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An Empirical Analysis of the Dynamic Relationship between Investment Grade Bonds and Credit Default Swaps
This paper analyses the behaviour of credit default swaps (CDS) for a sample of firms and finds support for the theoretical equivalence of CDS prices and credit spreads. When this is violated, theExpand
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An empirical analysis of the dynamic relationship between investment grade bonds and credit default swaps
This paper analyses the behaviour of credit default swaps (CDS) for a sample of firms and finds support for the theoretical equivalence of CDS prices and credit spreads. When this is violated, theExpand
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Currency forecasters are heterogeneous: confirmation and consequences
Using a disaggregated international survey database we demonstrate that foreign exchange forecasters hold heterogeneous expectations. We find that a major cause of these differences of opinion is theExpand
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Comovements in the equity prices of large complex financial institutions
Abstract In recent years, mergers, acquisitions and organic growth have meant that some of the largest and most complex financial groups have come to transcend national boundaries and traditionallyExpand
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The Effect of Lenders' Credit Risk Transfer Activities on Borrowing Firms' Equity Returns
Although innovative credit risk transfer techniques help to allocate risk more optimally, policy-makers worry that they may detrimentally affect the effort spent by financial intermediaries inExpand
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On Fundamentals and Exchange Rates: A Casselian Perspective
TLDR
Using an expanded version of the purchasing-power-parity condition we construct simultaneous equation models for three key exchange rates which incorporate meaningful long-run equilibrium relationships and complex short-run dynamics. Expand
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High‐frequency Markov switching models in the foreign exchange market
This paper estimates two-state Markov models for three daily exchange rate series, and investigates the profitability of following the generated forecasts using the performance of simple chartistExpand
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ORDER FLOW AND EXCHANGE RATE DYNAMICS: AN APPLICATION TO EMERGING MARKETS
The examines short-run exchange rate dynamics in an emerging market based on the recent microstructure framework of foreign exchange markets where the main explanatory variable is the order flow. TheExpand
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Credit risk transfer and financial sector stability
Abstract In this paper, we study credit risk transfer (CRT) in an economy with endogenous financing (by both banks and non-bank institutions). Our analysis suggests that the incentive of banks toExpand
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Why is Price Discovery in Credit Default Swap Markets News-Specific?
We analyse daily lead-lag patterns in US equity and credit default swap (CDS) returns. We first document that equity returns robustly lead CDS returns. However, we find that the CDS-lag is due toExpand
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