In this study we examine the fundamental linkages between a single currency pair. The studied pair is the Australia Dollar and Peru Nuevo Sol from the dates 1994 to 2017. We perform a cointegration analysis and test for structural breaks at an unknown point in time. The results show that during...

Links between central counterparties (CCPs) enable participants to clear positions in any linked CCP without needing to maintain multiple CCP memberships. While links enable exposure to be reduced by allowing netting across CCPs, CCPs become exposed to one another through the possibility of a...

Many securities and derivatives markets, including most that are traded on an exchange, are served by a central counterparty (CCP). After trades are executed, the CCP inserts itself between both trading counterparties, to protect them from the risk that one defaults before the obligations are...

This paper models emergency liquidity injection policies intended to prevent illiquidity-driven bank failures. A system-wide withdrawal of funding liquidity causes bank failures if banks' securities have low market liquidity relative to the withdrawal size. The model presents several policy...