The no-arbitrage affine Gaussian term structure model is used to analyse the impact of macroeconomic surprises on the nominal and the real term structure in the euro area and in the United States. We find that nominal rates are affected by surprises in economic growth, the labour market and the...

This document introduces our new risk arbitrage database, MAGMA Europe. It extends our proprietary database MAGMA (Merger Arbitrage Global Model Analytics) to Europe. The database already features over 2,200 M&A deals in North America over the 1998 to 2013 period.After briefly describing the...

Systemic risk remains a major concern to policymakers since widespread defaults in the corporate and financial sectors could pose substantial costs to society. Forward-looking measures and/or indicators of systemic default risk are thus needed to identify potential buildups of vulnerability in...

The recent financial crisis clearly demonstrated that herding behavior incorporates an unhedgeable systemic risk, exposing investors and financial institutions to market prices and valuations, which cannot be solely explained by fundamentals. We examine the existence of herding behavior of the...

This paper is the first empirical study to focus on the role of liquidity for futures in the European Union Emissions Trading Scheme (EU-ETS). In this large and fast growing market with a global market value of $50 billion, liquidity is fundamental because it enables entities to trade quickly...

The objective of this article is to highlight some of the key changes because of the transition from IFRS 4 to IFRS 17 and how the financial information presented by the insurance companies will transform from 1 January 2023

Public sector corruption affects economic and financial outcomes, such as GDP growth, foreign direct investment, and government funding costs. Less is known about the spillovers from perceptions of public sector corruption on the private sector corporate bond market. In this paper, we assess the...

This paper models the month-over-month change in euro-denominated (EUR) long-term interest rate swap yields. It shows that the change in the short-term interest rate has an economically and statistically significant effect on the change in EUR swap yields of different maturity tenors, after...

This paper examines the dynamics of euro-denominated (EUR) long-term interest rate swap yields. It shows that the short-term interest rate has an economically and statistically significant effect on EUR swap yields of different maturity tenors, after controlling for various key macroeconomic...

This paper estimates the factors underlying the volatility of the euro overnight interest rate and its transmission along the euro area money market yield curve. A new multivariate unobserved components model is proposed allowing for both long-memory and stationary cyclical dynamics. Using...