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Impact of transaction taxes on commodity derivatives trading in India

Ray, Saon; Malik, Neha - 2014

management in the commodities market. A transaction tax (of 0.01 per cent) on commodity futures trading was introduced in the … imposition on the total volume traded of a few select commodity futures as well as on the overall efficiency of the commodity … market. Results for the event study suggest a significant drop in traded volumes of commodity futures such as gold, copper …

Persistent link: https://www.econbiz.de/10011807678

Regulatory Medicine Against Financial Market Instability: What Helps And What Hurts?

Kerbl, Stefan - 2011

Value-at-Risk limit, (iii) an introduction of a Tobin Tax, i.e. transaction tax on trading, and (iv) any arbitrary …

Persistent link: https://www.econbiz.de/10013370091

What does the CDS market imply for a U.S. default?

Benzoni, Luca; Cabanilla, Christian; Cocco, Alessandro; … - 2023

significant increase in U.S. CDS trading activity and positions, accompanied by a spike in CDS premiums. We estimate an increase …

Persistent link: https://www.econbiz.de/10014480354

Market Liquidity Risk - An Overview

Stange, Sebastian; Kaserer, Christoph - Center for Entrepreneurial and Financial Studies <München> - 2009

Market liquidity is the ease of trading an asset. Its risk is the potential loss, because a security can only be traded …

Persistent link: https://www.econbiz.de/10005870300

Measuring Market Liquidity Risk - Which Model Works Best?

Ernst, Cornelia; Stange, Sebastian; Kaserer, Christoph - Center for Entrepreneurial and Financial Studies <München> - 2009

Market liquidity risk, the difficulty or cost of trading assets in crises, has been recognized as an important factor …

Persistent link: https://www.econbiz.de/10005870304

Accounting for Non-Normality in Liquidity Risk

Ernst, Cornelia; Stange, Sebastian; Kaserer, Christoph - Center for Entrepreneurial and Financial Studies <München> - 2009

It has been frequently discussed, that returns are not normally distributed. Liquidity costs, measuring market liquidity, are similarly non-normally distributed displaying fat tails and skewness. Liquidity risk models either ignore this fact or use the historical distribution to empirically...

Persistent link: https://www.econbiz.de/10005870319

New instruments for banking regulation and monetary policy after the crisis

Detzer, Daniel - 2012

This paper analyzes two instruments - asset-based reserve requirements put forward by Thomas Palley and asset-based capital requirements proposed by Charles Goodhart and Avinash Persaud - regarding their merits in reducing excessive asset price inflation. A theoretical framework of asset pricing...

Persistent link: https://www.econbiz.de/10010309122

Does SOFR-linked debt cost borrowers more than LIBOR-linked debt?

Klingler, Sven; Syrstad, Olav - 2023

We investigate if the benchmark transition from London Interbank Offered Rate (Libor) to Secured Overnight Financing Rate (SOFR) affects the costs of borrowing floating rate debt. The primary market for dollar-denominated floating rate notes (FRNs) provides an ideal laboratory to study these e...

Persistent link: https://www.econbiz.de/10014551704

Market liquidity risk: an overview

Stange, Sebastian; Kaserer, Christoph - 2009

Market liquidity is the ease of trading an asset. Its risk is the potential loss, because a security can only be traded …

Persistent link: https://www.econbiz.de/10010305705

Measuring market liquidity risk - which model works best?

Ernst, Cornelia; Stange, Sebastian; Kaserer, Christoph - 2009

Market liquidity risk, the difficulty or cost of trading assets in crises, has been recognized as an important factor …

Persistent link: https://www.econbiz.de/10010305708