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Loss sharing in central clearinghouses: Winners and losers

Kubitza, Christian; Pelizzon, Loriana; Getmansky, Mila - 2023

derivatives markets. In a parsimonious model, we show that clearing benefits are distributed unevenly across market participants …

Persistent link: https://www.econbiz.de/10014543682

Global value chains during the great trade collapse: a bullwhip effect?

Altomonte, Carlo; di Mauro, Filippo; Ottaviano, Gianmarco; … - 2012

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

Financial integration of new EU Member States

Cappiello, Lorenzo; Gérard, Bruno; Kadareja, Arjan; … - 2006

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

Transition versus physical climate risk pricing in European financial markets: A text-based approach

Bua, Giovanna; Kapp, Daniel; Ramella, Federico; … - 2022

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

Physical and transition risk premiums in euro area corporate bond markets

Bats, Joost Victor; Bua, Giovanna; Kapp, Daniel - 2024

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

Transition Versus Physical Climate Risk Pricing in European Financial Markets : A Text-Based Approach

Bua, Giovanna; Kapp, Daniel; Ramella, Federico; … - 2022

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

Risk-sharing or risk-taking? Counterparty risk, incentives and margins

Biais, Bruno; Heider, Florian; Hoerova, Marie - 2012

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

Developing statistical indicators of the integration of the euro area banking system

Manna, Michele - 2004

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

Stocks, bonds, money markets and exchange rates: measuring international financial transmission

Ehrmann, Michael; Fratzscher, Marcel; Rigobon, Roberto - 2005

The paper presents a framework for analyzing the degree of financial transmission between money, bond and equity markets and exchange rates within and between the United States and the euro area. We find that asset prices react strongest to other domestic asset price shocks, and that there are...

Persistent link: https://www.econbiz.de/10011604498

Euro area banking sector integration: using hierarchical cluster analysis techniques

Sørensen, Christoffer Kok; Puigvert Gutiérrez, Josep Maria - 2006

results are not unequivocal and considerable differences remain, leaving scope for further integration. In terms of clustering …

Persistent link: https://www.econbiz.de/10011604673