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A look at intraday frictions in the euro area overnight deposit market
Brousseau, Vincent; Manzanares, Andrés - 2005
This paper studies frictions in the euro area interbank deposit overnight market, making use of high frequency individual quote and trade data. The aim of the analysis is to determine, in a quantitative way, how efficient this market is. Besides a comprehensive descriptive analysis, the approach...
Persistent link: https://www.econbiz.de/10011604485
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A Quantitative Mirror on the Euribor Market Using Implied Probability Density Functions
de Vincent-Humphreys, Rupert - 2011
This paper presents a set of probability density functions for Euribor outturns in three months' time, estimated from the prices of options on Euribor futures. It is the first official and freely available dataset to span the complete history of Euribor futures options, thus comprising over ten...
Persistent link: https://www.econbiz.de/10013132237
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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/10012868588
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A toolkit for computing Constrained Optimal Policy Projections (COPPs)
de Groot, Oliver; Mazelis, Falk; Motto, Roberto; … - 2021
This paper presents a toolkit1 for generating optimal policy projections. It makes five contributions. First, the toolkit requires a minimal set of inputs: only a baseline projection for target and instrument variables and impulse responses of those variables to policy shocks. Second, it solves...
Persistent link: https://www.econbiz.de/10012605251
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A Toolkit for Computing Constrained Optimal Policy Projections (COPPs)
Groot, Oliver; Mazelis, Falk; Motto, Roberto; … - 2021
This paper presents a toolkit for generating optimal policy projections. It makes five contributions. First, the toolkit requires a minimal set of inputs: only a baseline projection for target and instrument variables and impulse responses of those variables to policy shocks. Second, it solves...
Persistent link: https://www.econbiz.de/10013225753
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Investors with Too Many Options?
Dorn, Daniel - 2010
During the last decade, markets for covered warrants (bank-issued options) have flourished in Europe and Asia. In these markets, investors often face a choice between many instruments that differ only slightly from each other. Based on retail trades in call options on the German DAX index, this...
Persistent link: https://www.econbiz.de/10013143634
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A new measure of firm-level competition: An application to euro area banks
van Leuvensteijn, Michiel; Huljak, Ivan; de Bondt, Gabe J. - 2024
entire market segment. It is based on the elasticity between profits and efficiency and called marginal relative … profitability (MRP). Its intuition is that when a small change in efficiency derived from marginal costs can cause a large change in … many banks have a MRP below one, indicating that those banks have little incentive to enhance their efficiency to increase …
Persistent link: https://www.econbiz.de/10014543644
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Concentration, market power and dynamism in the euro area
Cavalleri, Maria Chiara; Eliet, Alice; McAdam, Peter; … - 2019
We examine the degree of market power in the big four countries of the euro area using macro and firm-micro data. We focus on three main indicators of market power in and across countries: namely, the concentration ratios, the markup and the degree of economic dynamism. For the macro database we...
Persistent link: https://www.econbiz.de/10012142097
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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
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Markups and inflation cyclicality in the euro area
Kouvavas, Omiros; Osbat, Chiara; Reinelt, Timo; … - 2021
Price inflation in the euro area has been stable and low since the Global Financial Crisis, despite notable changes in output and unemployment. We show that an increasing share of high markup firms is part of the explanation of why inflation remained stubbornly stable and low in the euro area...
Persistent link: https://www.econbiz.de/10012819031