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Trading networks and liquidity provision

Cohen-Cole, Ethan; Kirilenko, Andrei; Patacchini, Eleonora - In: Journal of Financial Economics 113 (2014) 2, pp. 235-251

We study the profitability of traders in two fully electronic and highly liquid markets: the Dow and Standard & Poor׳s 500 e-mini futures markets. Using unique information that identify counterparties to a transaction, we show and seek to explain the fact that the network pattern of trades...

Persistent link: https://www.econbiz.de/10011039255

Vulnerable banks

Greenwood, Robin; Landier, Augustin; Thesmar, David - In: Journal of Financial Economics 115 (2015) 3, pp. 471-485

contagion effect adds up across the banking sector, and how it can be estimated empirically using balance sheet data. We compute …

Persistent link: https://www.econbiz.de/10011208258

Why do term structures in different currencies co-move?

Jotikasthira, Chotibhak; Le, Anh; Lundblad, Christian - In: Journal of Financial Economics 115 (2015) 1, pp. 58-83

Yield curve fluctuations across different currencies are highly correlated. This paper investigates this phenomenon by exploring the channels through which macroeconomic shocks are transmitted across borders. Macroeconomic shocks affect current and expected future short-term rates as central...

Persistent link: https://www.econbiz.de/10011115772

The term structure of inflation expectations

Chernov, Mikhail; Mueller, Philippe - In: Journal of Financial Economics 106 (2012) 2, pp. 367-394

We use information in the term structure of survey-based forecasts of inflation to estimate a factor hidden in the nominal yield curve. We construct a model that accommodates forecasts over multiple horizons from multiple surveys and Treasury real and nominal yields by allowing for differences...

Persistent link: https://www.econbiz.de/10010593833

Why Gaussian macro-finance term structure models are (nearly) unconstrained factor-VARs

Joslin, Scott; Le, Anh; Singleton, Kenneth J. - In: Journal of Financial Economics 109 (2013) 3, pp. 604-622

This paper explores the implications of filtering and no-arbitrage for the maximum likelihood estimates of the entire conditional distribution of the risk factors and bond yields in Gaussian macro-finance term structure model (MTSM) when all yields are priced imperfectly. For typical yield...

Persistent link: https://www.econbiz.de/10010681718

Contagion of a liquidity crisis between two firms

Oh, Frederick Dongchuhl - In: Journal of Financial Economics 107 (2013) 2, pp. 386-400

This paper presents a model in which the contagion of a liquidity crisis between two nonfinancial institutions occurs … “incidence of failure” (the threshold for a liquidity crisis) for each firm, this paper demonstrates that the risk of contagion … policy measures for mitigating the severity of contagion during a liquidity crisis. …

Persistent link: https://www.econbiz.de/10011039245

Asset commonality, debt maturity and systemic risk

Allen, Franklin; Babus, Ana; Carletti, Elena - In: Journal of Financial Economics 104 (2012) 3, pp. 519-534

. This information contagion is more likely under clustered asset structures. In contrast, when bank debt is long …

Persistent link: https://www.econbiz.de/10010571663

Industry contagion in loan spreads

Hertzel, Michael G.; Officer, Micah S. - In: Journal of Financial Economics 103 (2012) 3, pp. 493-506

) in the two years surrounding bankruptcy filings by industry rivals. This industry-specific contagion is particularly … severe in the middle of industry bankruptcy waves. Furthermore, this contagion in loan spreads is mitigated in concentrated … contagion affects non-spread terms in loan contracts. …

Persistent link: https://www.econbiz.de/10010571690

Reputational contagion and optimal regulatory forbearance

Morrison, Alan D.; White, Lucy - In: Journal of Financial Economics 110 (2013) 3, pp. 642-658

by interbank lending. This paper shows that common regulation is also a conduit for interbank contagion. One bank …

Persistent link: https://www.econbiz.de/10010709039

Systemic risk and the refinancing ratchet effect

Khandani, Amir E.; Lo, Andrew W.; Merton, Robert C. - In: Journal of Financial Economics 108 (2013) 1, pp. 29-45

The combination of rising home prices, declining interest rates, and near-frictionless refinancing opportunities can create unintentional synchronization of homeowner leverage, leading to a “ratchet” effect on leverage because homes are indivisible and owner-occupants cannot raise equity to...

Persistent link: https://www.econbiz.de/10011039208