Financial Markets
The department Financial Markets is studying the functioning, resilience and transition of financial markets which today are essentially determined by exogenous and endogenous shocks, risk spillovers (e.g. the Coronavirus crisis), monetary policy, technology and regulation. Research issues arise on the consequences for pricing (asset pricing), competition, liquidity in secondary markets, market stability, and systemic and sovereign risk as well as for consumer protection. Specific regulatory measures, such as the EU Directive on Markets and Financial Instruments MiFID II, EMIR, or secular trends, for example demographic change or climate change, affect the functioning of the markets or the investment decisions of investors and are therefore also part of the department's research. The same is true for new digital developments, such as fintechs, crypto-assets or blockchain technology that might impair the functioning of the financial markets and contribute to systemic and sovereign risk.
The department is (co-)organizing the following conference series:
- International Conference on Sovereign Bond Markets
- SAFE Asset Pricing Workshop
- SAFE Market Microstructure Conference
- Research Conference "Financial Regulation - Going Green"
Publications
| Author/s | Title | Program Area | Type | Published | Keywords |
|---|---|---|---|---|---|
| Matteo Bagnara, Ruggero Jappelli | Liquidity Derivatives SAFE Working Paper No. 358 | Financial Markets | SAFE Working Paper | 2022 | Asset Pricing, Market Liquidity, Liquidity Risk. |
| Matteo Bagnara | Asset Pricing and Machine Learning: A Critical Review forthcoming in Journal of Economic Surveys | Financial Markets | Published Paper | 2022 | |
| Alejandro Bernales, Nicolas Garrido, Satchit Sagade, Marcela Valenzuela, Christian Westheide | Trader Competition in Fragmented Markets: Liquidity Supply versus Picking-off Risk forthcoming in Journal of Financial and Quantitative Analysis | Financial Markets | Published Paper | 2022 | Fragmentation, Competition, Liquidity, Price Efficiency |
| Stephan Jank, Emanuel Moench, Michael Schneider | Safe Asset Shortage and Collateral Reuse SAFE Working Paper No. 355 | Financial Markets | SAFE Working Paper | 2022 | |
| Monica Billio, Michele Costola, Loriana Pelizzon, Max Riedel | Creditworthiness and buildings’ energy efficiency in the Italian mortgage market SAFE Working Paper No. 352 | Financial Markets | SAFE Working Paper | 2022 | |
| Andreas Nölke | The weaponization of global payment infrastructures: A strategic dilemma White Paper No. 89 | Financial Markets, Policy Center | Policy Paper | 2022 | Ukraine, Russia, Sanctions, SWIFT |
| Massimiliano Caporin, Michele Costola | Time-Varying Granger Causality Tests for Applications in Global Crude Oil Markets: A Study on the DCC-MGARCH Hong Test Energy Economics | Financial Markets | Published Paper | 2022 | Granger Causality, Hong test, DCC-GARCH, Oil market, COVID-19 |
| Ruggero Jappelli, Konrad Lucke, Loriana Pelizzon | Price and Liquidity Discovery in European Sovereign Bonds and Futures SAFE Working Paper No. 350 | Financial Markets | SAFE Working Paper | 2022 | Fixed Income, Limits to Arbitrage, Market Liquidity |
| Steffen Eibelshäuser, Fabian Smetak | Frequent Batch Auctions and Informed Trading SAFE Working Paper No. 344 | Household Finance, Financial Markets | SAFE Working Paper | 2022 | |
| Ignazio Angeloni, Christopher Daase, Nicole Deitelhoff, Matthias Goldmann, Jan Pieter Krahnen, Stefan Kroll, Carl-Georg Luft, Andreas Nölke, Anton Peez, Loriana Pelizzon | Designing a rational sanctioning strategy Policy Letter No. 95 | Financial Markets | Policy Paper | 2022 | SWIFT, Russian Sanctions |
| Ilya Dergunov, Christoph Meinerding, Christian Schlag | Extreme Inflation and Time-Varying Expected Consumption Growth forthcoming in Management Science | Financial Markets | Published Paper | 2022 | |
| Monica Billio, Michele Costola, Iva Hristova, Carmelo Latino, Loriana Pelizzon | Sustainable Finance: A journey toward ESG and climate risk SAFE Working Paper No. 349 | Financial Markets | SAFE Working Paper | 2022 | Environmental, social, and governance factors (ESG); credit risk; debt cost; equity cost; sovereign bonds; portfolio management |
| Pietro Dindo, Andrea Modena, Loriana Pelizzon | Risk Pooling, Intermediation Efficiency, and the Business Cycle forthcoming in Journal of Economic Dynamics & Control | Financial Markets, Macro Finance | Published Paper | 2022 | Amplification, business cycle, efficiency, dampening, restricted market participation, risk pooling |
| Ilya Dergunov, Christoph Meinerding, Christian Schlag | Extreme Inflation and Time-Varying Expected Consumption Growth SAFE Working Paper No. 334 | Financial Markets | SAFE Working Paper | 2022 | |
| Ruggero Jappelli, Loriana Pelizzon, Alberto Plazzi | The Core, the Periphery, and the Disaster: Corporate-Sovereign Nexus in COVID-19 Times SAFE Working Paper No. 331 | Financial Markets | SAFE Working Paper | 2021 | |
| Giovanni Bonaccolto, Massimiliano Caporin, Roberto Panzica | Estimation and Model-Based Combination of Causality Networks Journal of Empirical Finance | Financial Markets | Published Paper | 2019 | Granger causality, quantile causality, multi-layer network, network combination |
| Michael Donadelli, Patrick Grüning | Innovation Dynamics and Fiscal Policy: Implications for Growth, Asset Prices, and Welfare The North American Journal of Economics and Finance | Financial Markets | Published Paper | 2021 | Endogenous growth, Asset pricing, Government, Fiscal policy, Heterogeneous innovation |
| Michael Donadelli, Patrick Grüning, Marcus Jüppner, Renatas Kizys | Global Temperature, R&D Expenditure, and Growth Energy Economics | Financial Markets | Published Paper | 2021 | Global Temperature, R&D, Welfare Costs |
| Benjamin Clapham, Peter Gomber, Michael Siering | Popular News Are Relevant News! How Investor Attention Affects Algorithmic Decision-Making and Decision Support in Financial Markets Information Systems Frontiers | Financial Markets | Published Paper | 2021 | |
| Micha Bender, Benjamin Clapham, Peter Gomber, Jascha-Alexander Koch | To Bundle or Not to Bundle? A Review of Soft Commissions and Research Unbundling Financial Analysts Journal | Financial Markets | Published Paper | 2021 | |
| Micha Bender, Tino Cestonaro, Peter Gomber, Jascha-Alexander Koch | Research Unbundling and COVID-19: Will Europe's Capital Markets Recovery Package Help? Journal of Investing | Financial Markets | Published Paper | 2021 | |
| Fincap Team, Jan Pieter Krahnen, Loriana Pelizzon, Christian Westheide | Non-Standard Errors SAFE Working Paper No. 327 | Financial Intermediation, Financial Markets | SAFE Working Paper | 2021 | non-standard errors, multi-analyst approach, liquidity |
| Wenhui Li, Peter Ockenfels, Christian Wilde | The Effect of Ambiguity on Price Formation and Trading Behavior in Financial Markets SAFE Working Paper No. 326 | Financial Markets | SAFE Working Paper | 2021 | ambiguity, financial market, market price, volatility, trading activity, bid- ask spread, market-based measure of ambiguity, laboratory experiment |
| Monica Billio, Bertrand B. Maillet, Loriana Pelizzon | A Meta-Measure of Performance Related to Both Investors and Investments Characteristics Annals of Operations Research | Financial Markets | Published Paper | 2022 | |
| Katja Langenbucher, Loriana Pelizzon | Short Selling – On Ethics, Politics, and Culture Zeitschrift für Bankrecht und Bankwirtschaft | Financial Markets | Published Paper | 2021 | |
| Jan Pieter Krahnen, Jörg Rocholl, Marcel Thum | A primer on green finance: From wishful thinking to marginal impact White Paper No. 87 | Financial Markets | Policy Paper | 2021 | Green Finance, Climate Change, Sustainability, Taxonomy, ESG |
| Massimiliano Caporin, Michele Costola | Time-Varying Granger Causality Tests for Applications in Global Crude Oil Markets: A Study on the DCC-MGARCH Hong Test SAFE Working Paper No. 324 | Financial Markets | SAFE Working Paper | 2021 | Granger Causality, Hong test, DCC-GARCH, Oil market, COVID-19 |
| Gianluca Anese, Marco Corazza, Michele Costola, Loriana Pelizzon | Impact of Public News Sentiment on Stock Market Index Return and Volatility SAFE Working Paper No. 322 | Financial Markets | SAFE Working Paper | 2021 | Public financial news, Stock market, NLP, Dictionary, LSTM neural net- works, Investor sentiment, S&P 500 |
| Prioritäten für die Bundestagswahl 2021 im Finanzbereich Policy Letter No. 91 | Financial Markets | Policy Paper | 2021 | Klimawandel, Green Finance, Digitalisierung, Finanzstabilität, Bankenunion, Kapitalmarktunion, Altersversorgung | |
| Erik Theissen, Christian Westheide | Call of Duty: Designated Market Maker Participation in Call Auctions SAFE Working Paper No. 319 | Financial Markets | SAFE Working Paper | 2021 | |
| Michele Costola, Matteo Iacopini, Carlo R.M.A. Santagiustina | On the “Mementum” of Meme Stocks Economics Letters | Financial Markets | Published Paper | 2021 | Meme stocksSocial mediaSocial tradingCointegrationRegime switching |
| Volker Flögel, Christian Schlag, Claudia Zunft | Momentum-Managed Equity Factors SAFE Working Paper No. 317 | Financial Markets | SAFE Working Paper | 2021 | factor timing, time series momentum, anomalies |
| Christian Mücke, Loriana Pelizzon, Vincenzo Pezone, Anjan Thakor | The Carrot and the Stick: Bank Bailouts and the Disciplining Role of Board Appointments SAFE Working Paper No. 316 | Financial Markets | SAFE Working Paper | 2021 | Bank Bailout, TARP, Capital Purchase Program, Dividend Pay- ments, Board Appointments, Bank Recapitalization |
| Monica Billio, Michele Costola, Loriana Pelizzon, Max Riedel | Buildings' Energy Efficiency and the Probability of Mortgage Default: The Dutch Case Journal of Real Estate Finance and Economics | Financial Markets, Systemic Risk Lab | Published Paper | 2022 | Mortgages, Energy Eciency, Credit Risk |
| Monica Billio, Michele Costola, Iva Hristova, Carmelo Latino, Loriana Pelizzon | Inside the ESG Ratings: (Dis)agreement and Performance Corporate Social Responsibility and Environmental Management, Special Issue on Environmental, Social, Governance: Implications for Businesses and Effects for Stakeholders | Financial Markets | Published Paper | 2021 | |
| Mila Getmansky Sherman, Ravi Jagannathan, Loriana Pelizzon, Ernst Schaumburg, Darya Yuferova | Recovery from Fast Crashes: Role of Mutual Funds Journal of Financial Markets | Financial Markets, Systemic Risk Lab, Data Center | Published Paper | 2022 | Liquidity Provision; Market Fragility; Flash Crash; Slow-Moving Capital |
| Farshid Abdi, Mila Getmansky Sherman, Emily Kormanyos, Loriana Pelizzon, Zorka Simon | The President Reacts to News Channel of Government Communication SAFE Working Paper No. 314 | Financial Markets | SAFE Working Paper | 2021 | Market efficiency, Social media, Twitter, High-frequency event study, Machine learning, ETFs. |
| Mahendrarajah Nimalendran, Khaladdin Rzayev, Satchit Sagade | High-Frequency Trading (HFT) in the Stock Market and the Costs of Option Market Making | Financial Markets | Thirdparty Working Paper | 2021 | |
| Can Gao, Ian Martin | Volatility, Valuation Ratios, and Bubbles: An Empirical Measure of Market Sentiment Journal of Finance | Financial Markets | Published Paper | 2021 | bubbles, Option prices, sentiment, valuation ratios, volatility |
| Can Gao, Ian Martin | Volatility, Valuation Ratios, and Bubbles: An Empirical Measure of Market Sentiment SAFE Working Paper No. 312 | Financial Markets | SAFE Working Paper | 2021 | bubbles, Option prices, sentiment, valuation ratios, volatility |
| Patrick Blank, Ann-Katrin Kaufhold, Jan Pieter Krahnen, Katja Langenbucher | BaFin (in)dependence – A reform proposal White Paper No. 82 | Law and Finance, Financial Markets | Policy Paper | 2021 | Capital markets, supervision, Wirecard |
| Johannes Kasinger, Jan Pieter Krahnen, Steven Ongena, Loriana Pelizzon, Maik Schmeling, Mark Wahrenburg | Non-performing Loans - New risks and policies? White Paper No. 84 | Financial Markets | Policy Paper | 2021 | Covid-19, Non-performing Loans, Bank Resolution, Secondary Loan Markets, BRRD |
| Loriana Pelizzon, Aleksandra Rzeźnik, Kathleen Weiss Hanley | Investor Reliance on ESG Ratings and Stock Price Performance SAFE Working Paper No. 310 | Financial Markets | SAFE Working Paper | 2021 | Corporate Social Responsibility, ESG Rating Agencies, Sustainable Invest- ments, Socially responsible investing, ESG, Portfolio choice |
| Tim Alexander Kroencke, Maik Schmeling, Andreas Schrimpf | The FOMC Risk Shift Journal of Monetary Economics | Financial Markets | Published Paper | 2021 | |
| Samuel Rönnqvist, Satchit Sagade, Katia Vozian, Pontus Wistbacka | Predicting Stock Price and Spread Movements from News Proceedings of the 54th Hawaii International Conference on System Sciences, p. 1593 | Financial Markets, Systemic Risk Lab, Data Center | Thirdparty Working Paper | 2021 | |
| Aljoscha Janssen, Johannes Kasinger | Obfuscation and Rational Inattention in Digitalized Markets SAFE Working Paper No. 306 | Financial Intermediation, Financial Markets | SAFE Working Paper | 2021 | Rational Inattention, Obfuscation, Price Competition, Digitalized Markets |
| Monica Billio, Mila Getmansky Sherman, Andrew Lo, Loriana Pelizzon, Abalfazl Zareei | Global Realignment in Financial Market Dynamics SAFE Working Paper No. 304 | Financial Markets | SAFE Working Paper | 2021 | Network theory; Centrality; High Frequency Data; ETFs; Financial Crises; Covid-19; International Finance |
| Arnoud Boot, Elena Carletti, Hans-Helmut Kotz, Jan Pieter Krahnen, Loriana Pelizzon, Marti Subrahmanyam | Corona and banking - A financial crisis in slow motion? An evaluation of the policy options White Paper No. 79 | Financial Markets | Policy Paper | 2021 | Bank Capitalization, Financial Crisis, Covid-19, Non-performing Loans, Asset Management Companies, Forbearance |
| Thomas Mosk | Captured by financial institutions? New academic insights for European policymakers White Paper No. 77 | Financial Markets | Policy Paper | 2020 | Regulatory Capture, Lobbying, Transparency, Quid-pro-quo Mechanism |
| Emanuel Moench, Loriana Pelizzon, Michael Schneider, Calebe de Roure | OTC Discount SAFE Working Paper No. 298 | Financial Markets, Systemic Risk Lab, Data Center | SAFE Working Paper | 2020 | Market Microstructure, Hybrid Markets, Venue Choice, Interdealer Brokerage, Fixed-Income, OTC Markets, Search Frictions, Information Frictions |
| Jan Pieter Krahnen, Katja Langenbucher, Christian Leuz, Loriana Pelizzon | What are the wider supervisory implications of the Wirecard case? White Paper No. 74 | Financial Markets | Policy Paper | 2020 | Wirecard, Supervisory Achitecture, Auditing, Internal Controls, Market Oversight , Investor Protection, Market Integrity |
| Andrea Modena | Recapitalization, Bailout, and Long-run Welfare in a Dynamic Model of Banking SAFE Working Paper No. 292 | Financial Markets | SAFE Working Paper | 2020 | Banks, bailout, general equilibrium, financial frictions, recapitalization, welfare. |
| Loriana Pelizzon, Satchit Sagade, Katia Vozian | Resiliency: Cross-Venue Dynamics with Hawkes Processes SAFE Working Paper No. 291 | Financial Markets | SAFE Working Paper | 2020 | liquidity, resiliency, fragmentation, competition, high-frequency data, Hawkes processes |
| Nicole Branger, Patrick Konermann, Christoph Meinerding, Christian Schlag | Equilibrium Asset Pricing in Directed Networks Review of Finance | Financial Markets, Systemic Risk Lab | Published Paper | 2021 | Dynamic Networks, Mutually Exciting Processes, Asset Pricing, General Equilibrium, Recursive Preferences |
| Christian Schlag, Michael Semenischev, Julian Thimme | Predictability and the Cross-Section of Expected Returns: A Challenge for Asset Pricing Models Management Science | Financial Markets | Published Paper | 2021 | Asset pricing, cross-section of stock returns, predictability |
| Christian Schlag, Michael Semenischev, Julian Thimme | Predictability and the Cross-Section of Expected Returns: A Challenge for Asset Pricing Models SAFE Working Paper No. 289 | Financial Markets | SAFE Working Paper | 2020 | Asset pricing, cross-section of stock returns, predictability |
| Michele Costola, Oliver Hinz, Michael Nofer, Loriana Pelizzon | Machine Learning Sentiment Analysis, COVID-19 News and Stock Market Reactions SAFE Working Paper No. 288 | Financial Markets | SAFE Working Paper | 2020 | COVID-19 news, Sentiment Analysis, Stock Markets |
| Monica Billio, Mila Getmansky Sherman, Loriana Pelizzon | Non-Parametric Analysis of Hedge Fund Returns: New Insights from High Frequency Data Journal of Alternative Investments | Financial Markets | Published Paper | 2009 | Hedge Funds, Risk Management, High frequency data |
| Wenhui Li, Christian Wilde | Separating the Effects of Beliefs and Attitudes on Pricing under Ambiguity SAFE Working Paper No. 311 | Financial Markets | SAFE Working Paper | 2021 | ambiguity, belief estimation, belief effect, ambiguity premium, laboratory experiments |
| Elena Carletti, Tommaso Oliviero, Marco Pagano, Loriana Pelizzon, Marti Subrahmanyam | The COVID-19 Shock and Equity Shortfall: Firm-level Evidence from Italy The Review of Corporate Finance Studies | Financial Markets | Published Paper | 2020 | COVID-19, pandemics, losses, distress, equity, recapitalization. |
| Elena Carletti, Tommaso Oliviero, Marco Pagano, Loriana Pelizzon, Marti Subrahmanyam | The COVID-19 Shock and Equity Shortfall: Firm-level Evidence from Italy SAFE Working Paper No. 285 | Financial Markets | SAFE Working Paper | 2020 | COVID-19, pandemics, losses, distress, equity, recapitalization. |
| Monica Billio, Michele Costola, Iva Hristova, Carmelo Latino, Loriana Pelizzon | Inside the ESG Ratings: (Dis)agreement and Performance SAFE Working Paper No. 284 | Financial Markets | SAFE Working Paper | 2020 | |
| Jan Pieter Krahnen, Katja Langenbucher | The Wirecard lessons: A reform proposal for the supervision of securities markets in Europe Policy Letter No. 88 | Financial Markets | Policy Paper | 2020 | Wirecard, securities markets, market supervision |
| Helmut Gründl, Fabian Regele | Pandemic Insurance through Pandemic Partnership Bonds: A Fully Funded Insurance Solution in a Public Private Partnership Policy Letter No. 86 | Financial Markets | Policy Paper | 2020 | Covid-19-Crisis, catastrophe bond, public private partnership, pandemic insurance |
| Massimiliano Caporin, Loriana Pelizzon, Alberto Plazzi | Does Monetary Policy Impact Sovereign Credit Risk Comovement? SAFE Working Paper No. 276 | Financial Markets, Macro Finance | SAFE Working Paper | 2020 | |
| Gbenga Ibikunle, Khaladdin Rzayev | COVID-19: Venue Selection Effects and Implications for Market Quality | Financial Markets, Systemic Risk Lab | Thirdparty Working Paper | 2020 | |
| Jan Pieter Krahnen, Loriana Pelizzon | Priorities for the CMU agenda Policy Letter No. 85 | Financial Markets | Policy Paper | 2020 | CMU, High-Level-Forum, Interim Report |
| Loriana Pelizzon, Max Riedel, Zorka Simon, Marti Subrahmanyam | Collateral Eligibility of Corporate Debt in the Eurosystem SAFE Working Paper No. 275 | Financial Markets, Macro Finance, Systemic Risk Lab | SAFE Working Paper | 2020 | |
| Arnoud Boot, Elena Carletti, Hans-Helmut Kotz, Jan Pieter Krahnen, Loriana Pelizzon, Marti Subrahmanyam | Corona and Financial Stability 4.0: Implementing a European Pandemic Equity Fund Policy Letter No. 84 | Financial Markets | Policy Paper | 2020 | Coronavirus, Risk sharing, Financial stability, Policy measures in the EU, Equity fund |
| Arnoud Boot, Elena Carletti, Hans-Helmut Kotz, Jan Pieter Krahnen, Loriana Pelizzon, Marti Subrahmanyam | Corona and Financial Stability 3.0: Try equity -risk sharing for companies, large and small Policy Letter No. 81 | Financial Markets | Policy Paper | 2020 | Coronavirus, Financial stability, Risk sharing, Policy measures in the EU |
| Pietro Dindo, Andrea Modena, Loriana Pelizzon | Risk Pooling, Intermediation Efficiency, and the Business Cycle SAFE Working Paper No. 271 | Financial Markets, Macro Finance | SAFE Working Paper | 2020 | Amplification, business cycle, efficiency, dampening, restricted market participation, risk pooling |
| Arnoud Boot, Elena Carletti, Hans-Helmut Kotz, Jan Pieter Krahnen, Loriana Pelizzon, Marti Subrahmanyam | Corona and Financial Stability 2.0: Act jointly now, but also think about tomorrow Policy Letter No. 79 | Financial Markets | Policy Paper | 2020 | coronavirus, financial stability, systemic risk, strategies |
| Klaus Adam, Thiess Büttner, Joachim Hennrichs, Jan Pieter Krahnen, Jörg Rocholl | Zur Reform der Einlagensicherung: Elemente einer anreizkompatiblen Europäischen Rückversicherung White Paper No. 66 | Financial Markets | Policy Paper | 2020 | Einlagensicherung, EDIS, Bankenunion |
| Arnoud Boot, Elena Carletti, Rainer Haselmann, Hans-Helmut Kotz, Jan Pieter Krahnen, Loriana Pelizzon, Stephen Schaefer, Marti Subrahmanyam | The Coronavirus and Financial Stability Policy Letter No. 78 | Financial Markets | Policy Paper | 2020 | coronavirus, financial stability, banking, strategies |
| Aleksey Kolokolov, Giulia Livieri, Davide Pirino | Statistical Inferences for Price Staleness Journal of Econometrics | Financial Markets | Published Paper | 2020 | staleness, idle time, liquidity, zero returns, stable convergence |
| Christian Schlag, Julian Thimme, Rüdiger Weber | Implied Volatility Duration: A Measure for the Timing of Uncertainty Resolution Journal of Financial Economics | Financial Markets | Published Paper | 2021 | Preference for early resolution of uncertainty, implied volatility, cross-section of expected stock returns, asset pricing |
| Hengjie Ai, Jun E. Li, Kai Li, Christian Schlag | The Collateralizability Premium Review of Financial Studies | Financial Markets | Published Paper | 2020 | |
| Christian Schlag, Julian Thimme, Rüdiger Weber | Implied Volatility Duration: A Measure for the Timing of Uncertainty Resolution SAFE Working Paper No. 265 | Financial Markets | SAFE Working Paper | 2020 | Preference for early resolution of uncertainty, implied volatility, cross-section of expected stock returns, asset pricing |
| Tatiana Farina, Jan Pieter Krahnen, Loriana Pelizzon, Mark Wahrenburg | What are the main factors for the subdued profitability of significant banks in the Banking Union, and is the ECB’s supervisory response conclusive and exhaustive? White Paper No. 65 | Financial Markets | Policy Paper | 2019 | Bank Profitability, Supervisory Guidance, Banking Union, Financial regulation |
| Hengjie Ai, Jun E. Li, Kai Li, Christian Schlag | The Collateralizability Premium SAFE Working Paper No. 264 | Financial Markets | SAFE Working Paper | 2019 | |
| Andrea Bedin, Monica Billio, Michele Costola, Loriana Pelizzon | Credit Scoring in SME Asset-Backed Securities: An Italian Case Study SAFE Working Paper No. 262 | Financial Markets, Systemic Risk Lab | SAFE Working Paper | 2019 | credit scoring; probability of default; small and medium enterprises; assetbacked securities |
| Monica Billio, Michele Costola, Loriana Pelizzon, Max Riedel | Buildings' Energy Efficiency and the Probability of Mortgage Default: The Dutch Case SAFE Working Paper No. 261 | Financial Markets, Systemic Risk Lab | SAFE Working Paper | 2019 | Mortgages, Energy Eciency, Credit Risk |
| Maik Schmeling | What is Libra? Understanding Facebook´s Currency Policy Letter No. 76 | Financial Markets | Policy Paper | 2019 | Libra, cryptocurrency, currency board |
| Stine Louise Daetz, Marti Subrahmanyam, Dragon Yongjun Tang, Sarah Qian Wang | Can Central Banks Boost Corporate Investment? Evidence from the ECB Liquidity Injections | Financial Markets, Macro Finance | Thirdparty Related Work | 2019 | |
| Stefano Colonnello, Giuliano Curatola, Alessandro Gioffré | Pricing Sin Stocks: Ethical Preference vs. Risk Aversion European Economic Review | Financial Markets | Published Paper | 2019 | |
| Erik Theissen, Christian Westheide | Call of Duty: Designated Market Maker Participation in Call Auctions Journal of Financial Markets | Financial Markets | Published Paper | 2020 | |
| Christian Schlag, Kailin Zeng | Horizontal Industry Relationships and Return Predictability Journal of Empirical Finance | Financial Markets | Published Paper | 2019 | Connected industries, information flow, return predictability |
| Darien Huang, Christian Schlag, Ivan Shaliastovich, Julian Thimme | Volatility-of-Volatility Risk Journal of Financial and Quantitative Analysis | Financial Markets | Published Paper | 2019 | |
| Nicole Branger, Patrick Konermann, Christian Schlag | Optimists and Pessimists in (In)Complete Markets Journal of Financial and Quantitative Analysis | Financial Markets | Published Paper | 2020 | |
| Christian Schlag, Kailin Zeng | Horizontal Industry Relationships and Return Predictability SAFE Working Paper No. 256 | Financial Markets | SAFE Working Paper | 2019 | Connected industries, information flow, return predictability |
| Tina Koziol | Fire-Sale Externalities in the South African Banking Sector | Financial Markets | Thirdparty Working Paper | 2019 | |
| Thomas Johann, Talis Putnins, Satchit Sagade, Christian Westheide | Quasi-Dark Trading: The Effects of Banning Dark Pools in a World of Many Alternatives SAFE Working Paper No. 253 | Financial Markets | SAFE Working Paper | 2019 | |
| Silvia Dalla Fontana, Marco Holz auf der Heide, Loriana Pelizzon, Martin Scheicher | The Anatomy of the Euro Area Interest Rate Swap Market SAFE Working Paper No. 255 | Financial Markets, Systemic Risk Lab | SAFE Working Paper | 2019 | OTC derivatives, network analysis, interest rate risk, banking, risk management, hedging |
| Wenhui Li, Christian Wilde | Belief Formation and Belief Updating under Ambiguity: Evidence from Experiments SAFE Working Paper No. 251 | Financial Markets, Experiment Center | SAFE Working Paper | 2019 | ambiguity, learning strategy, belief updates, non-Bayesian updates, pessimism, laboratory experiments |
| Nicole Branger, Patrick Konermann, Christian Schlag | Optimists and Pessimists in (In)Complete Markets SAFE Working Paper No. 252 | Financial Markets | SAFE Working Paper | 2019 | |
| Puriya Abbassi, Michael Schmidt | Financial Stability Effect of Yield-Oriented Investment Behaviour | Financial Markets, Macro Finance | Thirdparty Working Paper | 2019 | Portfolio allocation, fixed income, yield reversals, financial stress, financial stability |
| Sascha Baghestanian, Paul Gortner, Joël van der Weele | Peer Effects and Risk Sharing in Experimental Asset Markets European Economic Review | Household Finance, Financial Markets, Experiment Center | Published Paper | 2019 | peer effects, laboratory experiments, risk taking, asset markets |
| Mario Bellia, Loriana Pelizzon, Marti Subrahmanyam, Jun Uno, Darya Yuferova | Market Liquidity and Competition Among Designated Market Makers SAFE Working Paper No. 247 | Financial Markets, Systemic Risk Lab | SAFE Working Paper | 2019 | esignated Market Makers (DMMs), Liquidity Provision |
| Mila Getmansky Sherman, Ravi Jagannathan, Loriana Pelizzon, Ernst Schaumburg, Darya Yuferova | Recovery from Fast Crashes: Role of Mutual Funds | Financial Markets, Systemic Risk Lab, Data Center | Thirdparty Related Work | 2018 | Liquidity Provision; Market Fragility; Flash Crash; Slow-Moving Capital |
| Nicole Branger, Christian Schlag, Ivan Shaliastovich, Dongho Song | Macroeconomic Bond Risks and the Zero Lower Bound | Financial Markets, Macro Finance | Thirdparty Related Work | 2016 | Macro-Finance Term Structure Models, Zero Lower Bound, Shadow Rates, Shadow Risk Premia |
| Matthias Max Nagel, Matthias Thiemann | Shifting Frames of the Expert Debate: Quantitative Easing, International Macro-Finance and the Potential Impact of Post-Keynesian Scholarship | Financial Markets, Macro Finance | Thirdparty Working Paper | 2019 | |
| Zhiwu Hong, LinLin Niu | An Arbitrage-Free Yield Net Model with Application to the Euro Debt Crisis | Financial Markets, Macro Finance | Thirdparty Working Paper | 2019 | |
| Tina Koziol, Jesper Riedler, Joeri Schasfoort | Euro Area Quantitative Easing in a Portfolio Balance Model with Heterogeneous Agents and Assets | Financial Markets, Macro Finance | Thirdparty Working Paper | 2019 | |
| Allan Davids, Co-Pierre Georg | The Cape of Good Homes: Exchange Rate Depreciations, Foreign Demand and House Prices | Financial Markets, Macro Finance | Thirdparty Working Paper | 2019 | foreign housing demand, exchange rates, house prices |
| Mucai Lin, LinLin Niu | Echo over the Great Wall: Spillover Effects of QE Announcements on Chinese Yield Curve | Financial Markets, Macro Finance | Thirdparty Working Paper | 2019 | |
| Jan Pieter Krahnen | Target Balances and Financial Crises Policy Letter No. 71 | Financial Markets | Policy Paper | 2019 | Target 2, payment system, central banks, Eurosystem |
| Viral Acharya | Foreign Fund Flows and Asset Prices: Evidence from the Indian Stock Market | Financial Markets | Thirdparty Related Work | 2016 | |
| LinLin Niu, Loriana Pelizzon, Marti Subrahmanyam, Reiko Tobe, Davide Tomio, Jun Uno | Scarcity and Spotlight Effects on Liquidity and Yield: Quantitative Easing in Japan | Financial Markets, Macro Finance, Systemic Risk Lab | Thirdparty Working Paper | 2018 | |
| Joost Driessen, Theo E. Nijman, Zorka Simon | Much Ado About Nothing: A Study of Differential Pricing and Liquidity of Short and Long Term Bonds SAFE Working Paper No. 238 | Financial Markets, Systemic Risk Lab | SAFE Working Paper | 2018 | Sovereign Bonds, Term Structure of Interest Rates, Segmentation, Liquidity, Flight-to-safety, Credit Risk, Unconventional Monetary Policy |
| Mario Bellia, Kim Christensen, Aleksey Kolokolov, Loriana Pelizzon, Roberto Renò | High-Frequency Trading During Flash Crashes: Walk of Fame or Hall of Shame? SAFE Working Paper No. 270 | Financial Markets, Systemic Risk Lab | SAFE Working Paper | 2020 | |
| Jasmin Gider, Peter Gomber, Simon N. M. Schmickler, Christian Westheide | High-Frequency Trading and Price Informativeness SAFE Working Paper No. 248 | Financial Markets | SAFE Working Paper | 2019 | High-Frequency Trading, Price Efficiency, Information Acquisition, Information Production |
| Alejandro Bernales, Nicolas Garrido, Satchit Sagade, Marcela Valenzuela, Christian Westheide | Trader Competition in Fragmented Markets: Liquidity Supply versus Picking-off Risk SAFE Working Paper No. 234 | Financial Markets | SAFE Working Paper | 2018 | Fragmentation, Competition, Liquidity, Price Efficiency |
| Tim Alexander Kroencke, Maik Schmeling, Andreas Schrimpf | The FOMC Risk Shift SAFE Working Paper No. 302 | Financial Markets | SAFE Working Paper | 2021 | Monetary Policy Surprises; Equity Premium; Fund Flows; Portfolio Rebalanc- ing; Price Pressures |
| Benjamin Clapham, Peter Gomber, Jens Lausen, Sven Panz | Liquidity Provider Incentives in Fragmented Securities Markets SAFE Working Paper No. 231 | Financial Markets | SAFE Working Paper | 2018 | Liquidity, Trading Volume, Market Fragmentation, Liquidity Provider Incentives, Transaction Costs |
| Yalin Gündüz, Giorgio Ottonello, Loriana Pelizzon, Michael Schneider, Marti Subrahmanyam | Lighting up the Dark: Liquidity in the German Corporate Bond Market SAFE Working Paper No. 230 | Financial Markets, Systemic Risk Lab | SAFE Working Paper | 2018 | Corporate Bonds, WpHG, Liquidity, Transparency, OTC markets |
| Roberto Panzica | Idiosyncratic Volatility Puzzle: The Role of Assets' Interconnections SAFE Working Paper No. 228 | Financial Markets, Systemic Risk Lab | SAFE Working Paper | 2018 | Idiosyncratic volatility puzzle; Networks; Expected Returns; Granger Causality |
| Mila Getmansky Sherman, Giulio Girardi, Stanislava Nikolova, Loriana Pelizzon, Kathleen Weiss Hanley | Portfolio Similarity and Asset Liquidation in the Insurance Industry Journal of Financial Economics | Financial Markets, Systemic Risk Lab | Published Paper | 2021 | Interconnectedness, Asset Liquidation, Similarity, Financial Stability, Insurance Com- panies, SIFI |
| Mila Getmansky Sherman, Ravi Jagannathan, Loriana Pelizzon, Ernst Schaumburg, Darya Yuferova | Recovery from Fast Crashes: Role of Mutual Funds SAFE Working Paper No. 227 | Financial Markets, Systemic Risk Lab, Data Center | SAFE Working Paper | 2018 | Liquidity Provision; Market Fragility; Flash Crash; Slow-Moving Capital |
| Jan Pieter Krahnen | Über Scheinriesen: Was TARGET-Salden tatsächlich bedeuten Eine finanzökonomische Überprüfung White Paper No. 56 | Financial Markets | Policy Paper | 2018 | TARGET-Salden, TARGET2, europäischer Zahlungsverkehr, Zentralbankensystem, Eurosystem |
| Stefano Colonnello, Giuliano Curatola, Alessandro Gioffré | Pricing Sin Stocks: Ethical Preference vs. Risk Aversion SAFE Working Paper No. 216 | Financial Markets | SAFE Working Paper | 2018 | Asset Pricing, General Equilibrium, Sin Stocks |
| Peter Gomber, Ilya Gvozdevskiy | Dark Trading under MiFID II Regulation of the EU Financial Markets: MiFID II and MiFIR (Oxford University Press) | Financial Markets | Published Paper | 2017 | |
| Stefano Colonnello, Giuliano Curatola, Alessandro Gioffré | Pricing Sin Stocks: Ethical Preference vs. Risk Aversion European Economic Review | Financial Markets | Published Paper | 2019 | |
| Massimiliano Caporin, Aleksey Kolokolov, Roberto Renò | Systemic Co-Jumps Journal of Financial Economics | Financial Markets, Systemic Risk Lab | Published Paper | 2017 | Jumps; Return predictability; Systemic events; Variance risk premium |
| Aleksey Kolokolov, Giulia Livieri, Davide Pirino | Statistical Inferences for Price Staleness SAFE Working Paper No. 236 | Financial Markets | SAFE Working Paper | 2018 | staleness, idle time, liquidity, zero returns, stable convergence |
| Darien Huang, Christian Schlag, Ivan Shaliastovich, Julian Thimme | Volatility-of-Volatility Risk SAFE Working Paper No. 210 | Financial Markets | SAFE Working Paper | 2018 | volatility of volatility, hedging errors, risk premiums |
| Michael Donadelli, Antonio Paradiso, Max Riedel | A Quasi Real-Time Leading Indicator for the EU Industrial Production The Manchester School | Financial Markets | Published Paper | 2019 | Leading indicator, EU industrial production, Granger causality, Turning points, Forward-looking Taylor rule |
| Jan Friedrich, Matthias Thiemann | Why the Initial Regulation of Financial Innovations is Decisive − Regulatory Arbitrage and Off-Balance-Sheet Leasing in Germany Policy Letter No. 69 | Financial Markets | Policy Paper | 2018 | financial innovations, regulation, regulatory arbitrage, leasing |
| Michael Brennan, Holger Kraft | Leaning Against the Wind: Debt Financing in the Face of Adversity Financial Management | Financial Markets | Published Paper | 2018 | Capital structure, financing policy, managerial incentives |
| Massimiliano Caporin, Loriana Pelizzon, Francesco Ravazzolo, Roberto Rigobon | Measuring Sovereign Contagion in Europe Journal of Financial Stability | Financial Markets, Systemic Risk Lab | Published Paper | 2018 | |
| Stephanie Collet, Kim Oosterlinck | Denouncing Odious Debts Journal of Business Ethics | Financial Markets, Data Center | Published Paper | 2018 | Ethics, Odious debt, Repudiation, Financial history, Sovereign debt, Russia |
| Nicole Branger, Paulo Rodrigues, Christian Schlag | Level and Slope of Volatility Smiles in Long-Run Risk Models SAFE Working Paper No. 186 | Financial Markets, Systemic Risk Lab | SAFE Working Paper | 2017 | Asset pricing, Epstein-Zin preferences, jump risk, stochastic volatility, level and slope of implied volatility smile |
| Matthias Goldmann, Grygoriy Pustovit | Governing Cryptocurrencies through Forward Guidance? Policy Letter No. 68 | Financial Markets | Policy Paper | 2018 | cryptocurrencies, blockchain, distributed ledger technology, regulation, forward guidance |
| Massimiliano Caporin, Luca Corazzini, Michele Costola | Measuring the Behavioural Component of the S&P 500 and its Relationship to Financial Stress and Aggregated Earnings Surprises British Journal of Management | Financial Markets, Systemic Risk Lab | Published Paper | 2019 | |
| Benjamin Clapham, Peter Gomber, Martin Haferkorn, Paul Jentsch, Sven Panz | Circuit Breakers – A Survey among International Trading Venues SAFE Working Paper No. 197 | Financial Markets | SAFE Working Paper | 2018 | |
| Johannes Kasinger, Loriana Pelizzon | Financial Stability in the EU: A Case for Micro Data Transparency Policy Letter No. 67 | Financial Markets, Systemic Risk Lab | Policy Paper | 2018 | micro data transparency, financial stability, financial market data |
| Martin Haferkorn | High-Frequency Trading and its Role in Fragmented Markets Journal of Information Technology | Financial Markets | Published Paper | 2017 | Eelectronic market hypothesis, High-frequency trading, Market efficiency, Regulation, Securities trading |
| Patrick Grüning | Heterogeneity in the Internationalization of R&D: Implications for Anomalies in Finance and Macroeconomics Finance Research Letters | Financial Markets | Published Paper | 2018 | Heterogeneous innovation; Technology spillover; Endogenous growth; Creative destruction; International finance |
| Benjamin Clapham, Peter Gomber, Martin Haferkorn, Paul Jentsch, Sven Panz | Ensuring Market Integrity and Stability: Circuit Breakers on International Trading Venues Journal of Trading | Financial Markets | Published Paper | 2017 | |
| Loriana Pelizzon, Matteo Sottocornola | The Impact of Monetary Policy Interventions on the Insurance Industry SAFE Working Paper No. 204 | Financial Markets, Macro Finance, Systemic Risk Lab | SAFE Working Paper | 2018 | Event study, monetary policy surprise, unconventional monetary policy, conventional monetary policy, insurance industry |
| Fabrizio Lillo, Loriana Pelizzon, Michael Schneider | Modelling Illiquidity Spillovers with Hawkes Processes: An Application to the Sovereign Bond Market Quantitative Finance | Financial Markets, Systemic Risk Lab | Published Paper | 2018 | Liquidity, Jump detection, Hawkes processes, Government bonds, MTS bond market |
| Elia Berdin, Matteo Sottocornola | Systemic Risk in Insurance: Towards a new Approach Policy Letter No. 62 | Financial Markets | Policy Paper | 2017 | systemic risk, macroprudential franework, insurance, financial stability |
| Michael Donadelli, Patrick Grüning, Marcus Jüppner, Renatas Kizys | Global Temperature, R&D Expenditure, and Growth SAFE Working Paper No. 188 | Financial Markets | SAFE Working Paper | 2017 | Global Temperature, R&D, Welfare Costs |
| Nicole Branger, Paulo Rodrigues, Christian Schlag | Level and Slope of Volatility Smiles in Long-Run Risk Models Journal of Economic Dynamics and Control | Financial Markets, Systemic Risk Lab | Published Paper | 2018 | Asset pricing, Epstein-Zin preferences, jump risk, stochastic volatility, level and slope of implied volatility smile |
| Patrick Grüning | Heterogeneity in the Internationalization of R&D: Implications for Anomalies in Finance and Macroeconomics SAFE Working Paper No. 185 | Financial Markets | SAFE Working Paper | 2017 | Heterogeneous innovation, Technology spillover, Endogenous growth, Creative destruction, International finance |
| Joost Driessen, Theo E. Nijman, Zorka Simon | The Missing Piece of the Puzzle: Liquidity Premiums in Inflation-Indexed Markets SAFE Working Paper No. 183 | Financial Markets | SAFE Working Paper | 2017 | Liquidity premium, liquidity risk, TIPS, inflation swaps, TIPS–Treasury puzzle |
| Benjamin Clapham, Peter Gomber, Sven Panz | Coordination of Circuit Breakers? Volume Migration and Volatility Spillover in Fragmented Markets SAFE Working Paper No. 196 | Financial Markets | SAFE Working Paper | 2018 | Circuit Breaker, Volatility Interruption, Market Fragmentation, High-Frequency Trading, Stock Market, Regulation, Liquidity |
| Benjamin Clapham, Peter Gomber, Martin Haferkorn, Sven Panz | Managing Excess Volatility: Design and Effectiveness of Circuit Breakers SAFE Working Paper No. 195 | Financial Markets | SAFE Working Paper | 2018 | Circuit Breaker, Volatility Interruption, Volatility, Liquidity, Market Design |
| Mario Bellia, Loriana Pelizzon, Marti Subrahmanyam, Jun Uno, Darya Yuferova | Coming Early to the Party SAFE Working Paper No. 182 | Financial Markets, Systemic Risk Lab | SAFE Working Paper | 2017 | High-Frequency Traders (HFTs), Proprietary Trading, Opening Auction, Liquidity Provision, Price Discovery |
| Loriana Pelizzon, Marti Subrahmanyam, Davide Tomio, Jun Uno | Central Bank-Driven Mispricing SAFE Working Paper No. 226 | Financial Markets, Macro Finance, Systemic Risk Lab | SAFE Working Paper | 2018 | Central Bank Interventions, Liquidity, Sovereign Bonds, Futures Contracts, Arbitrage |
| Viral Acharya, Diane Pierret, Sascha Steffen | Lender of Last Resort, Buyer of Last Resort, and a Fear of Fire Sales in the Sovereign Bond Market | Financial Markets, Macro Finance | Thirdparty Working Paper | 2018 | |
| Michael Donadelli, Marcus Jüppner, Max Riedel, Christian Schlag | Temperature Shocks and Welfare Costs Journal of Economic Dynamics and Control | Financial Markets | Published Paper | 2017 | Temperature shocks, long-run growth, asset prices, welfare costs, adaptation |
| Michael Donadelli, Marcus Jüppner, Max Riedel, Christian Schlag | Temperature Shocks and Welfare Costs SAFE Working Paper No. 177 | Financial Markets | SAFE Working Paper | 2017 | Temperature shocks, long-run growth, asset prices, welfare costs, adaptation |
| Giuliano Curatola, Ilya Dergunov | International Capital Markets with Time-Varying Preferences SAFE Working Paper No. 176 | Household Finance, Financial Markets | SAFE Working Paper | 2017 | Asset pricing, general equilibrium, heterogeneous agents, interdependent preferences, portfolio choice |
| Holger Kraft, Eduardo S. Schwartz, Farina Weiss | Growth Options and Firm Valuation European Financial Management | Financial Markets | Published Paper | 2018 | Firm valuation, Real options, Volatility, R&D expenses |
| Christel Merlin Kuate Kamga, Christian Wilde | Liquidity Premia in CDS Markets SAFE Working Paper No. 173 | Financial Intermediation, Financial Markets | SAFE Working Paper | 2017 | CDS, liquidity |
| Massimiliano Caporin, Michele Costola, Shawkat Hammoudeh, Ahmed Khalifa | Systemic Risk for Financial Institutions of Major Petroleum-Based Economies: The Role of Oil SAFE Working Paper No. 172 | Financial Intermediation, Financial Markets, Systemic Risk Lab | SAFE Working Paper | 2017 | Systemic Risk, Risk Measurement, VaR, ΔCoVaR, Oil, Financial Institutions, Petroleum-based Economies |
| Giuliano Curatola | Optimal Portfolio Choice with Loss Aversion Over Consumption Quarterly Review of Economics and Finance | Financial Markets | Published Paper | 2017 | Loss-aversion, Habit-formation, Consumption–portfolio choice |
| Michael Donadelli, Patrick Grüning | Innovation Dynamics and Fiscal Policy: Implications for Growth, Asset Prices, and Welfare SAFE Working Paper No. 171 | Financial Markets | SAFE Working Paper | 2017 | Endogenous growth, Asset pricing, Government, Fiscal policy, Heterogeneous innovation |
| Patrick Grüning | International Endogenous Growth, Macro Anomalies, and Asset Prices Journal of Economic Dynamics and Control | Financial Markets | Published Paper | 2017 | Innovation, Technology spillover, Endogenous growth, Long-run risk, International finance |
| Franklin Allen, Jan Pieter Krahnen, Holger Lüthen, Hélène Rey | Financial Resilience Revisited: Why Consistency in Regulation is now Paramount – Across Sectors and Regions, and Over Time Policy Letter No. 55 | Financial Intermediation, Financial Markets | Policy Paper | 2017 | financial resilience, financial markets regulation, banking regulation |
| Monica Billio, Massimiliano Caporin, Roberto Panzica, Loriana Pelizzon | The Impact of Network Connectivity on Factor Exposures, Asset Pricing and Portfolio Diversification SAFE Working Paper No. 166 | Financial Markets, Systemic Risk Lab | SAFE Working Paper | 2016 | CAPM, volatility, network, interconnections, systematic risk |
| Jan Pieter Krahnen, Christian Wilde | Skin-in-the-Game in ABS Transactions: A Critical Review of Policy Options White Paper No. 46 | Financial Markets | Policy Paper | 2017 | Structured finance, ABS, STS (simple, transparent, and standardized securitizations), regulation, retention, Dodd-Frank Act |
| Giovanni Bonaccolto, Massimiliano Caporin, Roberto Panzica | Estimation and Model-Based Combination of Causality Networks SAFE Working Paper No. 165 | Financial Markets | SAFE Working Paper | 2017 | Granger causality, quantile causality, multi-layer network, network combination |
| Giuliano Curatola, Michael Donadelli, Patrick Grüning | Technology Trade with Asymmetric Tax Regimes and Heterogeneous Labor Markets: Implications for Macro Quantities and Asset Prices SAFE Working Paper No. 163 | Financial Markets | SAFE Working Paper | 2017 | Technology Adoption, R&D Investment, Asymmetric Tax Regimes, Asset Prices |
| Michael Donadelli, Renatas Kizys, Max Riedel | Dangerous Infectious Diseases: Bad News for Main Street, Good News for Wall Street? Journal of Financial Markets | Financial Markets | Published Paper | 2017 | WHO alerts, investor sentiment, pharmaceutical industry, trading strategies |
| Günter Franke, Jan Pieter Krahnen | SME Funding Without Banks? On the Interplay of Banks and Markets White Paper No. 44 | Financial Intermediation, Financial Markets | Policy Paper | 2017 | SME, funding, capital markets, lending instruments, banks |
| Monica Billio, Michael Donadelli, Antonio Paradiso, Max Riedel | Which Market Integration Measure? Journal of Banking and Finance | Financial Markets | Published Paper | 2016 | Equity market integration, dynamic correlation, principal components, international diversification benefits |
| Monica Billio, Michael Donadelli, Antonio Paradiso, Max Riedel | Which Market Integration Measure? SAFE Working Paper No. 159 | Financial Markets | SAFE Working Paper | 2016 | Equity market integration, dynamic correlation, principal components, international diversification benefits |
| Michael Donadelli, Renatas Kizys, Max Riedel | Globally Dangerous Diseases: Bad News for Main Street, Good News for Wall Street? SAFE Working Paper No. 158 | Financial Markets | SAFE Working Paper | 2016 | WHO alerts, investor sentiment, pharmaceutical industry, trading strategies |
| Fabrizio Lillo, Loriana Pelizzon, Michael Schneider | How Has Sovereign Bond Market Liquidity Changed? - An Illiquidity Spillover Analysis SAFE Working Paper No. 151 | Financial Markets, Systemic Risk Lab | SAFE Working Paper | 2016 | Liquidity, jump detection, Hawkes processes, government bonds, MTS bond market, Quantitative Easing. |
| Massimiliano Caporin, Aleksey Kolokolov, Roberto Renò | Systemic Co-Jumps SAFE Working Paper No. 149 | Financial Markets, Systemic Risk Lab | SAFE Working Paper | 2016 | Jumps, Return predictability, Systemic events, Variance Risk Premium |
| Mario Bellia, Loriana Pelizzon, Marti Subrahmanyam, Jun Uno, Darya Yuferova | High Frequency Traders without Trading: Price Discovery and Liquidity Provision in the Pre-Opening Period SAFE Working Paper No. 144 | Financial Markets, Systemic Risk Lab | SAFE Working Paper | 2016 | High-Frequency Traders (HFTs), Pre-Opening, Opening Call Auction, Price Discovery, Liquidity provision. |
| Peter Gomber, Satchit Sagade, Erik Theissen, Moritz Christian Weber, Christian Westheide | Spoilt for Choice: Order Routing Decisions in Fragmented Equity Markets SAFE Working Paper No. 143 | Financial Markets, Systemic Risk Lab | SAFE Working Paper | 2016 | Dark Trading, Fragmentation, Anonymity, Immediacy |
| Jan Pieter Krahnen, Loriana Pelizzon | "Predatory" Margins and the Regulation and Supervision of Central Counterparty Clearing Houses (CCPs) White Paper No. 41 | Financial Markets, Systemic Risk Lab | Policy Paper | 2016 | central counterparties, CCP, derivatives, financial market regulation, financial market supervision |
| Peter Gomber, Satchit Sagade, Erik Theissen, Moritz Christian Weber, Christian Westheide | Competition Between Equity Markets: A Review of the Consolidation Versus Fragmentation Debate Journal of Economic Surveys | Financial Markets | Published Paper | 2017 | Competition, Fragmentation, Market Structure, Liquidity, Price Discovery |
| Holger Kraft, Thomas Seiferling, Frank Thomas Seifried | Optimal Consumption and Investment with Epstein-Zin Recursive Utility Finance and Stochastics | Financial Markets | Published Paper | 2017 | consumption-portfolio choice, asset pricing, stochastic differential utility, incomplete markets, fixed point approach, FBSDE |
| Michael Donadelli, Patrick Grüning | Labor Market Dynamics, Endogenous Growth and Asset Prices Economics Letters | Financial Markets | Published Paper | 2016 | http://www.sciencedirect.com/science/article/pii/S0165176516300933 |
| Nicole Branger, Patrick Grüning, Christian Schlag | Commodities, Financialization, and Heterogeneous Agents SAFE Working Paper No. 131 | Financial Markets | SAFE Working Paper | 2016 | Commodities, General Equilibrium, Heterogeneous Preferences, Financial Markets |
| Peter Gomber | The German Equity Trading Landscape White Paper No. 34 | Financial Markets | Policy Paper | 2016 | MiFID II, MiFIR, equity trading, electronic trading, cash equity markets |
| Jan Pieter Krahnen, Felix Noth, Ulrich Schüwer | Structural Reforms in Banking: The Role of Trading White Paper No. 33 | Financial Intermediation, Financial Markets | Policy Paper | 2016 | proprietary trading, banking separation proposals, bank risk |
| Adrian Buss, Bernard Dumas, Raman Uppal, Grigory Vilkov | The Intended and Unintended Consequences of Financial-Market Regulations: A General Equilibrium Analysis Journal of Monetary Economics | Financial Markets | Published Paper | 2016 | Tobin tax, borrowing constraints, short-sale constraints, stock market volatility, incomplete markets, differences of opinion |
| Giuliano Curatola | Optimal Consumption and Portfolio Choice with Loss Aversion SAFE Working Paper No. 130 | Financial Markets | SAFE Working Paper | 2016 | Loss-aversion, Habit-formation, Consumption-portfolio choice |
| Giuliano Curatola, Michael Donadelli, Patrick Grüning, Christoph Meinerding | Investment-Specific Shocks, Business Cycles, and Asset Prices SAFE Working Paper No. 129 | Financial Markets | SAFE Working Paper | 2016 | General Equilibrium Asset Pricing, Production Economy, Long-Run Risk, Investment-Specific Shocks, Nominal Rigidities |
| Adrian Buss, Bernard Dumas, Raman Uppal, Grigory Vilkov | The Intended and Unintended Consequences of Financial-Market Regulations: A General Equilibrium Analysis SAFE Working Paper No. 124 | Financial Markets | SAFE Working Paper | 2016 | Tobin tax, borrowing constraints, short-sale constraints, stock market volatility, incomplete markets, differences of opinion |
| Günther Gebhardt | Impairments of Greek Government Bonds under IAS 39 and IFRS 9: A Case Study White Paper No. 30 | Financial Markets | Policy Paper | 2015 | government bonds, IFRS 9, credit losses |
| Michael Brennan, Holger Kraft | Leaning Against the Wind: Debt Financing in the Face of Adversity SAFE Working Paper No. 119 | Financial Markets | SAFE Working Paper | 2015 | Capital structure, financing policy, managerial incentives |
| Michael Donadelli, Antonio Paradiso, Max Riedel | A Quasi Real-Time Leading Indicator for the EU Industrial Production SAFE Working Paper No. 118 | Financial Markets | SAFE Working Paper | 2015 | Leading indicator, EU industrial production, Granger causality, Turning points, Forward-looking Taylor rule |
| Franz Hackl, Michael Kummer, Rudolf Winter-Ebmer, Christine Zulehner | Market Structure and Market Performance in E-Commerce European Economic Review | Financial Markets | Published Paper | 2014 | Retailing, Product life cycle, Market structure, Market performance, Markup, Price dispersion |
| Giuliano Curatola, Michael Donadelli, Patrick Grüning | Matching the BRIC equity premium: A structural approach Emerging Markets Review | Financial Markets | Published Paper | 2015 | BRIC countries, Equity risk premium, Long-run risk, Persistence |
| Giuliano Curatola | Loss aversion, habit formation and the term structures of equity and interest rates Journal of Economic Dynamics and Control | Financial Markets, Macro Finance | Published Paper | 2015 | Loss-aversion, Habit formation, Yield curve, Dividend strips, General equilibrium |
| Loriana Pelizzon, Marti Subrahmanyam, Davide Tomio, Jun Uno | Sovereign Credit Risk, Liquidity, and ECB Intervention: Deus Ex Machina? SAFE Working Paper No. 95 | Financial Markets, Systemic Risk Lab | SAFE Working Paper | 2015 | Liquidity, Credit Risk, Euro-zone Government Bonds, Financial Crisis, MTS Bond Market |
| Christine Moorman, Simone Wies | Going Public: How Stock Market Participation Changes Firm Innovation Behavior Journal of Marketing Research | Financial Markets | Published Paper | 2015 | Innovation, breakthrough innovation, stock market impact, IPO, marketing-finance interface, consumer packaged goods |
| Volker Brühl, Helmut Gründl, Andreas Hackethal, Hans-Helmut Kotz, Jan Pieter Krahnen, Tobias Tröger | Comments on the EU Commission’s Capital Markets Union Project White Paper No. 27 | Financial Markets | Policy Paper | 2015 | Capital Markets Union, functional finance approach, level playing field, financial services |
| Massimiliano Caporin, Loriana Pelizzon, Francesco Ravazzolo, Roberto Rigobon | Measuring Sovereign Contagion in Europe SAFE Working Paper No. 103 | Financial Markets, Systemic Risk Lab | SAFE Working Paper | 2015 | Sovereign Risk, Contagion, Disintegration |
| Guglielmo Maria Caporale, Michael Donadelli, Alessia Varani | International Capital Markets Structure, Preferences and Puzzles: A US-China World Journal of International Financial Markets, Institutions and Money | Financial Markets | Published Paper | 2015 | Macro-anomalies, Financial autarky, Complete markets, Long-run innovations, Home bias |
| Peter Gomber, Benedikt Thomas Jaeger | MiFID: Eine systematische Analyse der Zielerreichung White Paper No. 14 | Financial Markets | Policy Paper | 2014 | MiFID, Wettbewerb, Integration, Transparenz, Integrität |
| Sascha Baghestanian, Paul Gortner, Joël van der Weele | Peer Effects and Risk Sharing in Experimental Asset Markets SAFE Working Paper No. 67 | Household Finance, Financial Markets, Experiment Center | SAFE Working Paper | 2014 | peer effects, laboratory experiments, risk taking, asset markets |
| Peter Gomber, Frank Nassauer | Neuordnung der Finanzmärkte in Europa durch MiFID II/MiFIR White Paper No. 20 | Financial Markets | Policy Paper | 2014 | MiFID II, MiFIR, Derivatehandel, Hochfrequenzhandel |
| Nicole Branger, Patrick Konermann, Christoph Meinerding, Christian Schlag | Equilibrium Asset Pricing in Directed Networks SAFE Working Paper No. 74 | Financial Markets, Systemic Risk Lab | SAFE Working Paper | 2014 | Dynamic Networks, Mutually Exciting Processes, Asset Pricing, General Equilibrium, Recursive Preferences |
| Craig Lewis, Christian Schlag | What Does U.S. Money Market Mutual Fund Reform Portend for the European Union? White Paper No. 24 | Financial Markets | Policy Paper | 2014 | money market funds, liquidity runs, floating net asset value (FNAV) |
| Patrick Grüning | International Endogenous Growth, Macro Anomalies, and Asset Prices SAFE Working Paper No. 83 | Financial Markets | SAFE Working Paper | 2015 | Innovation, Product Market Competition, Endogenous Growth, Long-run Risk, International Finance |
| Matthias Thiemann | The Regulation of Repo Markets: Incorporating Public Interest through a Stronger Role of Civil Society White Paper No. 25 | Financial Markets | Policy Paper | 2015 | Repo Markets, Shadow Banking, Non-governmental Organizations |
| Roman Beck, Wolfgang König, Immanuel Pahlke, Martin Wolf | Mindfully Resisting the Bandwagon – IT Implementation and Its Consequences in the Financial Crisis Policy Letter No. 10 | Financial Markets | Policy Paper | 2013 | IT innovations, financial services |
| Peter Gomber | High-Frequency-Trading: Zwischen Nutzeffekten und Risiken Press Article No. 8, 2011 | Financial Markets | Policy Paper | 2011 | Wertpapiermärkte, High Frequency Trading, Regulierung |
| Björn Arndt, Peter Gomber, Marco Lutat, Tim Uhle | High Frequency Trading White Paper No. 3, 2011 | Financial Markets | Policy Paper | 2011 | algorithmic trading, high-frequency trading, regulation |
| Peter Gomber, Markus Gsell, Marco Lutat | Competition Among Electronic Markets and Market Quality White Paper No. 25, 2010 | Financial Markets | Policy Paper | 2010 | MiFID, market fragmentation,liquidity |
| Peter Gomber, Axel Pierron | MiFID - Spirit and Reality of a European Financial Markets Directive White Paper No. 22, 2010 | Financial Markets | Policy Paper | 2010 | MiFID, regulation, securities trading |
| Volker Wieland | Rational Learning About Rare-Disaster Frequencies: A Persistent Source of Asset-Price Overreaction Policy Letter No. 14, 2011 | Financial Markets | Policy Paper | 2011 | asset prices, comsumer beliefs, Bayesian learning |
| Holger Kraft, Eduardo S. Schwartz, Farina Weiss | Growth Options and Firm Valuation SAFE Working Paper No. 6 | Financial Markets, Transparency Lab | SAFE Working Paper | 2013 | Firm valuation, Real options, Volatility, R&D expenses |
| Grigory Vilkov, Yan Xiao | Option-Implied Information and Predictability of Extreme Returns SAFE Working Paper No. 5 | Financial Markets | SAFE Working Paper | 2013 | extreme value theory, tail measure, implied correlation, variance risk premium, option-implied distribution, predictability, portfolio optimization |
| Marius Ascheberg, Nicole Branger, Holger Kraft, Frank Thomas Seifried | When Do Jumps Matter for Portfolio Optimization? SAFE Working Paper No. 16 | Financial Markets | SAFE Working Paper | 2013 | Optimal investment, jumps, stochastic volatility, welfare loss |
| Michael Brennan, Holger Kraft | Financing Asset Growth SAFE Working Paper No. 26 | Financial Markets | SAFE Working Paper | 2013 | |
| Nicole Branger, Patrick Grüning, Holger Kraft, Christoph Meinerding, Christian Schlag | Asset Pricing Under Uncertainty About Shock Propagation SAFE Working Paper No. 34 | Financial Markets | SAFE Working Paper | 2013 | General Equilibrium, Contagion Risk, Partial Information, Filtering, Recursive Utility |
| Peter Gomber, Satchit Sagade, Erik Theissen, Moritz Christian Weber, Christian Westheide | Competition Between Equity Markets: A Review of the Consolidation Versus Fragmentation Debate SAFE Working Paper No. 35 | Financial Markets | SAFE Working Paper | 2013 | Competition, Fragmentation, Market Structure, Liquidity, Price Discovery |
| Adrian Buss, Raman Uppal, Grigory Vilkov | Asset Prices in General Equilibrium with Recursive Utility and Illiquidity Induced by Transactions Costs SAFE Working Paper No. 41 | Financial Markets | SAFE Working Paper | 2014 | liquidity premium, incomplete markets, portfolio choice, heterogeneous agents |
| Holger Kraft, Thomas Seiferling, Frank Thomas Seifried | Optimal Consumption and Investment with Epstein-Zin Recursive Utility SAFE Working Paper No. 52 | Financial Markets | SAFE Working Paper | 2014 | consumption-portfolio choice, asset pricing, stochastic differential utility, incomplete markets, fixed point approach, FBSDE |
| Jan Pieter Krahnen, Peter Ockenfels, Christian Wilde | Measuring Ambiguity Aversion: A Systematic Experimental Approach SAFE Working Paper No. 55 | Financial Intermediation, Financial Markets, Transparency Lab, Experiment Center | SAFE Working Paper | 2014 | ambiguity, valuation discount, experimental economics |
| Giuliano Curatola, Michael Donadelli, Alessandro Gioffré, Patrick Grüning | Austerity, Fiscal Uncertainty, and Economic Growth: Insights from Fiscally Weak EU Countries SAFE Working Paper No. 56 | Financial Markets | SAFE Working Paper | 2014 | Austerity Measures, Fiscal Policy, Endogenous Growth, R&D |
| Nicole Branger, Holger Kraft, Christoph Meinerding | The Dynamics of Crises and the Equity Premium SAFE Working Paper No. 11 | Financial Markets, Systemic Risk Lab | SAFE Working Paper | 2013 | General Equilibrium, Asset Pricing, Recursive Preferences, Long-Run Risk, Disaster Models |
| Holger Kraft, Frank Thomas Seifried | Stochastic Differential Utility as the Continuous-Time Limit of Recursive Utility SAFE Working Paper No. 17 | Financial Markets | SAFE Working Paper | 2013 | stochastic differential utility, recursive utility, convergence, backward stochastic differential equation |
| Nicole Branger, Holger Kraft, Christoph Meinerding | Partial Information about Contagion Risk, Self-Exciting Processes and Portfolio Optimization SAFE Working Paper No. 28 | Financial Markets, Systemic Risk Lab, Transparency Lab | SAFE Working Paper | 2013 | Asset Allocation, Contagion, Nonlinear Filtering, Hidden State, Self-exciting Processes |
| Yacine Aït-Sahalia, Roger J. A. Laeven, Loriana Pelizzon | Mutual Excitation in Eurozone Sovereign CDS SAFE Working Paper No. 51 | Financial Markets, Macro Finance, Systemic Risk Lab | SAFE Working Paper | 2014 | CDS, Sovereign risk, Systemic risk, Jumps, Feedback, Hawkes processes, Mutually exciting processes, Impulse-response |
| Sascha Baghestanian, Todd B. Walker | Anchoring in Experimental Asset Markets SAFE Working Paper No. 54 | Financial Markets, Experiment Center | SAFE Working Paper | 2014 | Experimental Asset Markets, Anchoring, Bubbles |
| Peter Gomber, Satchit Sagade, Erik Theissen, Moritz Christian Weber, Christian Westheide | The State of Play in European Over-the-Counter Equities Trading Journal of Trading | Financial Markets | Published Paper | 2015 | |
| Peter Gomber, Benedikt Thomas Jaeger | MiFID: Eine systematische Analyse der Zielerreichung Zeitschrift für Bankrecht und Bankwirtschaft | Financial Markets | Published Paper | 2014 | |
| Kevin Bauer, Nicole Branger, Christian Schlag, Lue Wu | "Nobody is Perfect": Asset Pricing and Long-Run Survival When Heterogeneous Investors Exhibit Different Kinds of Filtering Errors SAFE Working Paper No. 114 | Financial Markets | SAFE Working Paper | 2015 | General Equilibrium, Asset Allocation, Learning, Different Beliefs, Over-Confidence |
| Holger Kraft, Frank Thomas Seifried | Stochastic Differential Utility as the Continuous-Time Limit of Recursive Utility Journal of Economic Theory | Financial Markets | Published Paper | 2014 | stochastic differential utility, recursive utility, convergence, backward stochastic differential equation |
| Nicole Branger, Holger Kraft, Christoph Meinerding | Partial Information about Contagion Risk, Self-Exciting Processes and Portfolio Optimization Journal of Economic Dynamics and Control | Financial Markets, Systemic Risk Lab, Transparency Lab | Published Paper | 2014 | Asset Allocation, Contagion, Nonlinear Filtering, Hidden State, Self-exciting Processes |
| Yacine Aït-Sahalia, Roger J. A. Laeven, Loriana Pelizzon | Mutual Excitation in Eurozone Sovereign CDS Journal of Econometrics | Financial Markets, Macro Finance, Systemic Risk Lab | Published Paper | 2014 | CDS, Sovereign risk, Systemic risk, Jumps, Feedback, Hawkes processes, Mutually exciting processes, Impulse-response |
| Sascha Baghestanian, Todd B. Walker | Anchoring in Experimental Asset Markets Journal of Economic Behavior & Organization | Financial Markets, Experiment Center | Published Paper | 2015 | Experimental Asset Markets, Anchoring, Bubbles |
| Nicole Branger, Christian Schlag, Lue Wu | "Nobody is Perfect": Asset Pricing and Long-Run Survival When Heterogeneous Investors Exhibit Different Kinds of Filtering Errors Journal of Economic Dynamics and Control | Financial Markets | Published Paper | 2015 | General Equilibrium, Asset Allocation, Learning, Different Beliefs, Over-Confidence |
| Nicole Branger, Holger Kraft, Christoph Meinerding | The Dynamics of Crises and the Equity Premium Review of Financial Studies | Financial Markets, Systemic Risk Lab | Published Paper | 2016 | General Equilibrium, Asset Pricing, Recursive Preferences, Long-Run Risk, Disaster Models |
| Marius Ascheberg, Nicole Branger, Holger Kraft, Frank Thomas Seifried | When Do Jumps Matter for Portfolio Optimization? Quantitative Finance | Financial Markets | Published Paper | 2016 | Optimal investment, jumps, stochastic volatility, welfare loss |
| Loriana Pelizzon, Marti Subrahmanyam, Davide Tomio, Jun Uno | Sovereign Credit Risk, Liquidity, and ECB Intervention: Deus Ex Machina? Journal of Financial Economics | Financial Markets, Systemic Risk Lab | Published Paper | 2016 | Liquidity, Credit Risk, Euro-zone Government Bonds, Financial Crisis, MTS Bond Market |
Ongoing Research Projects
Current Research Team
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