Auflistung LIF-SAFE Working Papers nach Schlagwort "liquidity risk"

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    • Bank and Sovereign Debt Risk Connection 

      Darracq Pariès, Matthieu; Faia, Ester; Rodriguez Palenzuela, Diego (2013-01-01)
      Euro area data show a positive connection between sovereign and bank risk, which increases with banks’ and sovereign long run fragility. We build a macro model with banks subject to moral hazard and liquidity risk (sudden ...

    • The Missing Piece of the Puzzle: Liquidity Premiums in Inflation-Indexed Markets 

      Driessen, Joost; Nijman, Theo E.; Simon, Zorka (2017-09-01)
      Fleckenstein et al. (2014) document that nominal Treasuries trade at higher prices than inflation-swapped indexed bonds, which exactly replicate the nominal cash flows. We study whether this mispricing arises from liquidity ...