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The Importance of Being Special: Repo Markets During the Crisis
In: Journal of Financial Economics (JFE), Forthcoming
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Working paper
The importance of being special: Repo markets during the crisis
Specialness - the premium of procuring a specific security in the repo market - increased in the second half of 2011 for Italian government bonds. We assess the impact on specialness of the outright purchase program of the Eurosystem during the same period. Bonds bought by the Eurosystem had higher specialness. The impact was economically significant and persistent. Short-selling traders had to pay a net premium to close their positions and therefore may have decided to fail on their delivery. Indeed bonds that were bought under the program were more likely to be underlying a fail-to-deliver transaction.
BASE
The Importance of Being Special: Repo Markets During the Crisis
In: ECB Working Paper No. 2065
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House Prices, Home Equity and Entrepreneurships
In: ECB Working Paper No. 1544
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Working paper
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LOLR Policies, Banks' Borrowing Capacities and Funding Structures
In: ECB Working Paper No. 2022/2738
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Violating the Law of One Price: The Role of Non-Conventional Monetary Policy
In: ECB Working Paper No. 1927
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Working paper
Euro area sovereign bond risk premia during the Covid-19 pandemic
We decompose euro area sovereign bond yields into five distinct components: i) expected future short-term risk-free rates and a term premium, ii) default risk premium, iii) redenomination risk premium, iv) liquidity risk premium, and a v) segmentation (convenience) premium. Iden- tification is achieved by considering sovereign bond yields jointly with other rates, including sovereign credit default swap spreads with and without redenomination as a credit event fea- ture. We apply our framework to study the impact of European Central Bank (ECB) monetary policy and European Union (E.U.) fiscal policy announcements during the Covid-19 pandemic recession. We find that both monetary and fiscal policy announcements had a pronounced ef- fect on yields, mostly through default, redenomination, and segmentation premia. While the ECB's unconventional monetary policy announcements benefited some (vulnerable) countries more than others, owing to unprecedented exibility in implementing bond purchases, the E.U.'s fiscal policy announcements lowered yields more uniformly.
BASE
Euro Area Sovereign Bond Risk Premia During the COVID-19 Pandemic
In: ECB Working Paper No. 2021/2561
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On Collateral: Implications for Financial Stability and Monetary Policy
In: ECB Working Paper No. 2107
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Working paper
Is the Bond Market Competitive? Evidence From the ECB's Asset Purchase Programme
In: Swiss Finance Institute Research Paper No. 23-104
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Portfolio Choice with House Value Misperception
In: FRB of Boston Working Paper No. 17-16
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Working paper