Michael Schneider

Deutsche Bundesbank

Wilhelm-Epstein-Str. 14

Frankfurt/Main, 60431

Germany

Goethe University Frankfurt

Grüneburgplatz 1

Frankfurt am Main, 60323

Germany

  • Deutsche Bundesbank

SCHOLARLY PAPERS

5

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1,301

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25

CROSSREF CITATIONS

13

Scholarly Papers (5)

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1.

OTC Discount

Downloads 482 (103,199)
Citation 3

OTC Discount

SAFE Working Paper No. 298
Number of pages: 72 Posted: 08 Dec 2020 Last Revised: 26 Jun 2023
Calebe de Roure, Emanuel Moench, Loriana Pelizzon and Michael Schneider
Reserve Bank of Australia, Frankfurt School of Finance & Management, Goethe University Frankfurt - Faculty of Economics and Business Administration and Deutsche Bundesbank
Downloads 296 (176,764)
Citation 3

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Market Microstructure, Hybrid Markets, Venue Choice, Interdealer Brokerage, Fixed-Income, OTC Markets, Search Frictions, Information Frictions

OTC Discount

Deutsche Bundesbank Discussion Paper No. 42/2019
Number of pages: 69 Posted: 20 Dec 2019
Calebe de Roure, Emanuel Moench, Loriana Pelizzon and Michael Schneider
Reserve Bank of Australia, Frankfurt School of Finance & Management, Goethe University Frankfurt - Faculty of Economics and Business Administration and Deutsche Bundesbank
Downloads 128 (379,350)

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Market Microstructure,Hybrid Markets,Venue Choice,Interdealer Brokerage,Fixed-Income,OTC Markets,Intermediation Frictions,Search Frictions,Information Frictions

OTC Discount

Paris December 2018 Finance Meeting EUROFIDAI - AFFI
Number of pages: 54 Posted: 04 Jun 2018
Calebe de Roure, Emanuel Moench, Loriana Pelizzon and Michael Schneider
Reserve Bank of Australia, Frankfurt School of Finance & Management, Goethe University Frankfurt - Faculty of Economics and Business Administration and Deutsche Bundesbank
Downloads 58 (628,655)

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venue choice, hybrid markets, sovereign bond markets

2.

How Has Sovereign Bond Market Liquidity Changed? - An Illiquidity Spillover Analysis

SAFE Working Paper No. 151
Number of pages: 44 Posted: 19 Oct 2016
Michael Schneider, Fabrizio Lillo and Loriana Pelizzon
Deutsche Bundesbank, Università di Bologna and Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 306 (171,736)
Citation 3

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liquidity, jump detection, Hawkes processes, government bonds, MTS bond market, Quantitative Easing

3.

Safe Asset Shortage and Collateral Reuse

Downloads 263 (200,639)
Citation 2

Safe Asset Shortage and Collateral Reuse

SAFE Working Paper No. 355
Number of pages: 50 Posted: 02 Aug 2022
Stephan Jank, Emanuel Moench and Michael Schneider
Deutsche Bundesbank, Frankfurt School of Finance & Management and Deutsche Bundesbank
Downloads 177 (290,182)

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safe assets, government bonds, collateral reuse, rehypothecation, repo market, securities lending

Safe Asset Shortage and Collateral Reuse

CEPR Discussion Paper No. DP16439
Number of pages: 47 Posted: 22 Sep 2021
Stephan Jank, Emanuel Moench and Michael Schneider
Deutsche Bundesbank, Frankfurt School of Finance & Management and Deutsche Bundesbank
Downloads 1 (1,096,078)
Citation 2
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collateral reuse, Government bonds, rehypothecation, repo market, safe assets, Securities lending

Safe Asset Shortage and Collateral Reuse

Deutsche Bundesbank Discussion Paper No. 39/2021
Number of pages: 48 Posted: 23 Nov 2021
Stephan Jank, Emanuel Moench and Michael Schneider
Deutsche Bundesbank, Frankfurt School of Finance & Management and Deutsche Bundesbank
Downloads 85 (506,742)

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safe assets, government bonds, collateral reuse, rehypothecation, repo market, securities lending

4.

Lighting Up the Dark: Liquidity in the German Corporate Bond Market

Deutsche Bundesbank Discussion Paper No. 21/2021
Number of pages: 1 Posted: 29 Jul 2021
Yalin Gündüz, Michael Schneider, Loriana Pelizzon and Marti G. Subrahmanyam
Deutsche Bundesbank, Deutsche Bundesbank, Goethe University Frankfurt - Faculty of Economics and Business Administration and New York University (NYU) - Leonard N. Stern School of Business
Downloads 132 (369,416)
Citation 2

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5.

Cross-Impact and No-Dynamic-Arbitrage

Number of pages: 33 Posted: 23 Dec 2016 Last Revised: 26 Aug 2017
Michael Schneider and Fabrizio Lillo
Deutsche Bundesbank and Università di Bologna
Downloads 118 (401,710)
Citation 13

Abstract:

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Market Impact, Dynamic Arbitrage, Cross-Impact, MOT, Sovereign Bonds