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Credit Default Swap Prices, Databases, Liquidity
Credit Default Swap prices, Databases, Liquidity
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credit default swap prices, databases, liquidity
Sovereign Credit Default Swaps, Sovereign Bonds, Credit Spreads, Price Discovery
Sovereign CDS, comovements, commonalities, dealers
Sovereign CDS, Comovements, Commonalities, Dealers
Systemic risk, derivatives, Shapley value
Persistent Mispricings, Credit Derivatives, Credit Spreads, Subsampling
Financial Conglomerates, Mutual Funds, Agency Conflicts, Financial Crisis, Sovereign Debt Crisis
Banks, Asymmetric Information, Real Guarantees, Personal Guarantees, Risk Taking, Capital Requirements
banks, asymmetric information, real guarantees, personal guarantees, risk-taking, capital requirements
SME, Credit Access, Supporting Factor, Bank Lending
SME, credit access, supporting factor, bank lending
Credit Spreads, Market Dynamic Dependence, DCC-GARCH
negative interest rates, risk taking, lending policies
negative interest rates; risk taking; lending policies
Euro government bonds, Credit quality, Liquidity, Macro factors
Euro government bonds; Credit quality; Liquidity; Macro factors
Portfolio choice, Households, Indivisible illiquid assets, Financial constraints, Under-investment, Over-investment
short-sales constraint, financial stability, market quality
Credit Default Swap, Liquidity Commonalities, Global Risk, Funding Liquidity Risk, Counterparty Risk
central clearing, counterparty risk, credit default swaps
Asymmetric Information, Banks, Interest Rate spreads, Loans, Relationship Lending Dimensions
mortgages, financial constraints, credit risk
Households; Mortgages; Financial Constraints; Credit Risk
Intangible assets, trademarks, Tobin’s q, abnormal returns, event studies
unconventional monetary policy, Corporate Sector Purchase Programme, quantitative
short-sales constraints, financial stability, financial institutions, credit default swap, contagion
covered interest rate parity, credit spread, debt issuance, dollar convenience yield, foreign exchange rate hedge, limits of arbitrage
This is a CEPR Discussion Paper. CEPR charges a fee of $8.00 for this paper.
Covered interest rate parity, credit spread, debt issuance, dollar convenience yield, foreign exchange rate hedge, Limits of arbitrage
sovereign credit default swaps, sovereign bonds, credit spreads, price discovery
Price Discovery, VECM, Credit Derivatives, Credit Spreads
trade shock, credit register, banks’ portfolio reallocation, bank loans, real effects
negative interest rates; risk-taking; lending policies
European Banks; Macroprudential Requirement; Capital Ratio; Risk Weighed Assets
short‐sales constraints, financial stability, financial institutions, credit default swap, contagion
