Auflistung LIF-SAFE Working Papers nach JEL-Klassifizierung "G15"
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Banking Union and the Governance of Credit Institutions - A Legal Perspective
(2015-04-08)The creation of the Banking Union is likely to come with substantial implications for the governance of Eurozone banks. The European Central Bank, in its capacity as supervisory authority for systemically important banks, ... -
Coordination of Circuit Breakers? Volume Migration and Volatility Spillover in Fragmented Markets
(2017-01-27)We study circuit breakers in a fragmented, multi-market environment and investigate whether a coordination of circuit breakers is necessary to ensure their effectiveness. In doing so, we analyze 2,337 volatility interruptions ... -
Does Monetary Policy Impact International Market Co-Movements?
(2020-05-11)We show that FED policy announcements lead to a significant increase in international comovements in the cross-section of equity and in particular sovereign CDS markets. The relaxation of unconventionary monetary policies ... -
Lighting up the Dark: Liquidity in the German Corporate Bond Market
(2018-09-17)"We study the impact of transparency on liquidity in OTC markets. We do so by providing an analysis of liquidity in a corporate bond market without trade transparency (Germany), and comparing our findings to a market with ... -
Machine Learning Sentiment Analysis, Covid-19 News and Stock Market Reactions
(2020-09-15)The possibility to investigate the impact of news on stock prices has observed a strong evolution thanks to the recent use of natural language processing (NLP) in finance and economics. In this paper, we investigate COVID-19 ... -
Managing Excess Volatility: Design and Effectiveness of Circuit Breakers
(2017-02-02)We investigate different designs of circuit breakers implemented on European trading venues and examine their effectiveness to manage excess volatility and to preserve liquidity. Specifically, we empirically analyze ... -
Measuring Sovereign Contagion in Europe
(2015-04-01)This paper analyzes sovereign risk shift-contagion, i.e. positive and significant changes in the propagation mechanisms, using bond yield spreads for the major eurozone countries. By emphasizing the use of two econometric ... -
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 ... -
Which Market Integration Measure?
(2017-08-04)This paper compares the dynamics of the financial integration process as described by different empirical approaches. To this end, a wide range of measures accounting for several dimensions of integration is employed. In ... -
Who Are the Bitcoin Investors? Evidence from Indirect Cryptocurrency Investments
(2019-12-10)Cryptocurrencies have received growing attention from individuals, the media, and regulators. However, little is known about the investors whom these financial instruments attract. Using administrative data, we describe ...