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Financial Development, Financial Fragility, and Growth

Loayza, Norman; Ranciere, Romain - International Monetary Fund (IMF) - 2005

This paper studies the apparent contradictions between two strands of the literature on the effects of financial intermediation on economic activity. On the one hand, the empirical growth literature finds a positive effect of financial depth as measured by, for instance, private domestic credit...

Persistent link: https://www.econbiz.de/10005263861

Toxic Arbitrage

Foucault, Thierry; Kozhan, Roman - HEC Paris (École des Hautes Études Commerciales) - 2014

another related asset due to information arrival. These opportunities are toxic because they expose liquidity suppliers to the …' response to these opportunities impair liquidity. The authors find support for these predictions using high frequency …

Persistent link: https://www.econbiz.de/10011147709

Trading Fees and Efficiency in Limit Order Markets

Colliard, Jean-Edouard; Foucault, Thierry - C.E.P.R. Discussion Papers - 2011

and takers on various measures of market liquidity. …

Persistent link: https://www.econbiz.de/10009024490

Equilibrium Fast Trading

Biais, Bruno; Foucault, Thierry; Moinas, Sophie - HEC Paris (École des Hautes Études Commerciales) - 2013

High-speed market connections and information processing improve …nancial institutions'ability to seize trading opportunities, which raises gains from trade. They also enable fast traders to process information before slow traders, which generates adverse selection. We fi…rst analyze trading...

Persistent link: https://www.econbiz.de/10010703402

Toxic Arbitrage

Foucault, Thierry; Kozhan, Roman; Tham, Wing Wah - C.E.P.R. Discussion Papers - 2014

value of another related asset due to information arrival. These opportunities are toxic because they expose liquidity … arbitrageurs' response to these opportunities impair liquidity. We find support for these predictions using high frequency …

Persistent link: https://www.econbiz.de/10011083979

Wealth, Financial Intermediation and Growth

Gaytan, Alejandro; Ranciere, Romain - Barcelona Graduate School of Economics (Barcelona GSE) - 2004

financial intermediaries implement liquidity risk sharing among depositors. We show that at early stages of economic development … economy has crossed certain wealth threshold, the liquidity role of banks becomes unambiguously growth enhancing. As wealth … increases, banks offer improving liquidity insurance, and higher growth; however, for high levels of wealth, growth generated by …

Persistent link: https://www.econbiz.de/10010547099

Does anonymity matter in electronic limit order markets?

Foucault, Thierry; Moinas, Sophie; Theissen, Erik - Institut für Finanzmarktforschung, Wirtschafts- und … - 2005

this switch to anonymity on market liquidity and the informational content of the limit order book. Our empirical analysis … information on future volatility is public, the informational content of the bid-ask spread and market liquidity are identical in … anonymity alters the informational content of the bid-ask spread and market liquidity. For our sample stocks, we find that the …

Persistent link: https://www.econbiz.de/10010957222

Wealth, Financial Intermediation and Growth

González, Alejandro Gaytán; Ranciere, Romain - Banco de México - 2005

This paper presents empirical support for the existence of wealth effects in the contribution of financial intermediation to economic growth, and offers a theoretical explanation for these effects. Using GMM dynamic panel data techniques applied to study the growth-promoting effects of financial...

Persistent link: https://www.econbiz.de/10004978077

Banks, Liquidity Crises and Economic Growth

González, Alejandro Gaytán; Ranciere, Romain - Banco de México - 2005

How do the liquidity functions of banks affect investment and growth at different stages of economic development? How … issues using an overlapping generations growth model where agents, who experience idiosyncratic liquidity shocks, can invest … in a liquid storage technology or in a partially illiquid Cobb-Douglas technology. By pooling liquidity risk, banks play …

Persistent link: https://www.econbiz.de/10005000698

Liquidity cycles and make/take fees in electronic markets

Foucault, Thierry; Kadan, Ohad; Kandel, Eugene - C.E.P.R. Discussion Papers - 2009

liquidity cycles. Monitoring decisions by market-makers and market-takers are self-reinforcing, generating multiple equilibria … with differing liquidity levels and duration clustering. The trading rate is typically maximized when makers and takers are … make/take fees, the trading rate, the bid-ask spread, and the effects of algorithmic trading on liquidity and welfare. …

Persistent link: https://www.econbiz.de/10008558587