Zobrazeno 1 - 10
of 14
pro vyhledávání: '"Yuriy Kitsul"'
Publikováno v:
International Finance Discussion Paper. 2022:1-37
Using responses of credit default swap indexes to ECB monetary policy announcements, we isolate a novel credit policy component of monetary policy surprises. We examine how such unconventional monetary policy surprises affect investor perceptions of
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::3649643f4769a08b1c6102dbcb5e7996
https://doi.org/10.17016/ifdp.2022.1357
https://doi.org/10.17016/ifdp.2022.1357
Publikováno v:
Journal of Financial and Quantitative Analysis. 53:2103-2129
We quantify the scarcity value of Treasury collateral by estimating the impact of security-specific demand and supply factors on the specific collateral repurchase agreement (repo) rates of all outstanding U.S. Treasury securities. We find a positive
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::8530b9c1cd4ca6dbee6f496695adf962
https://doi.org/10.1017/s0022109018000790
https://doi.org/10.1017/s0022109018000790
Autor:
Yuriy Kitsul, Marcelo Ochoa
Publikováno v:
Finance and Economics Discussion Series. 2016:1-42
This paper shows that funding liquidity risk is priced in the cross-section of excess returns on agency mortgage-backed securities (MBS). We derive a measure of funding liquidity risk from dollar-roll implied financing rates (IFRs), which reflect sec
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::d0d663f1125b6a5df15e716616facf58
https://doi.org/10.17016/feds.2016.052
https://doi.org/10.17016/feds.2016.052
Publikováno v:
Journal of Banking & Finance. 112:105202
This study investigates if market risk-based capital requirements (MRR) implemented in 1998 mitigated bank risk associated with trading activities. Recognizing that only banks with sufficiently high trading activities are subject to the MRR (regulate
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::25bef0053bc0b6cc25c3ec0ee117ec67
https://doi.org/10.1016/j.jbankfin.2017.08.019
https://doi.org/10.1016/j.jbankfin.2017.08.019
Autor:
Yuriy Kitsul, Jonathan H. Wright
Publikováno v:
Journal of Financial Economics. 110:696-711
Recently a market in options based on CPI inflation (inflation caps and floors) has emerged in the US. This paper uses quotes on these derivatives to construct probability densities for inflation. We study how these pdfs respond to news announcements
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::ddda0d9e7c943a8f801306a8e454eb6c
https://doi.org/10.1016/j.jfineco.2013.08.013
https://doi.org/10.1016/j.jfineco.2013.08.013
Autor:
Yuriy Kitsul
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::eeec7fd83825cadb6cd28db005f2f0f3
https://doi.org/10.2139/ssrn.2542323
https://doi.org/10.2139/ssrn.2542323
Publikováno v:
SSRN Electronic Journal.
In the repo market, forward agreements are security-specific (i.e., there are no deliverable substitutes), which makes it an ideal place to measure the value of fluctuations in a security's available supply. In this study, we quantify the scarcity va
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::e4aeeeb70ba60919327c9ac69f63164b
https://doi.org/10.2139/ssrn.2363708
https://doi.org/10.2139/ssrn.2363708
Autor:
Jonathan Wright, Yuriy Kitsul
Recently a market in options based on CPI inflation (inflation caps and floors) has emerged in the US. This paper uses quotes on these derivatives to construct probability densities for inflation. We study how these pdfs respond to news announcments,
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od_______645::9bceca242c9fa1488641f2d7d07fd6f2
https://economicdynamics.org/meetpapers/2012/paper_174.pdf
https://economicdynamics.org/meetpapers/2012/paper_174.pdf
Autor:
Yuriy Kitsul, Reza S. Mahani
Publikováno v:
SSRN Electronic Journal.
In our asymmetric-information asset pricing model, commonality in uninformed trading translates into a transient factor in returns. The factor is capable of simultaneously producing negative signs of return cross-autocorrelations, a feature that we d
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::455caa9e3f833cac7b79501156e3fd5d
https://doi.org/10.2139/ssrn.1785786
https://doi.org/10.2139/ssrn.1785786