Search Results - subject_exact:"Liquidity effect"

Acconcia, Antonio; Chinetti, Simone; Jappelli, Tullio - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015587334

Liquiditätseffekte einer Vermögensteuer bei Mietwohnimmobilien

Maiterth, Ralf; Piper, Yuri; Sureth-Sloane, Caren - 2024

Dieser Beitrag untersucht Liquiditätseffekte einer Vermögensteuer bei Mietwohnimmobilien. Mithilfe von Daten einer Immobilien-Kapitalgesellschaft werden die Wirkungen einer Vermögensteuer auf die Cashflows aus der Vermietung von Wohnimmobilien simuliert. Der Detailgrad der Daten ermöglicht...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015069673

Inflation-induced liquidity constraints in real estate financing

Gubitz, Andrea; Tödter, Karl-Heinz; Ziebarth, Gerhard - 2024

Despite the "interest rate turnaround" initiated by the ECB in the second half of 2022 as a late reaction to the clearly underestimated persistence of high inflation rates in the euro area, real interest rates are by no means to be regarded as restrictive, neither in the ex post nor in the ex...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014527124

The transmission of bank liquidity shocks : evidence from the Eurosystem collateral framework

Hüttl, Pia; Kaldorf, Matthias - 2024

How does a shock to the liquidity of bank assets affect credit supply, cross-border lending, and real activity at the firm level? We exploit that, in 2007, the European Central Bank replaced national collateral frameworks by a single list. This collateral framework shock added loans to...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014467917

Whither liquidity shocks? : mplications for R* and monetary policy

Massari, Giorgio; Portoghese, Luca; Tirelli, Patrizio - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014514088

Gradual portfolio adjustment, foreign exchange intervention, and open market operations

Li, Rong; Mei, Dongzhou; Tong, Bing - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014526633

A tale of two tightenings

Lu, Yundi; Valcarcel, Victor J. - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015051229

Institutional brokerage networks : facilitating liquidity provision

Han, Munhee; Kim, Sanghyun; Nanda, Vikram - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015046492

Local projections, autocorrelation, and efficiency

Lusompa, Amaze - 2021

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012499252

The financial market effects of unwinding the Federal Reserve's balance sheet

Smith, Andrew Lee; Valcarcel, Victor J. - 2023

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014478535

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The financial market effects of unwinding the Federal Reserve's balance sheet

Smith, Andrew Lee; Valcarcel, Victor J. - 2020

Book / Working Paper

Welfare-enhancing inflation and liquidity premia

Andolfatto, David; Martin, Fernando M. - 2023

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014249266

Understand funding liquidity and market liquidity in a regime-switching model

Chen, Louisa; Shen, Liya; Zhou, Zhiping - 2023

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014253239

Liquidity effects of litigation risk : evidence from a legal shock

Oliviero, Tommaso; Park, Min; Zou, Hong - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014633699

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Liquidity Effects of Litigation Risk : Evidence from a Legal Shock

Oliviero, Tommaso; Park, Min; Zou, Hong - 2023

Book / Working Paper

The negative liquidity effect of mortgage regulation

Aastveit, Knut Are; Juelsrud, Ragnar Enger; Wold, Ella Getz - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015461303

An empirical analysis of funding liquidity and market liquidity dynamics

Hu, Bill - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015575947

Liquidity Effects, Monetary Policy, and the Business Cycle

Eichenbaum, Martin S.; Christiano, Lawrence J. - 2022

This paper presents new empirical evidence to support the hypothesis that positive money supply shocks drive short-term interest rates down. We then present a quantitative, general equilibrium model which is consistent with the hypothesis. The two key features of our model are that (i) money...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013324130

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Liquidity Effects, Monetary Policy, and the Business Cycle

Eichenbaum, Martin - 1992

Book / Working Paper

Liquidity Effects of the 2020 European Short Sale Ban

Fohlin, Caroline; Lu, Zhikun; Zhou, Nan - 2022

We investigate the liquidity effects of the short sale bans enacted by six European countries in March 2020 in response to the declining market brought about by the onset of the Covid-19 pandemic. Comparing stocks subjected to these bans to those in other European countries that did not...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013403145

Whither Liquidity Shocks?

Massari, Giorgio; Tirelli, Patrizio - 2022

We show that popular models of flight-to-liquidity shocks have strongly counterfactual implicationsfor asset returns and the composition of firms' liabilities, including the return spread between bankdeposits and T-bills and the share of bank loans on corporate debt. Further, the implied...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013403312

Corporate Liquidity Effect of Performance Commitment Clauses in Acquisitions

Lu, Yufei; Wu, Kai - 2022

We evaluate whether the adoption of performance commitment clauses in M&A deals affects the corporate liquidity of acquirers. Using a sample of Chinese M&A deals from 2007 to 2020, we find that firms signing performance commitment clauses in acquisitions are associated with lower liquidity,...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013406056

The Liquidity Effect of the Federal Reserve's Balance Sheet Reduction on Short-Term Interest Rates

Bräuning, Falk - 2022

I examine the impact of the Federal Reserve's balance sheet reduction on short-term interest rates emanating from the declining supply of reserve balances. Using an exogenous shift in the supply of reserves, I estimate that by January 2019, when the Fed will have reduced its portfolio by $500...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013298346

Long-term liquidity effects of large-scale asset purchase programs : evidence from the euro covered bond market

Weigerding, Michael - 2023

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014472234

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Long-Term Liquidity Effects of Large-Scale Asset Purchase Programs : Evidence from the Euro Covered Bond Market

Weigerding, Michael - 2022

Book / Working Paper

Fiscal-Monetary Interactions : Pre-Announcement Liquidity Effects After Bond Issuance

Lou, Dong; Pinter, Gabor; Uslu, Semih - 2022

UK government bond yields rise significantly in a two-day window before Monetary Policy Committee (MPC) meetings, with the majority of this yield drift attributed to increases in risk premia. These effects concentrate in pre-MPC windows that coincide with issuance of UK government bonds....

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014238692

Liquidity Effects of the 2011-2012 European Short Sale Ban

Fohlin, Caroline; Zhou, Nan - 2022

In light of the recent state of global financial markets, the practice of short selling has come under increasing scrutiny. While financial institutions argue that short selling is a necessary mechanism for price discovery and contributes significantly to market liquidity, regulators view it as...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014239740

Export Revenue and Liquidity Shocks

Marie, Hameed; Lopatin, Nikita - 2022

This paper investigates the impact of the liquidity shock on the export revenue of firms. Using the natural experiment, brought by the reform to the Colombian short-term financing legislation in 2011, we study how the liquidity constraints have impacted Colombian exporters. Our sample includes...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014077278

Heterogeneous consumers, segmented asset markets and the real effects of monetary policy

Enders, Zeno - 2020

This article proposes a novel mechanism by which changes in the distribution of money holdings have real aggregate effects. I develop a flexible-price model of segmented asset markets in which monetary policy influences the aggregate demand elasticity via heterogenous money holdings. Because...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012238435

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Heterogeneous Consumers, Segmented Asset Markets, and the Real Effects of Monetary Policy

Enders, Zeno - 2017

Book / Working Paper

Heterogeneous consumers, segmented asset markets, and the real effects of monetary policy

Enders, Zeno - 2017

Book / Working Paper

Changes in monetary policy implementation over time

Van Lill, Dawie - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014511600

What drives liquidity in the Chinese credit bond markets?

Mo, Jingyuan; Subrahmanyam, Marti G. - 2024

We study the drivers and pricing of liquidity in the Chinese credit bond markets. We document that the liquidity and liquidity effects priced into yield spreads differ significantly across the four major credit bond categories and the two parallel trading venues: the interbank over-the-counter...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015454383

The Information and Liquidity Effects of Mutual Fund Flows : Evidence From International Spillovers

Rakowski, David A.; Diltz, John David; Nguyen, Anh Tuan - 2021

We decompose mutual fund flow–driven price pressure into liquidity and information components by measuring the extent to which mutual fund flow-driven trading spills over from the United States (US) to 44 international markets. Our procedure shows that liquidity barriers are greater than...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013242754

Putting 'M' Back in Monetary Policy

Leeper, Eric M.; Roush, Jennifer E. - 2021

Money demand and the stock of money have all but disappeared from monetary policy analyses. This paper is an empirical contribution to the debate over the role of money in monetary policy analysis. The paper models supply and demand interactions in the money market and finds evidence of an...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013248229

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Putting 'M' Back in Monetary Policy

Leeper, Eric M.; Roush, Jennifer E. - 2003

Book / Working Paper

Putting 'M' back in Monetary Policy

Leeper, Eric M. - 2003

Book / Working Paper

Incorporating Asset Liquidity Effects in Economic-Capital Modeling Algorithms

Al Janabi, Mazin A. M. - 2021

Recent turmoil in financial markets endorses the need for rigorous handling and integration of asset liquidity risk into Value-at-Risk (VaR) models. In this work we develop and test measures of certain kinds of asset liquidity risk that is useful for completing the definition of market risk and...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013227808

Liquidity Effects and the Monetary Transmission Mechanism

Christiano, Lawrence J.; Eichenbaum, Martin S. - 2021

Several recent papers provide strong empirical support for the view that an expansionary monetary policy disturbance generates a persistent decrease in interest rates and a persistent increase in output and employment. Existing quantitative general equilibrium models, which allow for capital...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013228629

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Liquidity Effects and the Monetary Transmission Mechanism

Christiano, Lawrence J. - 1992

Book / Working Paper

The determinants of the overnight interest rate in the euro area

Moschitz, Julius - 2004

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013434740

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The determinants of the overnight interest rate in the euro area

Moschitz, Julius - 2004

Book / Working Paper

The Determinants of the Overnight Interest Rate in the Euro Area

Moschitz, Julius - 2021

Book / Working Paper

The determinants of the overnight interest rate in the euro area

Moschitz, Julius - 2004

Book / Working Paper

Liquidity, Information, and the Overnight Rate

Ewerhart, Christian; Cassola, Nuno; Ejerskov, Steen; … - 2021

We model the interbank market for overnight credit with heterogeneous banks and asymmetric information. An unsophisticated bank just trades to compensate its liquidity imbalance, while a sophisticated bank will exploit its private information about the liquidity situation in the market. It is...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013319238

Identification and the Liquidity Effect of a Monetary Policy Shock

Christiano, Lawrence J.; Eichenbaum, Martin S. - 2021

Conventional wisdom holds that unanticipated expansionary monetary policy shocks cause transient but persistent decreases in real and nominal interest rates. However a number of econometric studies argue that the evidence favors the opposite view, namely that these shocks actually raise, rather...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013239154

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Identification and the Liquidity Effect of a Monetary Policy Shock

Christiano, Lawrence J. - 1991

Book / Working Paper

Revisiting empirical studies on the liquidity effect : an identication-robust approach

Doko Tchatoka, Firmin; Slinger, Lauren; Masson, Virginie - 2020

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012426264

How much liquidity would a liquidity-saving mechanism save if a liquidity-saving mechanism could save liquidity? : a simulation approach for Canada's large-value payment system

Byck, Shaun; Heijmans, Ronald - 2021

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013269943

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How much liquidity would a liquidity-saving mechanism save if a liquidity-saving mechanism could save liquidity? : a simulation approach for Canada’s large-value payment system

Byck, Shaun; Heijmans, Ronald - 2020

Book / Working Paper

How Much Liquidity Would a Liquidity-saving Mechanism Save if a Liquidity-saving Mechanism could Save Liquidity? A Simulation Approach for Canada’s Large-value Payment System

Byck, Shaun - 2020

Book / Working Paper

Realized Volatility Estimator Under Liquidity Effects

Allaj, Erindi - 2020

We analyze the behaviour of the realized volatility (RV) estimator under liquidity effects. The liquidity is measured by the impact of the trading volume on the asset price. We find that this estimator is inconsistent but convergent in probability. Motivated by this fact, we propose a new...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012845334

Moral hazard versus liquidity in household bankruptcy

Indarte, Sasha - 2023

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014380927

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Moral Hazard versus Liquidity in Household Bankruptcy

Indarte, Sasha - 2020

Book / Working Paper

The price effects of liquidity shocks : a study of SEC's tick-size experiment

Albuquerque, Rui; Song, Shiyun; Yao, Chen - 2017

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011820060

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The Price Effects of Liquidity Shocks : A Study of SEC's Tick-Size Experiment

Albuquerque, Rui A. - 2020

Book / Working Paper

The Price Effects of Liquidity Shocks : A Study of Sec's Tick-Size Experiment

Albuquerque, Rui A.; Song, Shiyun; Yao, Chen - 2019

Book / Working Paper

The price effects of liquidity shocks : a study of SEC's tick-size experiment

Albuquerque, Rui; Song, Shiyun; Yao, Chen - 2017

Book / Working Paper

Short Interest, Crowding and Liquidity Shocks

Chan, Hector - 2020

We use the Short Interest strategy – buying low short interest stocks and shorting high short interest stocks – as a “barometer” for liquidity shocks impacting sophisticated equity investors: we explain why the strategy should exhibit V-shaped draw-downs when short-sellers are affected...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012827963

Liquidity shocks and overnight interest rates in emerging markets : evidence from GARCH models for India

Singh, Bhupal - 2020

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012272029

Crowding and liquidity shocks

Chan, Hector; Tan, Tony - 2023

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014232209

Exchange liquidity and redemption liquidity

Culham, James - 2023

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014312968

Chinese liquidity effects on the Australian macroeconomy : 2002-2017

Burdekin, Richard C. K.; Tao, Ran - 2020

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012197631

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Chinese Liquidity Effects on the Australian Macroeconomy, 2002-2017

Burdekin, Richard C. K. - 2019

Book / Working Paper

Flighty Liquidity

Boyarchenko, Nina - 2019

We study how the risks to future liquidity flow across corporate bond, Treasury, and stock markets. We document distribution “flight-to-safety” effects: a deterioration in the liquidity of high-yield corporate bonds forecasts an increase in the average liquidity of Treasury securities and a...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012897700

The impact of QE on liquidity : evidence from the UK Corporate Bond Purchase Scheme

Boneva, Lena; Elliott, David; Kaminska, Iryna; Linton, … - 2019

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011979458

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The impact of QE on liquidity : evidence from the UK corporate bond purchase scheme

Boneva, Lena; Elliott, David; Kaminska, Iryna; Linton, … - 2019

Book / Working Paper

The welfare costs of inflation

Benati, Luca; Nicolini, Juan Pablo - 2019

We estimate the welfare costs of inflation originating from lack of liquidity satiation - as in Bailey (1956), Friedman (1969), Lucas (2000), and Ireland (2009) - for the U.S., U.K., Canada, and three countries/economic areas (Switzerland, Sweden, and the Euro area) in which interest rates have...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012145269

Fiscal institutional externalities : the negative effects of local tax and expenditure limits on municipal budgetary solvency

Jimenez, Benedict S. - 2018

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011970401

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Fiscal Institutional Externalities : The Negative Effects of Local Tax and Expenditure Limits on Municipal Budgetary Solvency

Jimenez, Benedict S. - 2019

Book / Working Paper

Blocktrades in OTC Options Markets : Price Impact and Liquidity Effects

Kiesel, Ruediger - 2019

While Over-The-Counter (OTC) markets have widely been studied for equity and interest-rate products, there is only scarce literature on OTC derivative equity markets. In this paper we use use Market Data for regular Eurex Options and OTC-Blocktrades to study differences for OTC and regular...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012867967

The effects of lender of last resort on financial intermediation during the great depression in Japan

Imai, Masami; Okazaki, Tetsuji; Sawada, Michiru - 2022

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013348786

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The effects of lender of last resort on financial intermediation during the Great Depression in Japan

Imai, Masami; Okazaki, Tetsuji; Sawadatein, Michiru - 2019

Book / Working Paper

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