Showing 1 - 10 of 389
derivatives markets. In a parsimonious model, we show that clearing benefits are distributed unevenly across market participants …
Persistent link: https://www.econbiz.de/10014543682
This paper analyzes the performance of global value chains during the trade collapse. To do so, it exploits a unique transaction-level dataset on French firms containing information on cross-border monthly transactions matched with data on worldwide intrafirm linkages as defined by property...
Persistent link: https://www.econbiz.de/10011605457
This study assesses the degree of financial integration for a selected number of new EU member states between … themselves and with the euro zone. Within the framework of a factor model for market returns, we measure integration as the … amount of variance explained by the common factor relative to the local components. We show that this measure of integration …
Persistent link: https://www.econbiz.de/10011604729
We examine the existence of physical and transition climate risk premia in euro area equity markets. To do so, we develop two novel physical and transition risk indicators, based on text analysis, which are then used to gauge the presence of climate risk premia. Results suggest that climate risk...
Persistent link: https://www.econbiz.de/10013368007
The European Union plays a prominent role in climate regulations initiatives, this commitment likely implies that climate risk premiums look different in Europe compared to the rest of the world. This paper examines the pricing implications of climate risks in euro area corporate bond markets,...
Persistent link: https://www.econbiz.de/10014543646
We examine the existence of physical and transition climate risk premia in euro areaequity markets. To do so, we develop two novel physical and transition risk indicators, basedon text analysis, which are then used to gauge the presence of climate risk premia. Resultssuggest that climate risk...
Persistent link: https://www.econbiz.de/10013404918
Physical climate risks can have a large regional impact, which can influence mortgage loans' credit risk and should be priced by the lenders. Motivated by the relevance of climate change for financial intermediaries, our paper aims at analysing if physical climate risks are being reflected in...
Persistent link: https://www.econbiz.de/10015432204
We analyze optimal hedging contracts and show that although hedging aims at sharing risk, it can lead to more risk-taking. News implying that a hedge is likely to be loss-making undermines the risk-prevention incentives of the protection seller. This incentive problem limits the capacity to...
Persistent link: https://www.econbiz.de/10011605458
data covering euro-area derivatives and securities holdings. Consistent with a dynamic model of currency risk hedging, we …
Persistent link: https://www.econbiz.de/10015432237
This paper discusses a wide range of indicators of the degree of integration of the euro area banking system. It is …
Persistent link: https://www.econbiz.de/10011604346