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Best friend or worst enemy? : dynamics and multiple equilibria with financial arbitrage, production and collateral constraints
Zhang, Quan - 2017 - Last update: March 23, 2017
We develop a tractable model to study the macroeconomic impacts of limited arbitrage by linking arbitrage activities … arbitrage failures and recessions. Collateralization adds extra value to real-sector investments, and ultimately helps boost …
Persistent link: https://www.econbiz.de/10011626467
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Arbitrage crashes, financial accelerator, and sudden market freezes
Zhang, Ally Quan - 2017 - Last update: November 18, 2017, preliminary draft
arbitrage crashes and failure of systemically important intermediaries during the global financial crisis. Intermediaries pledge … productive capital as repo collateral to fund the margin for their arbitrage positions. A tiny drop in the market liquidity of … movements and losses. This further reduces the collateral value of arbitrage portfolios and triggers more fire-sales in both …
Persistent link: https://www.econbiz.de/10011875637
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Arbitrage Crashes : Slow-Moving Capital or Market Segmentation?
Dick-Nielsen, Jens - 2020
Slow-moving capital cannot fully explain the 2005 and 2008 arbitrage crashes in theconvertible bond market. Faced with …
Persistent link: https://www.econbiz.de/10012856844
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Catching falling knives : speculating on liquidity shocks
Colliard, Jean-Edouard - In: Management science : journal of the Institute for … 63 (2017) 8, pp. 2573-2591
Persistent link: https://www.econbiz.de/10011741403
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Market fragmentation and contagion
Rahi, Rohit; Zigrand, Jean-Pierre - 2020
Persistent link: https://www.econbiz.de/10012259262
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Market fragmentation and contagion
Rahi, Rohit; Zigrand, Jean-Pierre - 2020
Persistent link: https://www.econbiz.de/10012487364
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Flight patterns and yields of European Government Bonds
Schweinitz, Gregor von - 2013
The current European Debt Crisis has led to a reinforced effort to identify the sources of risk and their influence on yields of European Government Bonds. Until now, the potentially nonlinear influence and the theoretical need for interactions reflecting flighttoquality and flight-to-liquidity...
Persistent link: https://www.econbiz.de/10009771035
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The threat of financial contagion to emerging Asia's local bond markets : spillovers from global crises
Azis, Iwan J.; Mitra, Sabyasachi; Baluga, Anthony; … - 2013
This paper employs multivariate GARCH models with a BEKK specification to show significant shock and volatility spillovers from mature bond markets into select emerging Asian local currency bond markets. Results reveal that while the growth of individual bond markets in recent years has been...
Persistent link: https://www.econbiz.de/10009696941
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Extremal Quantiles and Stock Price Crashes
Andreou, Panayiotis C.; Anyfantaki, Sofia; Maasoumi, … - 2023
We employ extreme value theory to identify stock price crashes, featuring low-probability events that produce large, firm-specific negative outliers in the conditional distribution. Traditional methods employ approximations under Gaussian assumptions and central moments. This is inherently...
Persistent link: https://www.econbiz.de/10014350318
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Sentiment Analysis of European Bonds 2016–2018
Schwendner, Peter - 2019
We revisit the discussion of market sentiment in European sovereign bonds using a correlation analysis toolkit based on influence networks and hierarchical clustering. We focus on three case studies of political interest. In the case of the 2016 Brexit referendum, the market showed negative...
Persistent link: https://www.econbiz.de/10012863752