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An empirical study on the decoupling movements between corporate bond and CDS spreads

Alexopoulou, Ioana; Andersson, Magnus; Georgescu, Oana Maria - 2009

factors and liquidity. Our analysis confirms the existence of a long-run relationship between the two markets, and the … CDS markets becoming more sensitive to systematic risk while cash bond markets priced in more information about liquidity …

Persistent link: https://www.econbiz.de/10011605131

Loss sharing in central clearinghouses: Winners and losers

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

Central clearing counterparties (CCPs) were established to mitigate default losses resulting from counterparty risk in derivatives markets. In a parsimonious model, we show that clearing benefits are distributed unevenly across market participants. Loss sharing rules determine who wins or loses...

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

Inventory management, dealers' connections, and prices in OTC markets

Colliard, Jean-Edouard; Foucault, Thierry; Hoffmann, Peter - 2021

We propose a new model of trading in OTC markets. Dealers accumulate inventories by trading with end-investors and trade among each other to reduce their inventory holding costs. Core dealers use a more efficient trading technology than peripheral dealers, who are heterogeneously connected to...

Persistent link: https://www.econbiz.de/10012515450

Estimating the full effect of a partially anticipated event: A market-based approach applied to the case of TLTROIII

Mosk, Benjamin; Vassallo, Danilo - 2024

This paper presents an event-study methodology that combines market data and survey-based probabilities to infer the full effect of a policy decision, as seen through the lens of financial markets. The market reaction to an event's outcome reflects its surprise or announcement effect, and...

Persistent link: https://www.econbiz.de/10015199444

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

It's not time to make a change: Sovereign fragility and the corporate credit risk

Fornari, Fabio; Zaghini, Andrea - 2022

Relying on a perspective borrowed from monetary policy announcements and introducing an econometric twist in the traditional event study analysis, we document the existence of an "event risk transfer", namely a significant credit risk transmission from the sovereign to the corporate sector after...

Persistent link: https://www.econbiz.de/10014278305

Pricing of green bonds: Drivers and dynamics of the greenium

Pietsch, Allegra; Salakhova, Dilyara - 2022

The green bond market has increased rapidly in recent years amid growing concerns about climate change and wider environmental issues. However, whether green bonds provide cheaper funding to issuers by trading at a premium, so-called greenium, is still an open discussion. This paper provides...

Persistent link: https://www.econbiz.de/10014278432

Central bank asset purchases and auction cycles revisited: New evidence from the euro area

Ferrara, Federico M. - 2024

This study provides new evidence on the relationship between unconventional monetary policy and auction cycles in the euro area. Using proprietary data on purchases of public sector securities implemented by the Eurosystem, the paper examines the flow effects of asset purchase programmes on...

Persistent link: https://www.econbiz.de/10014543595

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

Outages in sovereign bond markets

Kerssenfischer, Mark; Helmus, Caspar - 2024

goes down, trading activity on the cash market declines, liquidity evaporates, and transaction prices deviate from … liquidity provision is a one-way street, and outages on the US and euro area futures market barely affect each other, in stark …, they support cross-asset learning models to explain the link between liquidity and arbitrage, and they demonstrate how …

Persistent link: https://www.econbiz.de/10014565166

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