Financial markets
-
-
Capital Flows and Macroprudential Policies - A Multilateral Assessment of Effectiveness and Externalities
This paper assesses the effectiveness and associated externalities that arise when macroprudential policies (MPPs) are used to manage international capital flows. Using a sample of up to 139 countries, we examine the impact of eight different MPP measures on cross-border bank flows over the period 1999-2009. -
Improving Overnight Loan Identification in Payments Systems
Information on the allocation and pricing of over-the-counter (OTC) markets is scarce. Furfine (1999) pioneered an algorithm that provides transaction-level data on the OTC interbank lending market. -
June 12, 2014
Reforming Financial Benchmarks: An International Perspective
Thomas Thorn and Harri Vikstedt examine the efforts being taken internationally and in Canada to enhance the governance and integrity of financial benchmarks. The report provides an overview of how interbank interest rate benchmarks are set and describes the weaknesses in the process that were exposed by the financial crisis. It also explains recent policy developments designed to make global and Canadian interbank benchmarks more robust. -
Monetary Policy Transmission during Financial Crises: An Empirical Analysis
This paper studies the effects of a monetary policy expansion in the United States during times of high financial stress. The analysis is carried out by introducing a smooth transition factor model where the transition between states (“normal” and high financial stress) depends on a financial conditions index. -
High-Frequency Trading Competition
We analyze trading dynamics as successive high-frequency trading (HFT) firms begin to trade stocks in an equity market. Entrants compete with incumbents for volume, and there is crowding out. -
Interest on Cash, Fundamental Value Process and Bubble Formation on Experimental Asset Markets
We study the formation of price bubbles on experimental asset markets where cash earns interest. There are two main conclusions. -
Do Sunspots Matter? Evidence from an Experimental Study of Bank Runs
A "sunspot" is a variable that has no direct impact on the economy’s fundamental condition, such as preferences, endowments or technologies, but may nonetheless affect economic outcomes through the expectations channel as a coordination device. This paper investigates how people react to sunspots in the context of a bank-run game in a controlled laboratory environment. -
Corporate Governance, Product Market Competition and Debt Financing
This paper examines the impact of product market competition and corporate governance on the cost of debt financing and the use of bond covenants. We find that more anti-takeover provisions are associated with a lower cost of debt only in competitive industries. -
It Hurts (Stock Prices) When Your Team Is About to Lose a Soccer Match
The end result of major sporting events has been shown to affect next-day stock returns through shifts in investor mood. By studying the soccer matches that led to the elimination of France and Italy from the 2010 FIFA World Cup, we show that mood-related pricing effects can materialize as sporting events unfold.