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Inventory management, dealers' connections, and prices in OTC markets

Colliard, Jean-Edouard; Foucault, Thierry; Hoffmann, Peter - 2021

We propose a new model of trading in OTC markets. Dealers accumulate inventories by trading with end-investors and trade among each other to reduce their inventory holding costs. Core dealers use a more efficient trading technology than peripheral dealers, who are heterogeneously connected to...

Persistent link: https://www.econbiz.de/10012436749

Loss sharing in central clearinghouses : winners and losers

Kubitza, Christian; Pelizzon, Loriana; Getmansky, Mila - 2023

Central clearing counterparties (CCPs) were established to mitigate default losses resulting from counterparty risk in derivatives markets. In a parsimonious model, we show that clearing benefits are distributed unevenly across market participants. Loss sharing rules determine who wins or loses...

Persistent link: https://www.econbiz.de/10014482946

International equity flows and returns

Albuquerque, Rui; Bauer, Gregory H.; Schneider, Martin - 2004

This paper considers the role of foreign investors in developed-country equity markets. It presents a quantitative model of trading that is built around two new assumptions: (i) both the foreign and domestic investor populations contain investors of different sophistication, and (ii) investor...

Persistent link: https://www.econbiz.de/10009636533

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

Estimating the full effect of a partially anticipated event : a market-based approach applied to the case of TLTROIII

Mosk, Benjamin; Vassallo, Danilo - 2024

This paper presents an event-study methodology that combines market data and survey-based probabilities to infer the full effect of a policy decision, as seen through the lens of financial markets. The market reaction to an event's outcome reflects its surprise or announcement effect, and...

Persistent link: https://www.econbiz.de/10015176903

The reception of public signals in financial markets : what if central bank communication becomes stale?

Ehrmann, Michael; Sondermann, David - 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’...

Persistent link: https://www.econbiz.de/10003963731

An empirical study on the decoupling movements between corporate bond and CDS spreads

Alexopoulou, Ioana; Andersson, Magnus; Georgescu, Oana Maria - 2009

factors and liquidity. Our analysis confirms the existence of a long-run relationship between the two markets, and the … CDS markets becoming more sensitive to systematic risk while cash bond markets priced in more information about liquidity …. -- Credit Default Swap Spreads ; Corporate Bond Spreads ; Liquidity …

Persistent link: https://www.econbiz.de/10003963752

Balance sheet interlinkages and macro-financial risk analysis in the Euro area

Kavonius, Ilja Kristian; Castrén, Olli - 2009

Persistent link: https://www.econbiz.de/10003969268

The pricing of subprime mortgage risk in good times and bad : evidence from the ABX.HE indices

Fender, Ingo; Scheicher, Martin - 2009

, liquidity and risk appetite. The results imply that declining risk appetite and heightened concerns about market … liquidity risk, particularly in periods of heightened market pressure. In addition, as related risk premia can be captured by …

Persistent link: https://www.econbiz.de/10003866554

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

Beetsma, Roel; Giuliodori, Massimo; Hanson, Jesper; … - 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/10011647972

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