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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 ...
Systemic risk for financial institutions of major petroleum-based economies: The role of oil
(2017-11-05)
This paper examines the relationship between oil price movements and systemic risk of many financial institutions in major petroleum-based economies. We estimate ?CoVaR for those institutions and thereby observe the presence ...
Much Ado About Nothing: A Study of Differential Pricing and Liquidity of Short and Long Term Bonds
(2018-11-01)
Are yields of long-maturity bonds distorted by demand pressure of clientele investors, regulatory effects, or default, flight-to-safety or liquidity premiums? Using data on German nominal bonds between 2005 and 2015, we ...
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 ...
SEC
The mission of the SEC is to protect investors, maintain fair, orderly, and efficient markets, and facilitate capital formation. The SEC strives to promote a market environment that is worthy of the public's trust.
BoardEx Ltd
BoardEx is the most comprehensive, highly accurate, continuously growing business leadership database. Covering more than 1.9 million public, private, and non-profit global organizations and the 1.3+M individuals that lead ...
Bundesbank
The monetary, financial and foreign trade statistics compiled within the framework of the Bundesbank's statutory mandate as well as the comprehensive indicator sets and seasonally adjusted economic data comprise a broad ...
CPP
The Capital Purchase Program (CPP) was launched to stabilize the financial system by providing capital to viable financial institutions of all sizes throughout the nation. Without a viable banking system, lending to ...
MTS
MTS is one of Europe’s leading electronic fixed income trading markets, with over 500 unique counterparties and average daily volumes exceeding EUR 100 billion.
The carrot and the stick: Bank bailouts and the disciplining role of board appointments
(2021-07-08)
We empirically examine the Capital Purchase Program (CPP) used by the US government to bail out distressed banks with equity infusions during the Great Recession. We find strong evidence that a feature of the CPP - the ...