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  1. Is Maturity-Transformation Risk Priced into Bank Deposit Rates?
    Author: Fleckenstein, Matthias; Longstaff, Francis A.
    Published: July 2024
    Publisher:  National Bureau of Economic Research, Cambridge, Mass

    We use the term structure of bank CD rates to examine whether maturity-transformation risk is priced into the rates banks offer customers. We find that depositors pay a significant cost for the liquidity provided by bank deposits. This cost is... more

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    Sächsische Landesbibliothek - Staats- und Universitätsbibliothek Dresden
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    Universitätsbibliothek Freiburg
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    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
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    Staats- und Universitätsbibliothek Hamburg Carl von Ossietzky
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    Technische Informationsbibliothek (TIB) / Leibniz-Informationszentrum Technik und Naturwissenschaften und Universitätsbibliothek
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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    We use the term structure of bank CD rates to examine whether maturity-transformation risk is priced into the rates banks offer customers. We find that depositors pay a significant cost for the liquidity provided by bank deposits. This cost is strongly related to the amount of maturity-transformation risk that these deposit accounts create. The cost is also negatively correlated with the convenience premia in Treasury markets, which suggests that households do not view deposit liquidity and Treasury liquidity as perfect substitutes. The results have important implications about the role of deposit franchises and market power in banking markets

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: NBER working paper series ; no. w32724
    Subjects: Fälligkeit; Einlagengeschäft; Zinsrisiko; Geldmarktpapier; Zins; Zinsstruktur; Liquidität; USA; Asset Pricing; Trading Volume; Bond Interest Rates; Banks; Depository Institutions; Micro Finance Institutions; Mortgages
    Scope: 1 Online-Ressource, illustrations (black and white)
    Notes:

    Hardcopy version available to institutional subscribers
  2. When large traders create noise
    Author: Glebkin, Sergei; Kuong, John Chi-Fong
    Published: 06 August 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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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Universität Potsdam, Universitätsbibliothek
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    Source: Staatsbibliothek zu Berlin
    Language: English
    Media type: Book
    Format: Online
    Series: Array ; DP19331
    Subjects: Institutioneller Investor; Wettbewerb; Noise Trading; Asymmetrische Information; Börsenkurs; Informationswert; Adverse Selektion; Liquidität; Kapitalmarkttheorie
    Scope: 1 Online-Ressource (circa 79 Seiten), Illustrationen
  3. U.S. Liquid Government Liabilities and Emerging Market Capital Flows
    Author: Lee, Soyean; Engel, Charles
    Published: June 2024
    Publisher:  National Bureau of Economic Research, Cambridge, Mass

    Empirical work finds that flows of investments from the U.S. and other high income countries to emerging markets increase during times of quantitative easing by the U.S. Federal Reserve, and the reverse movement occurs under quantitative tightening.... more

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    Sächsische Landesbibliothek - Staats- und Universitätsbibliothek Dresden
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    Universitätsbibliothek Freiburg
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    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
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    Staats- und Universitätsbibliothek Hamburg Carl von Ossietzky
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    Technische Informationsbibliothek (TIB) / Leibniz-Informationszentrum Technik und Naturwissenschaften und Universitätsbibliothek
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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Empirical work finds that flows of investments from the U.S. and other high income countries to emerging markets increase during times of quantitative easing by the U.S. Federal Reserve, and the reverse movement occurs under quantitative tightening. We offer new evidence to confirm these findings, and then propose a theory based on the liquidity of U.S. government liabilities held by the public. We hypothesize that QE, by increasing liquidity, offers greater flexibility for investors that might be concerned their funds will be tied up when shocks to income or investment opportunities arise. With the assurance that some of their portfolio can be readily sold in liquid markets, rich country investors are more willing to increase investments in illiquid loans to emerging markets. The effect of increasing the liquidity of U.S. government liabilities on investments in EMs may even be stronger during times of greater uncertainty

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: NBER working paper series ; no. w32572
    Subjects: Geldpolitik; Quantitative Lockerung; Liquidität; Auslandsinvestition; Kapitalmobilität; Schwellenländer; USA; Monetary Policy, Central Banking, and the Supply of Money and Credit; General
    Scope: 1 Online-Ressource, illustrations (black and white)
    Notes:

    Hardcopy version available to institutional subscribers
  4. Common asset holdings as an amplifier of open-ended funds liquidity risk
    evidence from global fixed-income funds
    Author: Wu, Shui Tang; Dong, Yingwei
    Published: June 2024
    Publisher:  Hong Kong Institute for Monetary and Financial Research, [Hong Kong]

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: HKIMR working paper ; 2024, no. 04 (June 2024)
    Subjects: Rentenfonds; Liquidität; Risiko; Internationaler Finanzmarkt; Portfolio-Management; Ansteckungseffekt; Systemrisiko; Welt
    Scope: 1 Online-Ressource (circa 34 Seiten), Illustrationen
  5. Missing markets
    microstructure and liquidity on the 19th century london stock exchange
    Author: Esteves, Rui Pedro; Mesevage, Gabriel Geisler
    Published: 19 April 2024
    Publisher:  Centre for Economic Policy Research, London

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    Verlag (Deutschlandweit zugänglich)
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    Staatsbibliothek zu Berlin - Preußischer Kulturbesitz, Haus Potsdamer Straße
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    Staats- und Universitätsbibliothek Bremen
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    Universitätsbibliothek Freiburg
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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Universitätsbibliothek Mannheim
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    Universität Potsdam, Universitätsbibliothek
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    Source: Staatsbibliothek zu Berlin
    Language: English
    Media type: Book
    Format: Online
    Series: Array ; DP19008
    Subjects: Börsenhandel; Marktmikrostruktur; Liquidität; Börsenmakler; Adverse Selektion; Bestand; Kosten; London
    Scope: 1 Online-Ressource (circa 64 Seiten), Illustrationen
  6. When large traders create noise
    Author: Glebkin, Sergei; Kuong, John Chi-Fong
    Published: 06 August 2024
    Publisher:  Centre for Economic Policy Research, London

    Access:
    Verlag (Deutschlandweit zugänglich)
    Verlag (Deutschlandweit zugänglich)

    Location:
    Staatsbibliothek zu Berlin - Preußischer Kulturbesitz, Haus Unter den Linden
    Inter-library loan:
    Unlimited inter-library loan, copies and loan

    Location:
    Universität Potsdam, Universitätsbibliothek
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    Unlimited inter-library loan, copies and loan
    Export to reference management software   RIS file
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    Source: Staatsbibliothek zu Berlin
    Language: English
    Media type: Book
    Format: Online
    Series: Array ; DP19331
    Subjects: Institutioneller Investor; Wettbewerb; Noise Trading; Asymmetrische Information; Börsenkurs; Informationswert; Adverse Selektion; Liquidität; Kapitalmarkttheorie
    Scope: 1 Online-Ressource (circa 79 Seiten), Illustrationen
  7. Missing markets
    microstructure and liquidity on the 19th century london stock exchange
    Author: Esteves, Rui Pedro; Mesevage, Gabriel Geisler
    Published: 19 April 2024
    Publisher:  Centre for Economic Policy Research, London

    Access:
    Verlag (Deutschlandweit zugänglich)
    Verlag (Deutschlandweit zugänglich)

    Location:
    Staatsbibliothek zu Berlin - Preußischer Kulturbesitz, Haus Unter den Linden
    Inter-library loan:
    Unlimited inter-library loan, copies and loan

    Location:
    Universität Potsdam, Universitätsbibliothek
    Inter-library loan:
    Unlimited inter-library loan, copies and loan
    Export to reference management software   RIS file
      BibTeX file
    Source: Staatsbibliothek zu Berlin
    Language: English
    Media type: Book
    Format: Online
    Series: Array ; DP19008
    Subjects: Börsenhandel; Marktmikrostruktur; Liquidität; Börsenmakler; Adverse Selektion; Bestand; Kosten; London
    Scope: 1 Online-Ressource (circa 64 Seiten), Illustrationen