Auflistung LIF-SAFE Working Papers nach Titel
Anzeige der Dokumente 248-267 von 334
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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 ... -
Spillover Effects among Financial Institutions: A State-Dependent Sensitivity Value-at-Risk Approach
(2012-09-01)In this paper, we develop a state-dependent sensitivity value-at-risk (SDSVaR) approach that enables us to quantify the direction, size, and duration of risk spillovers among financial institutions as a function of the ... -
Spillovers of Funding Dry-ups
(2020-08-29)We uncover a new channel for spillovers of funding dry-ups. The 2016 US money market fund (MMF) reform exogenously reduced unsecured MMF funding for some banks. We use novel data to trace those banks to a platform for ... -
Spoilt for Choice: Order Routing Decisions in Fragmented Equity Markets
(2016-08-01)The equity trading landscape all over the world has changed dramatically in recent years. We have witnessed the advent of new trading venues and significant changes in the market shares of existing ones. We use an extensive ... -
Statistical Inferences for Price Staleness
(2018-11-06)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 ... -
Stochastic Differential Utility as the Continuous-Time Limit of Recursive Utility
(2013-05-10)We establish a convergence theorem that shows that discrete-time recursive utility, as developed by Kreps and Porteus (1978), converges to stochastic differential utility, as introduced by Duffie and Epstein (1992), in the ... -
Stock Ownership and Political Behavior: Evidence from Demutualizations
(2013-12-12)A setting in which customer-owned mutual companies converted to publicly listed firms created a plausibly exogenous shock to salience of stock ownership. We use this shock to identify the effect of stock ownership on ... -
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 ... -
Supranational Rules, National Discretion: Increasing Versus Inflating Regulatory Bank Capital?
(2021-02-16)We study how higher capital requirements introduced at the supranational and implemented at the national level affect the regulatory capital of banks across countries. Using the 2011 EBA capital exercise as a quasi-natural ... -
Systemic Co-Jumps
(2016-10-10)The simultaneous occurrence of jumps in several stocks can be associated with major financial news, triggers short-term predictability in stock returns, is correlated with sudden spikes of the variance risk premium, and ... -
Systemic Risk and Sovereign Debt in the Euro Area
(2013-12-13)We introduce a new measure of systemic risk, the change in the conditional joint probability of default, which assesses the effects of the interdependence in the financial system on the general default risk of sovereign ... -
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 ... -
Systemic Risk in an Interconnected Banking System with Endogenous Asset Markets
(2014-03-30)We analyze the emergence of systemic risk in a network model of interconnected bank balance sheets. The model incorporates multiple sources of systemic risk, including size of financial institutions, direct exposure from ... -
Systemic Risk in the Financial Sector: What Can We Learn from Option Markets?
(2014-12-14)We propose a novel approach on how to estimate systemic risk and identify its key determinants. For US financial companies with publicly traded equity options, we extract option-implied value-at-risks and measure the ... -
Taking the Lead: When Non-Banks Arrange Syndicated Loans
(2015-04-01)In the mid-1990s, institutional investors entered the syndicated loan market and started to serve borrowers as lead arrangers. Why are non-banks able to compete for this role against banks? How do the composition of ... -
Taming Models of Prospect Theory in the Wild? Estimation of Vlcek and Hens (2011)
(2016-02-01)Shortcomings revealed by experimental and theoretical researchers such as Allais (1953), Rabin (2000) and Rabin and Thaler (2001) that put the classical expected utility paradigm von Neumann and Morgenstern (1947) into ... -
Taring All Investors with the Same Brush? Evidence for Heterogeneity in Individual Preferences from a Maximum Likelihood Approach
(2015-05-19)Abstract. Microeconomic modeling of investors behavior in financial markets and its results crucially depends on assumptions about the mathematical shape of the underlying preference functions as well as their parameterizations. ... -
Technology Trade with Asymmetric Tax Regimes and Heterogeneous Labor Markets: Implications for Macro Quantities and Asset Prices
(2017-10-05)The international diffusion of technology plays a key role in stimulating global growth and explaining co-movements of international equity returns. Existing empirical evidence suggests that countries are heterogeneous in ... -
Temperature Shocks and Welfare Costs
(2018-01-22)This paper examines the welfare implications of rising temperatures. Using a standard VAR, we empirically show that a temperature shock has a sizable, negative and statistically significant impact on TFP, output, and labor ... -
The Anatomy of the Euro Area Interest Rate Swap Market
(2019-06-01)"Using a novel regulatory dataset of fully identified derivatives transactions, this paper provides the first comprehensive analysis of the structure of the euro area interest rate swap (IRS) market after the start of the ...