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  1. Collateral pledgeability and asset manager portfolio choices during redemption waves
    Author: Fauvrelle, Thiago; Riedel, Max; Skrutkowski, Mathias
    Published: 2023
    Publisher:  ESM, Luxembourg

    This paper studies whether Eurosystem collateral eligibility played a role in the portfolio choices of euro area asset managers during the "dash-for-cash" episode of 2020. We find that asset managers reduced their allocation to ECB-eligible corporate... more

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    This paper studies whether Eurosystem collateral eligibility played a role in the portfolio choices of euro area asset managers during the "dash-for-cash" episode of 2020. We find that asset managers reduced their allocation to ECB-eligible corporate bonds, selling them in order to finance redemptions, while simultaneously increasing their cash holdings. These findings add nuance to previous studies of liquidity strains and price dislocations in the corporate bond market during the onset of the Covid-19 pandemic, indicating a greater willingness of dealers to increase their inventories of corporate bonds pledgeable with the ECB. Analysing the price impact of these portfolio choices, we also find evidence pointing to price pressure for both ECB-eligible and ineligible corporate bonds. Bonds that were held to a larger extent by investment funds in our sample experienced higher price pressure, although the impact was lower for ECB-eligible bonds. We also discuss broader implications for the related policy debate about how central banks could mitigate similar types of liquidity shocks.

     
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    Source: Union catalogues
    Language: English
    Media type: Ebook
    Format: Online
    ISBN: 9789295223349
    Other identifier:
    Series: Working paper series / European Stability Mechanism ; 58 (2023)
    Subjects: Investment funds; dash-for-cash; corporate bonds; Eurosystem collateral eligibility; euro area; Eurosystem; European Investment Fund; bond; European Central Bank; money-market liquidity
    Scope: 1 Online-Ressource (circa 59 Seiten)
  2. Finance in Africa
    uncertain times, resilient banks : African finance at a crossroads
    Published: [2023]; ©2023
    Publisher:  European Investment Bank, Luxembourg

    The Finance in Africa report emphasises the challenges faced by the African banking sector - including the impact of recent shocks, such as the COVID-19 crisis and Russia's invasion of Ukraine - and the importance of gender diversity in business and... more

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    The Finance in Africa report emphasises the challenges faced by the African banking sector - including the impact of recent shocks, such as the COVID-19 crisis and Russia's invasion of Ukraine - and the importance of gender diversity in business and banking. The report also discusses the need for international support and sustainable finance to advance economic development and climate change in Africa. It provides insights into the financial conditions, banking sector performance, and investment trends in the region. It covers the nature of climate finance flows in Africa and the degree of climate risk on bank balance sheets. With the right measures in place, Africa has the potential to overcome its challenges and unlock its true economic potential.

     
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    Source: Union catalogues
    Language: English
    Media type: Ebook
    Format: Online
    ISBN: 9789286155987; 9789286156045
    Other identifier:
    Subjects: financial market; banking system; economic integration; bond; regional policy; gender equality; type of business; sustainable finance; investment; environmental risk prevention; Africa
    Scope: 1 Online-Ressource (circa 160 Seiten), Illustrationen (farbig)
    Notes:

    Bibl. : p. 149-151
  3. Green bonds
    allocation and impact report
    Published: 2023
    Publisher:  Publications Office of the European Union, Luxembourg

    As of 1 August 2023, the Commission has issued EUR 44.2 billion of NGEU Green Bonds. NGEU Green Bond issuances are guided by the NGEU Green Bond Framework, which is aligned with the Green Bond Principles of the International Capital Market... more

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    As of 1 August 2023, the Commission has issued EUR 44.2 billion of NGEU Green Bonds. NGEU Green Bond issuances are guided by the NGEU Green Bond Framework, which is aligned with the Green Bond Principles of the International Capital Market Association (ICMA). This report constitutes the first comprehensive NGEU Green Bond report that also discloses climate impacts since the start of the NGEU Green Bond programme in 2021. Given the considerable ramp-up phase of investments and reforms in the Recovery and Resilience Facility, and in line with commitments made in the NGEU Green Bond Framework, the first impact report lags the allocation report by one year. In future, allocation and impact reports will be published annually.

     
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    Source: Union catalogues
    Language: English
    Media type: Ebook
    Format: Online
    ISBN: 9789268082171
    Other identifier:
    Subjects: EU financial instrument; financial management; economic recovery; EU loan; bond; sustainable finance; capital market; impact study; report
    Scope: 1 Online-Ressource (circa 107 Seiten)
  4. The evolution of financial market infrastructure
    from digitalization to tokenization
    Author: Guo, Dong; Zhou, Peng
    Published: March 2023
    Publisher:  Cardiff Business School, Cardiff University, Cardiff, United Kingdom

    This paper examines the historical development and cross-sectional heterogeneities of Financial Market Infrastructure (FMI). From an evolutionary perspective, we review and compare FMIs in the US, Europe, and China. We identify an emerging trend in... more

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    This paper examines the historical development and cross-sectional heterogeneities of Financial Market Infrastructure (FMI). From an evolutionary perspective, we review and compare FMIs in the US, Europe, and China. We identify an emerging trend in which the development of FMI is transitioning from digitalization to tokenization with the rise of Distributed Ledger Technology (DLT). Digitalization reinforces centralization, while tokenization promotes decentralization, posing complex challenges to regulatory framework which is also part of FMI. We then specifically analyze DLT-based FMI in the bond market, evaluate different models of tokenization, and propose a heterogeneous consortium blockchain solution.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/284167
    Series: Cardiff economics working papers ; no. E2023, 05
    Subjects: digitalization; tokenization; blockchain; bond
    Scope: 1 Online-Ressource (circa 13 Seiten), Illustrationen
  5. Fund fragility
    the role of investor base
    Author: Allaire, Nolwenn; Breckenfelder, Johannes; Hoerova, Marie
    Published: [2023]
    Publisher:  European Central Bank, Frankfurt am Main, Germany

    Using security-by-security data on investor holdings in the euro area, we study run dynamics across different fund-shares of the same fund during the unprecedented liquidity crisis in March 2020. For an average bond or equity mutual fund-share,... more

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    Using security-by-security data on investor holdings in the euro area, we study run dynamics across different fund-shares of the same fund during the unprecedented liquidity crisis in March 2020. For an average bond or equity mutual fund-share, households, other euro area funds, and the foreign sector each represent about a quarter of the total holdings. Insurance companies hold another 14%, with all other investors combined (banks, non-financial corporations, pension funds, etc.) accounting for less than 10% of holdings. Analyzing bond funds, we show that fund-shares with higher ownership by other funds suffered substantially higher outflows (by 6 percentage points), while fund-shares with higher ownership by households had substantially lower outflows (by 5 percentage points) compared to the other fund-shares within the same fund. This gap is not driven by time-varying differences in fund performance. Results for equity funds are similar, although they faced substantially smaller outflows, coupled with much larger declines in performance, compared to bond funds. Our findings suggest that a collective "dash for cash" by consumers and firms in need of liquidity at the outset of the COVID-19 pandemic was not the source of mutual fund fragility. Instead, the most run-prone investor type turned out to be the fund sector itself.

     
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    Source: Union catalogues
    Language: English
    Media type: Ebook
    Format: Online
    ISBN: 9789289962513
    Other identifier:
    hdl: 10419/297314
    Series: Working paper series / European Central Bank ; no 2874
    Subjects: mutual funds; runs; liquidity; investor type; March 2020 liquidity crisis; euro area; monetary crisis; investment transaction; holding company; bond; investment; insurance company; money-market liquidity
    Scope: 1 Online-Ressource (circa 50 Seiten), Illustrationen
  6. US monetary policy spillovers to European banks
    Author: Jung, Alexander
    Published: [2023]
    Publisher:  European Central Bank, Frankfurt am Main, Germany

    The Federal Reserve's (Fed) monetary policy announcements have created massive spillovers to global financial markets. Based on daily data for the sample from 1999 to 2019, this study finds that the Fed's monetary policy announcements created... more

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    The Federal Reserve's (Fed) monetary policy announcements have created massive spillovers to global financial markets. Based on daily data for the sample from 1999 to 2019, this study finds that the Fed's monetary policy announcements created significant international spillovers to bond yields and stock prices of European banks and non-financial corporations (NFCs), while changes in uncertainty around the expected Fed policy path and Fed information effects constituted critical additional dimensions of these spillover effects. International spillovers to bond yields of banks and NFCs were similar, while stock prices of European banks responded somewhat stronger than those of NFCs. The significant spillovers from the Fed's forward guidance to European bond yields show that central bank communication is very relevant for international transmission. In relation to earlier studies emphasizing strong QE-related spillovers, this study suggests that Fed QE announcements created only small spillovers on bond yields and stock prices of European banks and NFCs.

     
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    Source: Union catalogues
    Language: English
    Media type: Ebook
    Format: Online
    ISBN: 9789289962537
    Other identifier:
    hdl: 10419/297316
    Series: Working paper series / European Central Bank ; no 2876
    Subjects: High-frequency event study; local projections; monetary policy shocks; monetary policy uncertainty; instrumental variables; monetary policy; international market; bank; economic forecasting; monetary crisis; bond; United States
    Scope: 1 Online-Ressource (circa 49 Seiten), Illustrationen
  7. Intermediation in US and EU bond and swap markets
    stylised facts, trends and impact of the coronavirus (COVID-19) crisis in March 2020
    Author: Scheicher, Martin
    Published: [2023]
    Publisher:  ESRB, European Systemic Risk Board, European System of Financial Supervision, Frankfurt am Main, Germany

    The trading of bonds and swaps largely relies on bank dealers as core market-makers. Dealers provide liquidity and trade the instruments with smaller or less active firms, in part by using their own balance sheets for inventory holding or hedging... more

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    The trading of bonds and swaps largely relies on bank dealers as core market-makers. Dealers provide liquidity and trade the instruments with smaller or less active firms, in part by using their own balance sheets for inventory holding or hedging purposes. The reforms carried out in the aftermath of the global financial crisis (GFC) and the low interest rate environment have extensively changed the mechanisms and costs of trading fixed income instruments. This paper sets out to analyse the structure of trading in key over-the-counter (OTC) fixed income markets. We focus on three questions: (1) how are bonds and swaps currently traded and how liquid are these markets?, (2) how do the structural changes affect the dealer business model and market functioning?, and (3) how did the coronavirus (COVID-19) shock in March 2020 affect the OTC bond and swap market in its new post-reform set-up? To answer these questions, we combine an institutional and research perspective with a focus on key EU markets. We use public data and findings from the rich body of academic literature to describe the dealer business model and its post-GFC evolution. Overall, we argue that OTC fixed income trading is becoming "faster" due to the progress of electronic trading and the rise of non-bank traders, which has led bank dealers to make some adjustments to their market-making activities. The ongoing challenges faced in ensuring resilient provision of liquidity were also highlighted by the US bond market dislocation in March 2020.

     
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    Source: Union catalogues
    Language: English
    Media type: Ebook
    Format: Online
    ISBN: 9789294723505
    Other identifier:
    hdl: 10419/283516
    Series: Occasional paper series / European Systemic Risk Board ; no 24
    Subjects: Fixed income; market structure; liquidity; swaps; bonds; dealers; bond; swap arrangement; coronavirus disease; crisis management; money-market liquidity; broker; EU Member State; United States
    Scope: 1 Online-Ressource (circa 46 Seiten), Illustrationen
  8. The European sustainable debt market
    do issuers benefit from an ESG pricing effect?
    Published: 6 October 2023
    Publisher:  ESMA, Paris

    Issuance of sustainable-labelled debt has soared over the last years, benefitting from an increasing investor appetite for financial products that contain a sustainability element. At the same time, research suggests that sustainable-labelled debt... more

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    Issuance of sustainable-labelled debt has soared over the last years, benefitting from an increasing investor appetite for financial products that contain a sustainability element. At the same time, research suggests that sustainable-labelled debt issuers may benefit from a pricing advantage, the so-called 'greenium', which is often attributed to investor's willingness to forego returns in exchange for the sustainability element of the financial product they are investing in. However, existing evidence has not been conclusive so far regarding the existence of a definite pricing advantage, and it further focuses mainly on green bonds only. This article expands the analytical work to all environmental, social and governance (ESG) bond types and identifies a set of key factors potentially causing the greenium. The topic is thereby relevant to several of ESMA's mandates. It directly adds to the understanding of investor preferences for sustainable finance, it helps to investigate any pricing distortions between comparable debt instruments that might impact market stability if they unravel, and, finally, it contributes to ESMA's strategic priority of monitoring ESG market developments and assessing new financial instruments. In terms of findings, our analytical results cannot confirm the existence of a systematic and consistent pricing advantage for any ESG bond category. Furthermore, we find that in the past, issuers of ESG bonds benefitted from pricing premiums based on their issuer characteristics and that issuers' public sustainability commitments do not impact the pricing of their bonds. The European sustainable debt market - do issuers benefit from an ESG pricing effect?

     
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    Source: Union catalogues
    Language: English
    Media type: Ebook
    Format: Online
    ISBN: 9789295202993
    Other identifier:
    Series: ESMA TRV risk analysis
    Sustainable finance
    Subjects: Rentenmarkt; Nachhaltige Kapitalanlage; EU-Staaten; Greenium; financial stability; financial risk; risk management; sustainable finance; sustainable development; claim; green economy; multi-level governance; bond; fixing of prices; European Securities and Markets Authority; EU financial instrument
    Scope: 1 Online-Ressource (circa 16 Seiten)
  9. Essays on short-term funding markets
    Author: Ballensiefen, Benedikt
    Published: 2023

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    Source: Union catalogues
    Language: English
    Media type: Dissertation
    Format: Online
    Other identifier:
    hdl: 20.500.14171/107699
    5266
    Subjects: Finanzierung; Liquidität; Geldmarkt; Geldpolitik; Bewertung; Staatsanleihe; monetary policy; liquidity; Funding; money market; bond; asset pricing
    Scope: 1 Online-Ressource (circa 228 Seiten), Illustrationen
    Notes:

    Dissertation, University of St.Gallen, 2022
  10. Portfolio flows and exchange rate volatility
    an empirical estimation for BRICS countries
    Author: Chaudhari, Dipak R.; Trivedi, Pushpa L.; Kumar, Prabhat
    Published: July 2023
    Publisher:  Reserve Bank of India, Department of Economic and Policy Research, [Mumbai]

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: RBI working paper series ; WPS (DEPR) 2023, 08
    Subjects: Portfolio flows; bond; equity; exchange rate volatility; BRICS countries; currency appreciation; GARCH (1, 1); granger causality
    Scope: 1 Online-Ressource (circa 34 Seiten), Illustrationen