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Constructing high-frequency monetary policy surprises from SOFR futures

Acosta, Miguel; Brennan, Connor M.; Jacobson, Margaret M. - 2024

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015055664

Ein moderner europäischer Finanzmarkt : für ein souveränes Europa

2024

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015193902

A virtuous debtor : South Korea in the Eurocurrency market, 1969-1984

Kim, Seung Woo - 2024

This article examines the case of South Korea, in which the external private debt management leveraged the symbiosis of the authoritarian regime and the neoliberal policies in a less-developed country. In the pursuit of post-war growthamship, against the meddling of allies with official loans,...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015427226

The blind spot of endogenous money : global banking and the Eurodollar market

Bouguelli, Rudy - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015423136

Market-based monetary policy uncertainty

Bauer, Michael D.; Lakdawala, Aeimit; Mueller, Philippe - 2022

Persistent link: https://ebvufind01.dmz1.zbw.eu/10013253928

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Market-based monetary policy uncertainty

Bauer, Michael D.; Lakdawala, Aeimit; Mueller, Philippe - 2019

Book / Working Paper

Market-based monetary policy uncertainty

Bauer, Michael D.; Lakdawala, Aeimit; Mueller, Philippe - 2019

Book / Working Paper

The establishment of the Eurodollar market in Paris and the failure of regulation and reform, 1959-1964

Balaban, Ioan Achim - 2024

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015196393

Analysis of theoretical and empirical relationships between the Treasury bills and Eurodollar

Lee, Cheng F.; Shrestha, Keshab; Welch, Robert L. - 2024

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015046719

Using Eurodollar Pack Spreads to Trade Treasury Curves

De Vere, Hugo - 2021

This paper aims to find if the market-based measure of monetary policy expectations such as the Eurodollar future rates has predictive power in anticipating trend changes in Treasury curves. The report examines the empirical relationship between Eurodollar pack spreads and Treasury curves and...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10013219543

Determinants of euro term structure of credit spreads

Van Landschoot, Astrid - 2004

Persistent link: https://ebvufind01.dmz1.zbw.eu/10013434744

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Determinants of euro term structure of credit spreads

Van Landschoot, Astrid - 2004

Book / Working Paper

Determinants of euro term structure of credit spreads

Van Landschoot, Astrid - 2004

Book / Working Paper

Determinants of Euro Term Structure of Credit Spreads

Van Landschoot, Astrid - 2021

Book / Working Paper

Determinants of Euro Term Structure of Credit Spreads

Van Landschoot, Astrid - 2010

Book / Working Paper

Sliding down the slippery slope? : trends in the rules and country allocations of the eurosystem's PSPP and PEPP : study with support from the Brigitte Strube Foundation

Havlik, Annika; Heinemann, Friedrich - 2020

The Eurosystem has become one of the crucial players in the market for euro area government bonds. After first substantive purchases through the Securities Market Programme (SMP) in 2010, the Eurosystem’s involvement has reached a new breadth and magnitude with the establishment of the Public...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012256000

Variance bounds test of volatility expectations in eurodollar futures options markets

Kim, Kwanho; Poonvoralak, Wantanee - 2019

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012121276

Effect of liquidity on the implied volatility surface in interest rate options markets

Kim, Kwanho - 2017

Persistent link: https://ebvufind01.dmz1.zbw.eu/10011849353

Analysing and Comparing the Yield Curve Risk of Interest Rates. Evidence From the Swedish Futures Market Based on 3 and 6 Month Eurodollar Futures Contract

Guirguis, Michel - 2021

In this article, we analyse and compare the yield curve risk of interest rates. Our evidence is from the Swedish futures market based on 3 and 6 month Eurodollar futures contract. The shape of the yield curve can be upward, flat and downward. But what is a yield curve? It is a line that shows...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10013232524

Beyond LIBOR: money markets and the illusion of representativeness

Muchimba, Lilian; Stenfors, Alexis - 2021

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012584194

Testing information diffusion in the decentralized unsecured market for euro funds

Rainone, Edoardo - 2015

Persistent link: https://ebvufind01.dmz1.zbw.eu/10011672596

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Testing Information Diffusion in the Decentralized Unsecured Market for Euro Funds

Rainone, Edoardo - 2016

Book / Working Paper

Information Flows between Eurodollar Spot and Futures Markets

Cheung, Yin-Wong - 2016

The pattern of information flows between Eurodollar spot and futures markets is examined using a robust two-step procedure. This procedure allows for conditional mean and variance dynamics as well as conditional heteroskedasticity. We find spot rates affect futures data and vice versa. In...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10013004214

Asset managers, eurodollars and unconventional monetary policy

Kreicher, Lawrence; McCauley, Robert N. - 2016

Persistent link: https://ebvufind01.dmz1.zbw.eu/10011535688

Informational content of volatility forecasts in Eurodollar markets

Kim, Kwanho - 2016

Persistent link: https://ebvufind01.dmz1.zbw.eu/10011607982

How to measure the unsecured money market? : the Eurosystem's implementation and validation using TARGET2 data

Arciero, Luca; Heijmans, Ronald; Heuver, Richard; … - 2014

Persistent link: https://ebvufind01.dmz1.zbw.eu/10011443483

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How to Measure the Unsecured Money Market? The Eurosystem's Implementation and Validation Using TARGET2 Data

Arciero, Luca - 2014

Book / Working Paper

How to Measure the Unsecured Money Market? The Eurosystem's Implementation and Validation Using TARGET2 Data

Arciero, Luca - 2013

Book / Working Paper

Testing Backwardation and Contango Effects on a 3 – Month Eurodollar Futures Contract

Guirguis, Michel - 2019

In this article, we test the backwardation and contango effects on a 3 – month Eurodollar futures contract by applying a vector error correction, VEC, model. Backwardation is a case where the futures price is below the spot price. It takes place when there is advantage to hold the underlying...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012890424

LIBOR, EURIBOR and the Regulation of Capital Markets : The Impact of Eurocurrency Markets on Monetary Setting Policies

Ojo D Delaney PhD, Marianne - 2013

What factors and developments have fuelled the "cartelisation" of capital markets? - to the extent of the rigging of EURIBOR and LIBOR rates? In what ways can EURIBOR and LIBOR rate rigging practices be addressed?How and why have offshore markets expanded to the degree and extent to which they...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10013089873

The interbank market after the financial turmoil : squeezing liquidity in a "lemons market" or asking liquidity "on tap"

De Socio, Antonio - 2013

Persistent link: https://ebvufind01.dmz1.zbw.eu/10009729113

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The interbank market after the financial turmoil : squeezing liquidity in a "lemons market" or asking liquidity "on tap"

De Socio, Antonio - 2011

Book / Working Paper

The Interbank Market after the Financial Turmoil : Squeezing Liquidity in a 'Lemons Market' or Asking Liquidity 'on Tap'

De Socio, Antonio - 2013

Book / Working Paper

Price Formation on the EuroMTS Platform

Caporale, Guglielmo Maria - 2013

This paper examines the process of price discovery in the MTS system, which builds on the parallel quoting of euro-denominated government securities on a number of (relatively large) domestic markets and on a (relatively small) European marketplace (EuroMTS). Using twenty-seven months of daily...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10013095113

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Price Formation on the EuroMTS Platform

Caporale, Guglielmo Maria - 2010

Book / Working Paper

A Shift in London's Eurodollar Market

McGuire, Patrick - 2013

London’s interbank market went through a sectoral shift in recent years. The rate at which banks channel funds back into the interbank market declined sharply following the introduction of the euro and the subsequent contraction in foreign exchange trading. Surplus dollars from the banking...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014202568

The incredible Eurodollar or Why the world's money system is collapsing

Hogan, Warren Pat; Pearce, Ivor F. - 2018 - Third edition

Persistent link: https://ebvufind01.dmz1.zbw.eu/10011787095

Near-money premiums, monetary policy, and the integration of money markets : lessons from deregulation

Carlson, Mark; Wheelock, David C. - 2018

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012111940

Benchmark-Manipulation : eine ökonomische und regulatorische Analyse des LIBOR-Manipulationsskandals

Brosig, Isabella - 2018 - 1. Auflage

Persistent link: https://ebvufind01.dmz1.zbw.eu/10011846440

Eurodollars

Goodfriend, Marvin - 2012

Persistent link: https://ebvufind01.dmz1.zbw.eu/10013103185

Interest Rate Transmission and Volatility Transmission along the Yield Curve

Avouyi-Dovi, Sanvi - 2011

In order to analyse the interest rate transmission mechanism, we study daily Euro-rates term structure for the US, Germany, and the UK between 1983 and 1997. We estimate multivariate VECM-GARCH models, which take into account moste of the usual features of financial data (non-stationarity,...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10013131874

The Impact of the Eurosystem's Covered Bond Purchase Programme on the Primary and Secondary Markets

Beirne, John - 2011

This paper provides an assessment of the impact of the covered bond purchase programme (hereafter referred to as the CBPP) relative to its policy objectives. The analysis presented on the impact of the CBPP on both the primary and secondary bond markets indicates that the Programme has been an...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10013133227

The impact of the Eurosystem's Covered Bond Purchase Programme on the primary and secondary markets

Beirne, John; Dalitz, Lars; Ejsing, Jacob Wellendorph; … - 2011

Persistent link: https://ebvufind01.dmz1.zbw.eu/10013439712

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The impact of the Eurosystem's covered bond purchase programme on the primary and secondary markets

Beirne, John; Dalitz, Lars; Ejsing, Jacob Wellendorph; … - 2011

Book / Working Paper

Price formation on the EuroMTS platform

Caporale, Guglielmo Maria; Girardi, Alessandro - 2011

Persistent link: https://ebvufind01.dmz1.zbw.eu/10009230096

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Price formation on the EuroMTS platform

Caporale, Guglielmo Maria; Girardi, Alessandro - 2010

Book / Working Paper

Price formation on the EuroMTS platform

Caporale, Guglielmo Maria; Girardi, Alessandro - 2010

Book / Working Paper

Price formation on the EuroMTS platform

Caporale, Guglielmo Maria; Girardi, Alessandro - 2009

Book / Working Paper

The Euro Overnight Interbank Market and ECB's Liquidity Management Policy During Tranquil and Turbulent Times

Cassola, Nuno - 2010

We analyze the impact of the recent financial market crisis on the Euro Overnight Index Average (EONIA) and interbank market trading and assess the effectiveness of the ECB liquidity policy between 07/2007 - 08/2008. We extend the model of [QM06] by (i) incorporating the microstructure of the...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10013138104

Asset prices, inflation and monetary control : re-inventing money as a policy control

Spahn, Peter - 2010

Persistent link: https://ebvufind01.dmz1.zbw.eu/10013439705

Asset prices, inflation and monetary control : re-inventing money as a policy tool

Spahn, Peter - 2010

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015203863

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Asset prices, inflation and monetary control : re-inventing money as a policy tool

Spahn, Peter - 2010

Book / Working Paper

The Euromarkets after 1992

Levich, Richard M. - 2010

Over the last three decades, differential national regulation in conjunction with increasing capital mobility has given rise to tremendous growth in the Eurocurrency markets. In this paper, we analyze whether the announced plans of the European Commuission to remove barriers to capital flows (in...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012760201

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The Euromarkets after 1992

Levich, Richard M. - 1989

Book / Working Paper

The Euro overnight interbank market and ECB's liquidity management policy during tranquil and turbulent times

Cassola, Nuno; Huetl, Michael - 2010

Persistent link: https://ebvufind01.dmz1.zbw.eu/10008659390

Eurodollar futures pricing in log-normal interest rate models in discrete time

Pirjol, Dan - 2016

Persistent link: https://ebvufind01.dmz1.zbw.eu/10011704268

Płynność sektora bankowego a skuteczność polityki pieniężnej Narodowego Banku Polskiego na tle Eurosystemu

Pietryka, Ilona - 2016

Persistent link: https://ebvufind01.dmz1.zbw.eu/10011685582

A new dawn for European banking : the Euromarket, the oil crisis and the rise of international banking

Altamura, Edoardo - 2015

Persistent link: https://ebvufind01.dmz1.zbw.eu/10010517714

Modelling short-term interest rate spreads in the euro money market

Cassola, Nuno; Morana, Claudio - 2008

In the framework of a new money market econometric model, we assess the degree of precision achieved by the European Central Bank ECB) in meeting its operational target for the short-term interest rate and the impact of the U.S. sub-prime credit crisis on the euro money market during the second...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10003826033

Portuguese banks in the euro area market for daily funds

Farinha, Luísa A.; Gaspar, Vítor - 2008

In this paper, we use the Furfine (1999) statistical procedure to identify money market operations from Payments Systems data. Given the availability of an alternative data set, recording money market operations we could confirm the accuracy of the method. We examine evidence on integration of...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10003826063

A note on the model selection risk for ANOVA based adaptive forecasting of the EURIBOR swap term structure

2008

The paper proposes a data driven adaptive model selection strategy. The selection crite- rion measures economic exante forecasting content by means of trading implied cash flows. Empirical evidence suggests that the proposed strategy is neither exposed to selection bias nor to the risk of...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10003770821

The geography of asset holdings : evidence from Sweden

2007

This paper analyzes the determinants of cross-border asset holdings on cross-country data and a Swedish data set. We focus our analysis on the effect of the euro not only for the determinants of bond holdings, but also of equity and banking assets. With the help of a simple theoretical model, we...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10003403088

The Euro, the dollar and the global financial crisis : currency challenges seen from emerging markets

Otero-Iglesias, Miguel - 2014

1. Introduction : the euro challenge seen from emerging markets -- 2. Reframing the euro vs. dollar debate -- 3. The material limits of the euro challenge to the dollar -- 4. The alternative of the euro and the negotiated status of the dollar -- 5. The euro's ideational challenge to the...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014498153

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The euro, the dollar and the global financial crisis : currency challenges seen from emerging markets

Otero-Iglesias, Miguel - 2014

Book / Working Paper

Informed trading and price discovery around the clock

Kim, Chan-wung; Perry, Timothy T.; Dhatt, Manjeet S. - 2014

Persistent link: https://ebvufind01.dmz1.zbw.eu/10010467227

Euro money market survey

Europäische Zentralbank - Frankfurt, Main : [Verlag nicht ermittelbar] - Nachgewiesen 2005(2006); 2007 -

Persistent link: https://ebvufind01.dmz1.zbw.eu/10003688644

Money Market Integration

Bartolini, Leonardo - 2006

We use transaction-level data and detailed modeling of the high-frequency behavior of federal funds and Eurodollar yield spreads to provide evidence of strong integration between the federal funds and Eurodollar markets, the two core components of the dollar money market. Our results contrast...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014404232

A risk index for euro-denominated assets

2006

This paper introduces an index that captures risk premiums of euro denominated assets based on sub-indices reflecting various credit spreads, implicit volatilities and bonds' excess return over stocks. The index reflects one common factor that accounts for general shifts in risk premiums across...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10003316354

Euro corporate bonds risk factors

2006

This paper investigates the determinants of credit spread changes on bonds denominated in euro. The analysis is carried out using a panel data on euro bonds. We try to asses the relative importance of market and idiosyncratic factors in explaining the movements in credit spread. Because credit...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10003322005