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Displaying results 1 to 11 of 11.

  1. Distributed ledger technology experiments in payments and settlements
    Author: Shabsigh, Ghiath; Tanai Khiaonarong; Leinonen, Harry
    Published: June 2020
    Publisher:  International Monetary Fund, Washington, DC, U.S.A.

    Major transformations in payment and settlements have occurred in generations. The first generation was paper-based. Delivery times for payment instruments took several days domestically and weeks internationally. The second generation involved... more

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    Major transformations in payment and settlements have occurred in generations. The first generation was paper-based. Delivery times for payment instruments took several days domestically and weeks internationally. The second generation involved computerization with batch processing. Links between payment systems were made through manual or file-based interfaces. The change-over period between technologies was long and still some paper-based instruments like checks and cash remain in use. The third generation, which has been emerging, involves electronic and mobile payment schemes that enable integrated, immediate, and end-to-end payment and settlement transfers. For example, real-time gross settlement systems have been available in almost all countries. DLT has been viewed as a potential platform for the next generation of payment systems, enhancing the integration and the reconciliation of settlement accounts and their ledgers. So far, experiments with DLT experimentations point to the potential for financial infrastructures to move towards real-time settlement, flatter structures, continuous operations, and global reach. Testing in large-value payments and securities settlement systems have partly demonstrated the technical feasibility of DLT for this new environment. The projects examined analyzed issues associated with operational capacity, resiliency, liquidity savings, settlement finality, and privacy. DLT-based solutions can also facilitate delivery versus payment of securities, payment versus payment of foreign exchange transactions, and efficient cross-border payments

     
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    Source: Staatsbibliothek zu Berlin
    Language: English
    Media type: Ebook
    Format: Online
    ISBN: 9781513536354
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    Series: FinTech notes ; note 20, 01
    Subjects: FTN; distributed ledger technology; transaction; market; counterparty; settlement system; DLT payment transaction; permissioned DLT network; DLT implementation; DLT prototype; DLT solution; Blockchain and DLT; Payment systems; Liquidity; Credit risk; Securities settlement systems; Global
    Scope: 1 Online-Ressource (circa 22 Seiten)
  2. Institutional corporate bond demand
    Author: Bretscher, Lorenzo; Schmid, Lukas; Sen, Ishita; Sharma, Varun
    Published: 2020
    Publisher:  Swiss Finance Institute, Geneva

    We compile a rich dataset that links institutional investors' position level holdings with corporate bond characteristics and estimate demand elasticities with respect to critical sources of risk. Persistence in institutions' holdings provide us with... more

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    We compile a rich dataset that links institutional investors' position level holdings with corporate bond characteristics and estimate demand elasticities with respect to critical sources of risk. Persistence in institutions' holdings provide us with an instrument to isolate exogenous movements in prices. We find significant heterogeneity in demand elasticities across the main players in the corporate bond market, namely insurers, pension funds, and mutual funds. Long-term investors are sensitive to interest rate movements and supply liquidity, whereas mutual funds, with shorter investment horizon and benchmark constraints, demand liquidity. Price impact increased post-crisis for all institutions and has remained higher than the pre-crisis levels, signaling a general decline in bond market liquidity due perhaps to regulatory changes in the corporate bond market. Price impact jumped up significantly during COVID-19, perhaps suggesting a reluctance of dealers to intermediate in the market place, and illustrating that firms' funding opportunities are highly sensitive to investors' latent demand shocks. Our results have wide ranging implications for corporate bond pricing due to heterogeneity in investors and investment mandates, and are hard to reconcile with standard, representative agent based models

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
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    Series: Research paper series / Swiss Finance Institute ; no 21, 07
    Subjects: Corporate Bonds; Demand Systems; Insurance Companies; Mutual Funds; Liquidity
    Scope: 1 Online-Ressource (circa 47 Seiten), Illustrationen
  3. U.S. banks and global liquidity
    Author: Correa, Ricardo; Du, Wenxin; Liao, Gordon
    Published: 2020
    Publisher:  Board of Governors of the Federal Reserve System, [Washington, DC]

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
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    Edition: This draft: June 2020
    Series: International finance discussion papers ; number 1289 (July 2020)
    Subjects: Liquidity; Global Banks; Repos; Reserves; Covered Interest Rate Parity
    Scope: 1 Online-Ressource (circa 67 Seiten), Illustrationen
  4. Late payments, liquidity constraints and the mismatch between due dates and paydays
    Author: Dahan, Momi; Nisan, Udi
    Published: August 2020
    Publisher:  The Maurice Falk Institute for Economic Research in Israel Ltd., Jerusalem, Israel

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Discussion paper / Maurice Falk Institute for Economic Research in Israel ; no. 20, 04
    Subjects: Late Payment; Liquidity; Poverty Penalty; Water; Social Security Paydays
    Scope: 1 Online-Ressource (circa 33 Seiten), Illustrationen
  5. Asset prices and liquidity with market power and non-Gaussian payoffs
    Author: Glebkin, Sergei; Malamud, Semyon; Teguia, Alberto
    Published: 2020
    Publisher:  Swiss Finance Institute, Geneva

    We consider an economy populated by CARA investors who trade, accounting for their price impact, multiple risky assets with arbitrary distributed payoffs. We propose a constructive solution method: finding the equilibrium reduces to solving a linear... more

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    We consider an economy populated by CARA investors who trade, accounting for their price impact, multiple risky assets with arbitrary distributed payoffs. We propose a constructive solution method: finding the equilibrium reduces to solving a linear ordinary differential equation. With market power and non-Gaussian payoffs: (i) the equilibrium is nonlinear and the model can speak to key stylized facts regarding asymmetry and nonlinearity of price response to order imbalances, (ii) when risk aversion decreases, there are more liquidity providers and/or there is less uncertainty about future asset payoffs, liquidity can decrease, (iii) cross-section of returns is affected by endogenous illiquidity

     
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    Source: Union catalogues
    Language: English
    Media type: Book
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    Series: Research paper series / Swiss Finance Institute ; no 20, 80
    Swiss Finance Institute Research Paper ; No. 20-80
    Subjects: Price Impact; Higher Cumulants; Strategic Trading; Liquidity; CAPM
    Scope: 1 Online-Ressource (circa 73 Seiten), Illustrationen
  6. Do mutual funds and ETFs affect the commonality in liquidity of corporate bonds?
    Author: Çötelioğlu, Efe
    Published: 2020
    Publisher:  Swiss Finance Institute, Geneva

    The paper studies the effect of growing mutual fund and ETF ownership on the commonality in liquidity of underlying bonds. Unpredictable liquidity needs of funds may give rise to correlated trading across underlying illiquid bonds. I document that... more

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    The paper studies the effect of growing mutual fund and ETF ownership on the commonality in liquidity of underlying bonds. Unpredictable liquidity needs of funds may give rise to correlated trading across underlying illiquid bonds. I document that there is a positive and significant relationship between ETF ownership and liquidity commonality of investment-grade bonds suggesting that ETFs reduce the possibility to diversify liquidity risk. In contrast, and unlike for equities, mutual fund ownership does not affect the co-movement in liquidity of bonds. I show that three channels explain the differential impact of ETFs and mutual funds: flow-driven correlated trading, different investor clienteles, and ETF arbitrage activity

     
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    Source: Union catalogues
    Language: English
    Media type: Book
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    Series: Research paper series / Swiss Finance Institute ; no 20, 81
    Swiss Finance Institute Research Paper ; No. 20-81
    Subjects: Corporate Bonds; Liquidity; Commonality; Exchange-Traded Funds (ETFs); Mutual Funds
    Other subjects: Array
    Scope: 1 Online-Ressource (circa 58 Seiten), Illustrationen
  7. Do proprietary traders provide liquidity?
    Author: Bergman, Nittai K.; Kadan, Ohad; Michaely, Roni; Moulton, Pamela C.
    Published: 2020
    Publisher:  Swiss Finance Institute, Geneva

    Whether proprietary traders provide or take liquidity, and how their behavior evolves over the business cycle and across stocks, remains at the center of an ongoing debate. Using a unique dataset from the NYSE, we document that proprietary traders... more

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    Whether proprietary traders provide or take liquidity, and how their behavior evolves over the business cycle and across stocks, remains at the center of an ongoing debate. Using a unique dataset from the NYSE, we document that proprietary traders concentrate their trades in large and liquid stocks, but even in these, their liquidity provision is minimal. When intermediary balance sheets are weak, proprietary traders do not provide any liquidity. Furthermore, proprietary traders do not increase their liquidity provision during periods of low stock returns, when liquidity dries up. Our evidence does not lend credence to the view that curbing proprietary trading harms stock liquidity provision

     
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    Source: Union catalogues
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    Series: Research paper series / Swiss Finance Institute ; no 20, 109
    Subjects: Proprietary Traders; Liquidity; Bank Capital
    Scope: 1 Online-Ressource (circa 43 Seiten), Illustrationen
  8. Essays on liquidity-based asset classification and illegal means of payment
    an economic and philosophical approach
    Author: Frasser L., Cristian Camilo
    Published: [2020]

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    Source: Union catalogues
    Language: English
    Media type: Dissertation
    Format: Online
    Subjects: Liquidity; Natural risks; Essentialism; Functionalism
    Scope: 1 Online-Ressource (circa 145 Seiten)
    Notes:

    Dissertation, Université Paris 1 Panthéon-Sorbonne, 2020
  9. The sovereign-bank nexus
    the role of debt and monetary policy
    Author: Seoane, Hernán D.
    Published: 2020
    Publisher:  ifo Institute, Munich, Germany

    This policy report analyzes one aspect of the sovereign-bank nexus: the feedback effects between banks and sovereigns derived from the holdings of sovereign debt in domestic banks. We study how this relationship evolved during the European debt... more

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    This policy report analyzes one aspect of the sovereign-bank nexus: the feedback effects between banks and sovereigns derived from the holdings of sovereign debt in domestic banks. We study how this relationship evolved during the European debt crisis and how it responded to the implementation of ECB monetary policy based on Open Market Operations and Marginal Lending Facilities. We find evidence of carry trade behavior by banks and we have some mild evidence that this channel may have been boosted by the liquidity provision policies.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
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    hdl: 10419/233532
    Series: EconPol policy report ; Vol. 4, 29 (2020, December)
    Subjects: Sovereign-bank nexus; European debt crisis; Monetary policy; ECB; Liquidity
    Scope: 1 Online-Ressource (circa 24 Seiten), Illustrationen
  10. The cost of anonymous lemons
    Author: Bhidé, Amar
    Published: 2020
    Publisher:  Harvard Business School, [Boston, MA]

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Edition: Rev. September 3, 2020
    Series: Working paper / Harvard Business School ; 21, 046
    Subjects: Information Asymmetry; Securities; Securitization; Regulation; Liquidity; Information; Financial Markets; Governing Rules; Regulations; and Reforms; Financial Liquidity
    Scope: 1 Online-Ressource (circa 14 Seiten)
  11. Distributed ledger technology experiments in payments and settlements
    Author: Shabsigh, Ghiath; Tanai Khiaonarong; Leinonen, Harry
    Published: June 2020
    Publisher:  International Monetary Fund, Washington, DC, U.S.A.

    Major transformations in payment and settlements have occurred in generations. The first generation was paper-based. Delivery times for payment instruments took several days domestically and weeks internationally. The second generation involved... more

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    Major transformations in payment and settlements have occurred in generations. The first generation was paper-based. Delivery times for payment instruments took several days domestically and weeks internationally. The second generation involved computerization with batch processing. Links between payment systems were made through manual or file-based interfaces. The change-over period between technologies was long and still some paper-based instruments like checks and cash remain in use. The third generation, which has been emerging, involves electronic and mobile payment schemes that enable integrated, immediate, and end-to-end payment and settlement transfers. For example, real-time gross settlement systems have been available in almost all countries. DLT has been viewed as a potential platform for the next generation of payment systems, enhancing the integration and the reconciliation of settlement accounts and their ledgers. So far, experiments with DLT experimentations point to the potential for financial infrastructures to move towards real-time settlement, flatter structures, continuous operations, and global reach. Testing in large-value payments and securities settlement systems have partly demonstrated the technical feasibility of DLT for this new environment. The projects examined analyzed issues associated with operational capacity, resiliency, liquidity savings, settlement finality, and privacy. DLT-based solutions can also facilitate delivery versus payment of securities, payment versus payment of foreign exchange transactions, and efficient cross-border payments

     
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    Source: Staatsbibliothek zu Berlin
    Language: English
    Media type: Ebook
    Format: Online
    ISBN: 9781513536354
    Other identifier:
    Series: FinTech notes ; note 20, 01
    Subjects: FTN; distributed ledger technology; transaction; market; counterparty; settlement system; DLT payment transaction; permissioned DLT network; DLT implementation; DLT prototype; DLT solution; Blockchain and DLT; Payment systems; Liquidity; Credit risk; Securities settlement systems; Global
    Scope: 1 Online-Ressource (circa 22 Seiten)