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Understanding spot and forward exchange rate regressions

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Rethinking deviations from uncovered interest parity : the role of covariance risk and noise

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Funding liquidity shocks in a quasi-experiment : evidence from the CDS Big Bang

Wang, Xinjie; Wu, Yangru; Yan, Hongjun; Zhong, Zhaodong - In: Journal of financial economics 139 (2021) 2, pp. 545-560

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Funding Liquidity Shocks in a Quasi-Experiment : Evidence from the CDS Big Bang

Wang, Xinjie - 2020

We use the advent of new credit default swap (CDS) trading conventions in April 2009—the CDS Big Bang—to study how a shock to funding liquidity impacts market liquidity. After the Big Bang, traders are required to pay upfront fees to execute CDS transactions, with the size of the fees...

Persistent link: https://www.econbiz.de/10012855723