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Displaying results 1 to 25 of 277.

  1. Momentum, reversals, and investor clientele
    Author: Chui, Andy C. W.; Subrahmanyam, Avanidhar; Titman, Sheridan
    Published: 2022

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Source: Union catalogues
    Language: English
    Media type: Article (journal)
    Format: Online
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    Parent title: Enthalten in: Review of finance; Oxford : Oxford University Press, 2004; 26(2022), 2 vom: März, Seite 217-255; Online-Ressource

    Subjects: Börsenkurs; Anlageverhalten; Institutioneller Investor; Investmentfonds; Börse; China; A-Shares; B-Shares; Anomalies; market efficiency; liquidity; behavioral finance
  2. Liquidity in the repo market
    Author: Fuhrer, Lucas Marc
    Published: August 2017
    Publisher:  Swiss National Bank, Zurich

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    Language: English
    Media type: Book
    Format: Online
    Series: SNB working papers ; 2017, 6
    Subjects: Repo market; liquidity; central bank reserves; Switzerland
    Scope: 1 Online-Ressource (circa 46 Seiten), Illustrationen
  3. Dealer capacity and U.S. treasury market functionality
    Author: Duffie, Darrell; Fleming, Michael J.; Keane, Frank; Nelson, Claire; Shachar, Or; Van Tassel, Peter
    Published: [2023]
    Publisher:  Federal Reserve Bank of New York, [New York, NY]

    We show a significant loss in U.S. Treasury market functionality when intensive use of dealer balance sheets is needed to intermediate bond markets, as in March 2020. Although yield volatility explains most of the variation in Treasury market... more

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    We show a significant loss in U.S. Treasury market functionality when intensive use of dealer balance sheets is needed to intermediate bond markets, as in March 2020. Although yield volatility explains most of the variation in Treasury market liquidity over time, when dealer balance sheet utilization reaches sufficiently high levels, liquidity is much worse than predicted by yield volatility alone. This is consistent with the existence of occasionally binding constraints on the intermediation capacity of bond markets.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
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    Series: Staff reports / Federal Reserve Bank of New York ; no. 1070 (August 2023)
    Subjects: treasury market; liquidity; volatility; dealer intermediation; value-at-risk
    Scope: 1 Online-Ressource (circa 75 Seiten), Illustrationen
  4. Cournot fire sales
    Author: Eisenbach, Thomas M.; Phelan, Gregory
    Published: February 2018
    Publisher:  [Williams College : Economics], [Williamstown, MA, USA]

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    Format: Online
    Series: [Williams College Economics Department working paper series ; 2018, 01]
    Subjects: liquidity; fire sales; overinvesment; financial regulation; macroprudential regulation
    Scope: 1 Online-Ressource (circa 29 Seiten), Illustrationen
  5. Market-making with search and information frictions
    Author: Lester, Benjamin; Shourideh, Ali; Venkateswaran, Venky; Zetlin-Jones, Ariel
    Published: July 2018
    Publisher:  Research Department, Federal Reserve Bank of Philadelphia, Philadelphia, PA

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    Series: Working paper / Research Department, Federal Reserve Bank of Philadelphia ; 18, 20 (July 2018)
    Subjects: Adverse selection; trading frictions; bid-ask spreads; liquidity; learning
    Scope: 1 Online-Ressource (circa 54 Seiten), Illustrationen
  6. A high-frequency analysis of Bitcoin markets
    Author: Brauneis, Alexander; Mestel, Roland; Riordan, Ryan; Theissen, Erik
    Published: October 25, 2018
    Publisher:  Karl-Franzens-University Graz, Faculty of Social and Economic Sciences, [Graz]

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    Format: Online
    Edition: This version: October 24, 2018
    Series: Working paper / Faculty of Social and Economic Sciences, Karl-Franzens-University Graz ; 2018, 06
    Subjects: bitcoin; cryptocurrencies; liquidity; bid-ask spread
    Scope: 1 Online-Ressource (circa 32 Seiten), Illustrationen
  7. Fund fragility
    the role of fund ownership base
    Author: Allaire, Nolwenn; Breckenfelder, Johannes; Hoerova, Marie
    Published: 01 July 2024
    Publisher:  Centre for Economic Policy Research, London

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    Staatsbibliothek zu Berlin - Preußischer Kulturbesitz, Haus Potsdamer Straße
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    Universitätsbibliothek Freiburg
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    Universitätsbibliothek Mannheim
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    Source: Staatsbibliothek zu Berlin
    Language: English
    Media type: Book
    Format: Online
    Series: Array ; DP19201
    Subjects: mutual funds; runs; liquidity; fund ownership; March 2020 liquidity crisis
    Scope: 1 Online-Ressource (circa 62 Seiten), Illustrationen
  8. Liquid equity and boom-bust dynamics
    Author: Buggenum, Hugo van
    Published: 2024-07
    Publisher:  KOF, Zurich, Switzerland

    I develop and analyze a monetary model with liquid equity. Equity is a claim on the profits of firms acting as sellers in the search-and-matching market. Buyers in that market devote search to obtain matches with firms, and use the equity to relax a... more

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    I develop and analyze a monetary model with liquid equity. Equity is a claim on the profits of firms acting as sellers in the search-and-matching market. Buyers in that market devote search to obtain matches with firms, and use the equity to relax a liquidity constraint. The dual nature of equity in the search-and-matching market entails a strategic complementary in search operating through buyers' liquidity constraint, and it gives rise to endogenous booms and busts. The economy is stable in an inflation-targeting regime if combined with asset purchases, meaning the government effectively puts a floor below the value of equity.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 20.500.11850/685405
    hdl: 10419/301212
    Series: KOF working papers ; no. 519 (07/2024)
    Subjects: coordination; equity; liquidity; money-search; sunspots
    Scope: 1 Online-Ressource (circa 73 Seiten), Illustrationen
  9. Monetary policy and illiquidity
    Author: Toporowski, Jan
    Published: [2024]
    Publisher:  Institute for New Economic Thinking, New York, NY

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    Series: Working paper / Institute for New Economic Thinking ; no. 218
    Subjects: monetary policy; liquidity; debt management; yield curve control
    Scope: 1 Online-Ressource (circa 15 Seiten)
  10. Bank recovery and resolution planning, liquidity management and fragility
    Author: Deidda, Luca G.; Panetti, Ettore
    Published: Novembre 2024
    Publisher:  Arkadia, Cagliari

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    Source: Union catalogues
    Language: English
    Media type: Ebook
    Format: Online
    ISBN: 9788868515478
    Edition: Prima edizione
    Series: Working papers / CRENoS ; 2024, 20
    Subjects: banks; liquidity; financial fragility; financial regulation; resolution
    Scope: 1 Online-Ressource (circa 43 Seiten), Illustrationen
  11. Growth-friendly taxation in a high-inflation environment
    Author: Kiss, Áron; Leodolter, Alexander; Turrini, Alessandro; Ványolós, István
    Published: 2024
    Publisher:  Publications Office of the European Union, Luxembourg

    Recent EU country-specific recommendations to make taxation more growth-friendly have advocated a stronger use of recurrent taxes on immovable property and a shift of the tax burden from labour income, including a reduction of the labour tax burden... more

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    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
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    Recent EU country-specific recommendations to make taxation more growth-friendly have advocated a stronger use of recurrent taxes on immovable property and a shift of the tax burden from labour income, including a reduction of the labour tax burden of low-income taxpayers. This Economic Brief focuses on challenges related to these two types of tax reforms during periods of high inflation. The challenges linked to immovable property taxation include the update of the property values as well as issues relating to liquidity problems for households with property but relatively low income. Regarding reforms aimed at reducing the labour tax burden on low-income taxpayers, their impact may be challenged by the so-called bracket creep (or fiscal drag) phenomenon, i.e., the shift of taxpayers into higher tax brackets due to an increase of nominal incomes. The present paper highlights the relevance of these issues on the basis of recent empirical evidence and discusses current practices and possible solutions.

     
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    Source: Union catalogues
    Language: English
    Media type: Ebook
    Format: Online
    ISBN: 9789268125311
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    Series: Array ; 079 (March 2024)
    Subjects: Tax; taxation; tax policy; immovable property; property value; cadastral value; property valuation; asset-rich cash-poor; liquidity; bracket creep; fiscal drag; indexation; inflation; housing; personal income tax; tax reform; tax system; financial risk; real property
    Scope: 1 Online-Ressource (circa 20 Seiten)
  12. Through stormy seas: how fragile is liquidity across asset classes and time?
    Author: Aliyev, Nihad; Aquilina, Matteo; Rzayev, Khaladdin; Zhu, Sonya
    Published: November 2024
    Publisher:  Bank for International Settlements, Monetary and Economic Department, [Basel]

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: BIS working papers ; no 1229
    Subjects: liquidity; market resiliency; high frequency trading; fragmentation
    Scope: 1 Online-Ressource (circa 47 Seiten), Illustrationen
  13. Market impacts of the 2020 short selling bans
    Author: Spolaore, Alessandro; Le Moign, Caroline
    Published: 11 January 2024
    Publisher:  European Securities and Markets Authority (ESMA), Economics, Financial Stability and Risk Department, Paris

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    Series: ESMA working paper ; no. 2024, 1
    Subjects: short selling; market quality; financial crisis; COVID-19; liquidity; regulation impact; short selling ban
    Scope: 1 Online-Ressource (circa 40 Seiten), Illustrationen
  14. A map of the euro area financial system
    Author: Andersen, Isabel; Sánchez Serrano, Antonio
    Published: [2024]
    Publisher:  ESRB, European Systemic Risk Board, European System of Financial Supervision, Frankfurt am Main, Germany

    We present a methodology based on quarterly sectoral accounts to build a map of the euro area financial system. The map can be used to visualise existing cross-sectoral interconnections and exposures, to analyse how the main bilateral positions have... more

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    We present a methodology based on quarterly sectoral accounts to build a map of the euro area financial system. The map can be used to visualise existing cross-sectoral interconnections and exposures, to analyse how the main bilateral positions have evolved over time, and to understand how past episodes of financial stress affected balance sheet structures and inter-sectoral flows. We find that the euro area financial system was essentially bank-centric when it entered the global financial crisis, and only afterwards has the importance of investment funds, government debt and central banks increased substantially. In particular, investment funds are used by euro area economic agents to gain exposure to the rest of the world and vice versa. We also document weak dynamics since the global financial crisis in lending between euro area banks and non-financial corporations. Next, we look at the financial system during the global financial crisis and the outbreak of the COVID-19 pandemic, a further four episodes of financial stress (sovereign debt crisis, the US taper tantrum, the Brexit referendum, the start of Russia's invasion of Ukraine) and the monetary policy tightening between 2005 and 2007. While there are differences across them, we unveil interesting common features. The map can be useful in determining which sectors are resilient enough to absorb losses and whether they can serve as transmitters of stress. Finally, turning to liquidity, bank deposits, money market fund shares and securities financing transactions are key to ensure a smooth supply of liquidity and should continuously be on the radar of policymakers.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/306587
    Series: Occasional paper series / European Systemic Risk Board ; no 26
    Subjects: Interconnections; flow of funds; financial crisis; financial intermediation; liquidity
    Scope: 1 Online-Ressource (circa 94 Seiten), Illustrationen
  15. Liquidity and financial cycles
    Author: Adrian, Tobias; Shin, Hyun Song
    Published: 2008

    In a financial system where balance sheets are continuously marked to market, asset price changes show up immediately in changes in net worth, and elicit responses from financial intermediaries, who adjust the size of their balance sheets. We... more

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    In a financial system where balance sheets are continuously marked to market, asset price changes show up immediately in changes in net worth, and elicit responses from financial intermediaries, who adjust the size of their balance sheets. We document evidence that marked to market leverage is strongly procyclical. Such behaviour has aggregate consequences. Changes in aggregate balance sheets for intermediaries forecast changes in risk appetite in financial markets, as measured by the innovations in the VIX index. Aggregate liquidity can be seen as the rate of change of the aggregate balance sheet of the financial intermediaries

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Print
    Series: BIS working papers ; 256
    Subjects: Finanzintermediation; Bilanzpolitik; Eigenkapital; Betriebliche Liquidität; Welt
    Other subjects: Array
    Scope: VII, 31 S., graph. Darst.
  16. Crashes and recoveries in illiquid markets
    Published: Aug. 2007
    Publisher:  Federal Reserve Bank of Cleveland, Cleveland, Ohio

    "We study the dynamics of liquidity provision by dealers during an asset market crash, described as a temporary negative shock to investors' aggregate asset demand. We consider a class of dynamic market settings where dealers can trade continuously... more

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    "We study the dynamics of liquidity provision by dealers during an asset market crash, described as a temporary negative shock to investors' aggregate asset demand. We consider a class of dynamic market settings where dealers can trade continuously with each other, while trading between dealers and investors is subject to delays and involves bargaining. We derive conditions on fundamentals, such as preferences, market structure and the characteristics of the market crash (e.g., severity, persistence) under which dealers provide liquidity to investors following the crash. We also characterize the conditions under which dealers' incentives to provide liquidity are consistent with market efficiency"--Federal Reserve Bank of Cleveland web site

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Working paper / Federal Reserve Bank of Cleveland ; 0708
    Subjects: Finanzkrise; Liquidität; Wertpapierhandel; Handelsvolumen der Börse; Theorie; Liquidity (Economics)
    Other subjects: Array
    Scope: Online-Ressource, 68 S. = 540 KB, Text
    Notes:

    Title from PDF file as viewed on 10/29/2007

    Includes bibliographical references

    Also available in print
  17. Liquidity in asset markets with search frictions
    Published: June 2007
    Publisher:  Federal Reserve Bank of Cleveland, Cleveland, Ohio

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    Series: Working paper / Federal Reserve Bank of Cleveland ; 0706
    Subjects: Finanzintermediation; OTC-Handel; Suchtheorie; Geld-Brief-Spanne; Handelsvolumen der Börse; Effizienzmarkthypothese; Theorie
    Other subjects: Array
    Scope: Online-Ressource, 54 S., Text, graph. Darst.
  18. Financial innovation in sovereign borrowing and public provision of liquidity
    Author: Gómez-González, Patricia
    Published: 2015
    Publisher:  Banco de España, Madrid

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    Media type: Book
    Format: Online
    Series: Documentos de trabajo / Banco de España, Eurosistema ; no. 1511
    Subjects: sovereign debt; financial innovation; liquidity
    Scope: 1 Online-Ressource (circa 62 Seiten), Illustrationen
    Notes:

    Zusammenfassung in spanischer Sprache
  19. Does public news decrease information asymmetries?
    evidence from the weekly petroleum status report
    Author: Crego, Julio A.
    Published: November 2017
    Publisher:  CEMFI, Centro de estudios monetarios y financieros, Madrid

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    Series: Working paper / CEMFI ; 1714
    Subjects: Public information; news release; asymmetric information; liquidity
    Scope: 1 Online-Ressource (circa 58 Seiten), Illustrationen
  20. Flexible microfinance products for financial management by the poor
    evidence from safesave
    Author: Laureti, Carolina; De Janvry, Alain; Sadoulet, Elisabeth
    Published: [2017]
    Publisher:  Université Libre de Bruxelles - Solvay Brussels School of Economics and Management, Centre Emile Bernheim, Brussels, Belgium

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    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 2013/ULB-DIPOT:oai:dipot.ulb.ac.be:2013/262437
    Series: CEB working paper ; no 17, 036 (December 2017)
    Subjects: Bangladesh; liquidity; household finance; contract design
    Scope: 1 Online-Ressource (circa 51 Seiten), Illustrationen
  21. Saving for multiple financial needs
    evidence from Malawi
    Author: Aggarwal, Shilpa; Brailovskaya, Valentina; Robinson, Jonathan
    Published: December 27, 2018
    Publisher:  BREAD, the Bureau for Research and Economic Analysis of Development, [Cambridge, Massachusetts]

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    Format: Online
    Series: BREAD working paper ; no. 552
    Subjects: savings; mobile money; lockboxes; liquidity; labeling; mental accounting; goalsetting; microenterprises
    Scope: 1 Online-Ressource (circa 42 Seiten), Illustrationen
  22. Long run growth of financial data technology
    Author: Veldkamp, Laura; Farboodi, Maryam
    Published: 23 October 2018
    Publisher:  Centre for Economic Policy Research, London

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    W 32 (13278)
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    Series: Discussion paper series / Centre for Economic Policy Research ; DP13278
    Subjects: Big Data; financial analysis; Fintech; growth; Information Acquisition; liquidity
    Scope: 76 Seiten, Illustrationen
    Notes:

    Erscheint auch als Online-Ausgabe
  23. Dealers' insurance, market structure, and liquidity
    Author: Carapella, Francesca; Monnet, Cyril
    Published: 2020
    Publisher:  Bank for International Settlements, Monetary and Economic Department, [Basel]

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    Source: Union catalogues
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    Format: Online
    Series: BIS working papers ; no 861 (May 2020)
    Subjects: liquidity; dealers; insurance; central counterparties
    Scope: 1 Online-Ressource (circa 78 Seiten), Illustrationen
  24. Arbitrage with financial constraints and market power
    Author: Fardeau, Vincent
    Published: 2022
    Publisher:  Higher School of Economics Publ. House, Moscow

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    Format: Online
    Series: Array ; WP9/2022, 01
    Subjects: limits of arbitrage; liquidity; strategic arbitrage; market structure; price impact; margin requirements; VaR
    Scope: 1 Online-Ressource (circa 86 Seiten), Illustrationen
  25. Strategic trading around anticipated supply: demand shocks
    Author: Fardeau, Vincent
    Published: 2022
    Publisher:  Higher School of Economics Publ. House, Moscow

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    Series: Array ; WP9/2022, 02
    Subjects: strategic trading; liquidity; price impact; thin markets; V-shaped price patterns; momentum and reversal; anticipated shocks
    Scope: 1 Online-Ressource (circa 128 Seiten), Illustrationen