investors and financial institutions, and especially … mutual funds, are momentum traders, whereas private households are contrarians. Contrarian trading by private households … momentum trading over time, we document substantial increase in sales of loser stocks by foreign and institutional investors …

Persistent link: https://www.econbiz.de/10011161233

Relationship lending in the interbank market and the price of liquidity

Bräuning, Falk; Fecht, Falko - Deutsche Bundesbank - 2012

with theory that relationship lenders have private information about the creditworthiness of their close borrowers. …

Persistent link: https://www.econbiz.de/10010984709

Financial integration and systemic risk

Fecht, Falko; Grüner, Hans Peter - Deutsche Bundesbank - 2005

Recent empirical studies criticize the sluggish financial integration in the euro area and find that only interbank money markets are fully integrated so far. This paper studies the optimal regional and/or sectoral integration of financial systems given that integration is restricted to the...

Persistent link: https://www.econbiz.de/10005082767

Banks, markets, and efficiency

Fecht, Falko; Martin, Antoine - Deutsche Bundesbank - 2005

Following Diamond (1997) and Fecht (2004) we use a model in which financial market access of households restrains the efficiency of the liquidity insurance that banks' deposit contracts provide to households that are subject to idiosyncratic liquidity shocks. But in contrast to these approaches...

Persistent link: https://www.econbiz.de/10005082788