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Balance Sheet Interlinkages and Macro-Financial Risk Analysis in the Euro Area

Kavonius, Ilja Kristian; Castrén, Olli - 2009

The financial crisis has highlighted the need for models that can identify counterparty risk exposures and shock transmission processes at the systemic level. We use the euro area financial accounts (flow of funds) data to construct a sector-level network of bilateral balance sheet exposures and...

Persistent link: https://www.econbiz.de/10009640455

Taking stock

Ehrmann, Michael; Fratzscher, Marcel - 2004

This paper analyses the effects of US monetary policy on stock markets. We find that, on average, a tightening of 50 basis points reduces returns by about 3%. Moreover, returns react more strongly when no change had been expected, when there is a directional change in the monetary policy stance...

Persistent link: https://www.econbiz.de/10009639408

The informational content of over-the-counter currency options

Christoffersen, Peter; Mazzotta, Stefano - 2004

Financial decision makers often consider the information in currency option valuations when making assessments about …

Persistent link: https://www.econbiz.de/10009639420

Liquidity, information, and the overnight rate

Ewerhart, Christian; Cassola, Nuno; Ejerskov, Steen; … - 2004

We model the interbank market for overnight credit with heterogeneous banks and asymmetric information. An … information about the liquidity situation in the market. It is shown that with positive probability, the liquidity effect … rate. The phenomenon does not disappear when the number of banks increases. We also show that private information mitigates …

Persistent link: https://www.econbiz.de/10009639432

An empirical study of liquidity and information effects of order flow on exchange rate

Breedon, Francis; Vitale, Paolo - 2004

proposed by Bacchetta and van Wincoop (2003) and allows us to disentangle the liquidity and information effects of order flow …

Persistent link: https://www.econbiz.de/10009639485

Price and trading response to public information

Malinowska, Magdalena - 2010

In their seminal paper French and Roll (1986) postulate that public information affects prices before anyone can trade … very precise information from the largest European bond futures market. The results show that the price response to public …

Persistent link: https://www.econbiz.de/10009640364

The stock market reaction to the 2005 non-tradable share reform in China

Beltratti, Andrea; Bortolotti, Bernardo; Caccavaio, Marianna - 2011

During 2005-2006, the Chinese government implemented a reform aimed at eliminating the so-called non-tradable shares (NTS), shares typically held by the State or by politically connected institutional investors that were issued at the early stage of financial market development. Our analysis,...

Persistent link: https://www.econbiz.de/10009640778

Sovereign risk premia in the European government bond market

Bernoth, Kerstin; Hagen, Jürgen/von; Schuknecht, Ludger - 2004

This paper provides a study of bond yield differentials among EU eurobonds issued between 1991 and 2002. Interest differentials between bonds issued by EU countries and Germany or the USA contain risk premia which increase with the debt, deficit and debt-service ratio and depend positively on...

Persistent link: https://www.econbiz.de/10009639423

Do demographic changes affect risk premiums?

Ang, Andrew; Maddaloni, Angela - 2003

We examine the link between equity risk premiums and demographic changes using a very long sample over the whole twentieth century for the US, Japan, UK, Germany and France, and a shorter sample covering the last third of the twentieth century for fifteen countries. We find that demographic...

Persistent link: https://www.econbiz.de/10009639859

Myopic loss aversion, disappointment aversion, and the equity premium puzzle

Fielding, David; Stracca, Livio - 2003

This paper takes a close look at the 'behavioural finance' explanations of the equity premium puzzle, namely myopic loss aversion (Benartzi and Thaler, 1995) and disappointment aversion (Ang, Bekaert and Liu, 2000). The paper proposes a simple specification of loss and disappointment aversion...

Persistent link: https://www.econbiz.de/10009639864