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Sovereign Credit Risk, Liquidity, and ECB Intervention: Deus Ex Machina?
(2016-11-18)
We examine the dynamic relation between credit risk and liquidity in the Italian sovereign bond market during the Euro-zone crisis and the subsequent European Central Bank (ECB) interventions. Credit risk drives the liquidity ...
Stock Price Crashes: Role of Slow-Moving Capital
(2018-07-16)
We study the role of various trader types in providing liquidity in spot and futures markets based on complete order-book and transactions data as well as cross-market trader identifiers from the National Stock Exchange ...
The Pitfalls of Central Clearing in the Presence of Systematic Risk
(2018-11-08)
Asset transaction prices sampled at high frequency are much staler than one might expect in the sense that they frequently lack new updates showing zero returns. In this paper, we propose a theoretical framework for ...
Designated Market Makers: Competition and Incentives
(2020-03-30)
Do competition and incentives offered to designated market makers (DMMs) improve market liquidity? Using data from NYSE Euronext Paris, we show that an exogenous increase in competition among DMMs leads to a significant ...
Collateral Eligibility of Corporate Debt in the Eurosystem
(2020-04-01)
We study how the Eurosystem Collateral Framework for corporate bonds helps the European Central Bank (ECB) fulfill its policy mandate. Using the ECBs eligibility list, we identify the first inclusion date of both bonds and ...
OTC Discount
(2020-12-08)
We document a sizable OTC discount in the interdealer market for German sovereign bonds where exchange and over-the-counter trading coexist: the vast majority of OTC prices are favorable with respect to exchange quotes. ...
Bloomberg
Bloomberg offers a wide range of data on the world's leading public and private companies. Bloomberg database components includes: Stock price data, CDS and bond data, calculated ratios, financial accounts information; ...
Markit
Markit Ltd. was a British financial information and services company with over 4,000 employees, founded in 2003 as an independent source of credit derivative pricing. The company provides independent data, trade processing ...
Datastream
Historical financial database with over 35 million individual instruments or indicators across all major asset classes, including 8.5 million active economic indicators. It features 70 years of data, across 175 countries ...
BaFin
Die Bundesanstalt für Finanzdienstleistungsaufsicht (kurz: BaFin) ist eine rechtsfähige deutsche Anstalt des öffentlichen Rechts des Bundes mit Sitz in Frankfurt am Main und Bonn.