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Window Dressing of Regulatory Metrics : Evidence from Repo Markets

Bassi, Claudio; Behn, Markus; Grill, Michael; Waibel, Martin - 2023

This paper investigates both the magnitude and the drivers of bank window dressing behaviour in euro-denominated repo markets. Using a confidential transaction-level data set, our analysis illustrates that banks engineer an economically sizeable contraction in their repo transactions around...

Persistent link: https://www.econbiz.de/10014257807

Can Central Bank Communication Help to Stabilise Inflation Expectations?

Jung, Alexander; Kühl, Patrick - 2021

This paper examines whether central bank communication stabilises euro area inflation expectations through the … visitors’ attention to its communication. We conduct several econometric tests with daily data to measure the impact of ECB … communication on the information demand of the public and ultimately on inflation expectations. Overall, this study shows that …

Persistent link: https://www.econbiz.de/10013227730

The Reception of Public Signals in Financial Markets : What if Central Bank Communication Becomes Stale?

Ehrmann, Michael - 2009

How do financial markets price new information? This paper analyzes price setting at the intersection of private and public information, by testing whether and how the reaction of financial markets to public signals depends on the relative importance of private information in agents' information...

Persistent link: https://www.econbiz.de/10013157672

Bank Private Information in CDS Markets

Bilan, Andrada; Ongena, Steven; Pancaro, Cosimo - 2023

Can banks trade credit default swaps (CDSs) referenced on their current corporate clients at competitive prices, or are banks penalized for potentially holding private information? To answer this question we merge CDS trades reported under the European Market Infrastructure Regulation (EMIR)...

Persistent link: https://www.econbiz.de/10014354665

Capital market development, corporate governance and the credibility of exchange rate pegs

Castrén, Olli; Takalo, Tuomas - 2000

Focusing on emerging market currency arrangements, we build a model of an exchange rate peg with escape clauses and output persistence. We first show how output persistence works as an additional 'fundamental' so that an exogenous increase in persistence can make the currency peg more vulnerable...

Persistent link: https://www.econbiz.de/10011604080

Do stress tests matter? Evidence from the 2014 and 2016 stress tests

Georgescu, Oana-Maria; Gross, Marco; Kapp, Daniel; Kok, … - 2017

Stress tests have been increasingly used in recent years by regulators to foster confidence in the banking sector by not only increasing its resilience via mandatory capital increases but also by enhancing transparency to allow investors to better discriminate between banks. In this study, using...

Persistent link: https://www.econbiz.de/10011804369

Bid-to-cover and yield changes around public debt auctions in the euro area

Beetsma, Roel; Giuliodori, Massimo; Hanson, Jesper; de … - 2017

Earlier research has shown that euro-area primary public debt markets affect secondary markets. We find that more successful auctions of euro area public debt, as captured by higher bid-to-cover ratios, lead to lower secondary-market yields following the auctions. This effect is stronger when...

Persistent link: https://www.econbiz.de/10011804371

Competition among high-frequency traders, and market quality

Breckenfelder, Johannes - 2019

We study empirically how competition among high-frequency traders (HFTs) affects their trading behavior and market quality. Our analysis exploits a unique dataset, which allows us to compare environments with and without high-frequency competition, and contains an exogenous event - a tick size...

Persistent link: https://www.econbiz.de/10012142134

Rating agency actions and the pricing of debt and equity of European banks: What can we infer about private sector monitoring of bank soundness?

Gropp, Reint E.; Richards, Anthony J. - 2001

The recent consultative papers by the Basel Committee suggest an explicit role for external rating agencies in the assessment of the credit risk of banks' assets. In this context, an assessment of the information contained in credit ratings is important. We address this issue via an event study...

Persistent link: https://www.econbiz.de/10011604122

The stock market effects of a securities transaction tax: quasi-experimental evidence from Italy

Cappelletti, Giuseppe; Guazzarotti, Giovanni; … - 2016

We study the effects on the stock market of a securities transaction tax (STT). In particular, we focus on the recent introduction of a STT in Italy. Indeed, a peculiarity of the Italian STT is that it only concerns stocks of corporations with a market capitalization above 500 million euros. We...

Persistent link: https://www.econbiz.de/10011605994