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To disclose or not to disclose : transparency and liquidity in the structured product market
Friewald, Nils; Jankowitsch, Rainer; Subrahmanyam, Marti G. - 2014 - This version: May 5, 2014
We use a unique data set from the Trade Reporting and Compliance Engine (TRACE) to study liquidity e ffects in the US … provide guidance for improving transparency while maintaining trader confidentiality. In addition, we analyze liquidity in the … structured product market. Our main contribution is the analysis of the relation between the accuracy in measuring liquidity and …
Persistent link: https://www.econbiz.de/10010361830
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To disclose or not to disclose: Transparency and liquidity in the structured product market
Friewald, Nils; Jankowitsch, Rainer; Subrahmanyam, Marti G. - Center for Financial Studies - 2014
We use a unique data set from the Trade Reporting and Compliance Engine (TRACE) to study liquidity e ffects in the US … provide guidance for improving transparency while maintaining trader confidentiality. In addition, we analyze liquidity in the … structured product market. Our main contribution is the analysis of the relation between the accuracy in measuring liquidity and …
Persistent link: https://www.econbiz.de/10010958715
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Dealer Networks
Li, Dan; Schürhoff, Norman - C.E.P.R. Discussion Papers - 2014
, trading costs increase strongly with dealer centrality. Investors with strong liquidity need trade with central dealers and at … times of market-wide illiquidity. Central dealers thus serve as liquidity providers of last resort. …
Persistent link: https://www.econbiz.de/10011084269
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Dealer Networks
Li, Dan; Schurhoff, Norman - Federal Reserve Board (Board of Governors of the … - 2014
, trading costs increase strongly with dealer centrality. Investors with strong liquidity need trade with central dealers and at … times of market-wide illiquidity. Central dealers thus serve as liquidity providers of last resort. …
Persistent link: https://www.econbiz.de/10011095300
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Dealer networks
Li, Dan; Schürhoff, Norman - 2014
Dealers in the over-the-counter municipal bond market form trading networks with other dealers to mitigate search frictions. Regulatory audit trail data show the dealer network has a core-periphery structure with 10 to 30 hubs and over 2,000 peripheral broker-dealers in which bonds flow in a...
Persistent link: https://www.econbiz.de/10010443056
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The strategic determination of the supply of liquid assets
Geromichalos, Athanasios; Herrenbrueck, Lucas - 2016
determine asset liquidity. In our model, two asset suppliers try to profit from the liquidity services their assets confer …. Asset liquidity is indirect in the sense that assets can be sold for money in over-the-counter (OTC) secondary markets … liquidity of two assets. Asset demand curves can slope upward for evenmodest degrees of increasing returns in the matching …
Persistent link: https://www.econbiz.de/10011478980
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The strategic determination of the supply of liquid assets
Geromichalos, Athanasios; Herrenbrueck, Lucas - 2016
determine asset liquidity. In our model, two asset suppliers try to profit from the liquidity services their assets confer …. Asset liquidity is indirect in the sense that assets can be sold for money in over-the-counter (OTC) secondary markets … liquidity of two assets. Asset demand curves can slope upward for evenmodest degrees of increasing returns in the matching …
Persistent link: https://www.econbiz.de/10011784998
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ECB monetary operations and the interbank repo market
Dunne, Peter G.; Fleming, Michael J.; Zholos, Andrey - 2013
We examine the relationship between monetary policy operations and interbank borrowing and lending of funds using sovereign bonds as collateral. We first establish that, in the precrisis period, there are important but rather weak relations between these funding sources and that this...
Persistent link: https://www.econbiz.de/10010222894
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Central clearing and asset prices
Menkveld, Albert J.; Pagnotta, Emiliano; Zoican, Marius A. - 2013
We investigate the effects of introducing a central clearing counterparty (CCP) on securities prices by adopting as an experimental construct the 2009 CCP reform in three Nordic markets. We find that, relative to other European economies, these countries experience market-adjusted equity returns...
Persistent link: https://www.econbiz.de/10010224773
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The effects of uncertainty on market liquidity : evidence from hurricane Sandy
Rehse, Dominik; Riordan, Ryan; Rottke, Nico; Zietz, Joachim - 2018
We test the effects of uncertainty on market liquidity using Hurricane Sandy as a natural experiment. Given the …
Persistent link: https://www.econbiz.de/10011844658