Now showing items 1-20 of 39

    • Aggregate liquidity shortages, idiosyncracic liquidity smoothing and banking regulation 

      Wagner, Wolf (CFAP, Cambridge Judge Business School, University of Cambridge, 2005)
      This paper develops a model of banking fragility driven by aggregate liquidity shortages. Inefficiencies arise because liquidity smoothing across banks breaks down when there is such a shortage, causing unnecessary and ...
    • Can Feedback Traders Rock the Markets? A Logistic Tale of Persistence and Chaos 

      Tambakis, Demosthenes N (CFAP, Cambridge Judge Business School, University of Cambridge, 2006-03)
      This paper introduces a nonlinear feedback trading model at high frequency. All price adjustment is endogenous, driven by asset return and volatility in the previous trading period. There is no stochastic uncertainty or ...
    • Cojumping: Evidence from the US Treasury Bond and Futures Market 

      Dungey, Mardi; Hvozdyk, Lyudmyla (2011-02)
      The basis between spot and future prices will be affected by jump behavior in each asset price, challenging intraday hedging strategies. Using a formal cojumping test this paper considers the cojumping behaviour of spot ...
    • Corporate governance and banking regulation 

      Alexander, Kern (CFAP, Cambridge Judge Business School, University of Cambridge, 2004-06)
      The globalisation of banking markets has raised important issues regarding corporate governance regulation for banking institutions. This research paper addresses some of the major issues of corporate governance as it ...
    • Credit derivatives and sovereign debt 

      Goderis, Benedikt; Wagner, Wolf (CFAP, Cambridge Judge Business School, University of Cambridge, 2005-10)
      We study the introduction of credit protection on sovereign debt. We find that such protection reduces debtor moral hazard by allowing a bonghokder to improve his position in negotiations with the sovereign. Moreover, ...
    • Credit derivatives, the liquidity of bank assets and banking stability 

      Wagner, Wolf (CFAP, Cambridge Judge Business School, University of Cambridge, 2005)
      The emerging markets for credit derivatives have improved the liquidity of bank assets by providing banks with various new possibilities for selling and hedging their risks. This paper examines the consequences for banking ...
    • Credit risk transfer and financial sector performance 

      Wagner, Wolf; Marsh, Ian (CFAP, Cambridge Judge Business School, University of Cambridge, 2004)
      In this paper we study the impact of credit risk transfer (CRT) on the stability and the efficiency of a financial system in a model with endogenous intermediation and production. Our analysis suggests that with respect ...
    • Depreciation bias, financial-sector fragility and currency risk 

      Tambakis, Demosthenes N (CFAP, Cambridge Judge Business School, University of Cambridge, 2002)
      Do expected future exchange rate fluctuations affect current social welfare? In the third-generation approach to currency crises, financial fragility can trigger devaluation and default. Expected future depreciation is ...
    • Detecting Contagion with Correlation: Volatility and Timing Matter 

      Dungey, Mardi; Yalama, Abdullah (CFAP, Cambridge Judge Business School, University of Cambridge, 2010-05)
      We examine whether contagion tests are affected by controls for volatility clustering and the collection of synchronized data sets. Without controlling for volatility clustering synchronization does not apparently matter. ...
    • Do Disaster Expectations Explain Household Portfolios? 

      Alan, Sule (CFAP, Cambridge Judge Business School, University of Cambridge, 2010-03)
      It has been argued that rare economic disasters can explain most asset pricing puzzles. If this is the case, perceived risk associated with a disaster in stock markets should be revealed in household portfolios. That is, ...
    • Economic slowdown in the US, rehabilitation of fiscal policy and the case for a co-ordinated global reflation 

      Izurieta, Alex (CFAP, Cambridge Judge Business School, University of Cambridge, 2003)
    • An empirical analysis of subprime consumer credit demand 

      Alan, Sule; Lóránth, Gyöngyi (2010)
      We test the interest rate sensitivity of subprime credit card borrowers using a unique panel data set from a UK credit card company. What is novel about our contribution is that we were given details of a randomized interest ...
    • Empirical modelling of contagion: a review of methodologies 

      Dungey, Mardi; Fry, Renee; Gonzalez-Hermosillo, Brenda; Martin, Vance L (CFAP, Cambridge Judge Business School, University of Cambridge, 2003-10)
      The existing literature promotes a number of alternative methods to test for the presence of contagion during financial market crises. This paper reviews those methods and shows how they are related in a unified framework. ...
    • Endogenous contagion – a panel data analysis 

      Baur, Dirk; Fry, Renee (CFAP, Cambridge Judge Business School, University of Cambridge, 2006)
      This paper proposes a panel data model to analyze contagion in a multivariate framework. The model distinguishes between vulnerability and contagion, and provides a time series of contagion. The most important feature of ...
    • Endogenous Market Turbulence 

      Tambakis, Demosthenes N (CFAP, Cambridge Judge Business School, University of Cambridge, 2006-04)
      In this paper I study a nonlinear feedback trading model which can generate stable, unstable, turbulent or chaotic asset returns depending on market conditions. The dynamics are driven by the stochastic price impact of net ...
    • Establishing a European securities regulator: is the European Union an optimal economic area for a single securities regulator? 

      Alexander, Kern (CFAP, Cambridge Judge Business School, University of Cambridge, 2002)
      The paper’s purpose is to address the economic, institutional, and legal issues confronting the establishment of a more centralised approach to EU securities regulation and to suggest that the theory of optimum currency ...
    • Estimating Intertemporal Allocation Parameters using Synthetic Residual Estimation 

      Alan, Sule; Browning, Martin (CFAP, Cambridge Judge Business School, University of Cambridge, 2008-01)
      We present a novel structural estimation procedure for models of intertemporal allocation. This is based on modelling expectation errors directly; we refer to it as Synthetic Residual Estimation (SRE). The flexibility of ...
    • Features of a realistic banking system within a post-Keynesian stock-flow consistent model 

      Godley, Wynne; Lavoie, Marc (CFAP, Cambridge Judge Business School, University of Cambridge, 2004)
    • Finance and technical change: a neo-Schumpeterian perspective 

      Perez, Carlota (CFAP, Cambridge Judge Business School, University of Cambridge, 2004)
    • From Trade-to-Trade in US Treasuries 

      Dungey, Mardi; Henry, Olan; McKenzie, Michael (CFAP, Cambridge Judge Business School, University of Cambridge, 2010-05)
      The aim of this paper is to model the trading intensity of the US Treasury bond market which has a unique expandable limit order book which distinguishes its structure from other asset markets. An analysis of tick data ...