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Selected Working papers:
Switching Costs, Deposit Insurance and Deposit Withdrawals from Distressed Banks. M. Brown, B. Guin and S. Morkötter, Working Paper on Finance No. 2013/9, University of St.Gallen, November 2013.
We study deposit withdrawals by retail customers of two large Swiss banks after these banks incurred substantial losses in the wake of the U.S. subprime crisis. We find that households are 16 percentage points more likely to withdraw deposits from the two large Swiss banks than from any other Swiss bank. The propensity to withdraw deposits is substantially reduced by household-level switching costs: Households which rely on a single deposit account, which do not live close to any other bank, or which maintain a credit relationship the large Swiss banks, are significantly less likely to withdraw deposits.
Financing Asset Sales and Business Cycles. M. Arnold, D. Hackbarth and T. Puhan, Working Paper on Finance No 13/20 University of St.Gallen, November 2013. We analyze the decision of firms to sell assets to fund investments (financing asset sales). We document empirical patterns of financing asset sales that cannot be explained with traditional motives for selling assets, such as financial distress or financing constraints. Using a structural model, we show that financing asset sales attenuate the debt overhang problem, because they imply lower wealth transfers from equity to debt than identical but equity financed investments. This motive to reduce the wealth transfer problem can explain how financing asset sales empirically relate to firm characteristics, and to business cycles.
Understanding FX Liquidity. N. Karnaukh, A. Ranaldo and P. Söderlind, Working Paper on Finance No 13/15 University of St.Gallen, September 2013. Previous studies of liquidity in the foreign exchange (FX) market span short time periods or focus on specific measures of liquidity. In contrast, we provide a comprehensive study of FX liquidity and commonality over more than two decades and a cross-section of forty exchange rates. After identifying the most accurate liquidity proxies based on low-frequency and readily available data, we show that commonality in FX liquidities is stronger for developed currencies and in highly volatile markets. We also show that FX liquidity deteriorates with risk in stock, bond and FX markets, and that riskier currencies are more exposed to liquidity drops.
Conference presentations:
- ECB Workshop on relevant developments in euro area money markets. A. Ranaldo, invited discussant for «Funding liquidity, market liquidity and TED spread: A two-regime model», by K. Boudt and D. Rosenthal, Frankfurt, September 30 to October 1, 2013.
- Smokescreen: How Managers Behave When They Have Something to Hide. T. Artiga González, M. Schmid and D. Yermack, German Finance Association (DGF) Annual Meeting, Wuppertal, Germany, September 27-28, 2013.
- Don’t Answer the Phone – Financial Advice and Individual Investors' Performance. D. Hoechle, S. Ruenzi, N. Schaub and M.Schmid, European Finance Association (EFA) Annual Meeting, Cambridge, UK, August 28-31, 2013.
- The Euro Interbank Repo Market. J. Wrampelmeyer, European Summer Symposium in Financial Markets (ESSFM), Gerzensee, July 22-26, 2013.
- Measuring Liquidity in the Foreign Exchange Market. A. Ranaldo, Measuring and Modeling Financial Risk with High Frequency Data. Volatility Workshop at EUI European University Institute, Florence, June 27-29, 2013.
- The Euro Interbank Repo Market. J. Wrampelmeyer, Maastricht Workshop on Advances in Quantitative Economics, Maastricht NL, June 20-21, 2013.
- The Euro Interbank Repo Market. A. Ranaldo, ECB Workshop ‘Non-standard monetary policy measures’, Frankfurt, June 17, 2013.
- The Euro Interbank Repo Market. A. Ranaldo (Keynote Speaker), ALM Konferenz Asset Liability Management, Zürich, June 6, 2013.
Publications:
- Variance Risk Premiums in Foreign Exchange Markets. M. Ammann and R. Büsser, Journal of Empirical Finance, September 23, 2013, 16-32.
- Convergence of Bank Efficiency in Emerging Markets: The Central And Eastern European Countries’ Experience. A. M. Andries and B. Capraru, Emerging Markets Finance and Trade, forthcoming.
- The nexus between competition and efficiency: the European banking industries experience. A. M. Andries and B. Capraru. International Business Review. 10.1016/j.ibusrev.2013.09.004, forthcoming.
- Bank Funding, Securitization and Loan Terms: Evidence from Foreign Currency Lending. M. Brown with K. Kirschenmann and S. Ongena, Journal of Money, Credit & Banking, forthcoming.
- Spatial Linkages in Returns and Volatilities among U.S. Regional Housing Markets. R. Füss with B. Zhu and N. Rottke, Real Estate Economics, Vol. 41, No. 1, 29-64.
- The Sources of Risk Spillovers among U.S. REITs: Financial Characteristics and Regional Proximity. R. Füss with Z. Adams and F. Schindler, Real Estate Economics, forthcoming.
- Intraday Patterns in FX Returns and Order Flow. A. Ranaldo and F. Breedon, Journal of Money, Credit and Banking, 45, 5, 953-965, Wiley-Blackwell, Oxford.
- Liquidity in the Foreign Ex-change Market: Measurement, Commonality and Risk Premiums. A. Ranaldo with L. Mancini and J. Wrampelmeyer, Journal of Finance, 65, 5, 1805-1841, Wiley-Blackwell, Oxford.
- Risk spillovers in international equity portfolios. A. Ranaldo with M. Bonato and M. Caporin, Journal of Empirical Finance, Elsevier, Amsterdam, forthcoming.
Invitations to Research Seminars:
- The Euro Interbank Repo Market. A. Ranaldo, University of Leuven, November 14, 2013.
- Understanding FX Liquidity. Paul Söderlind, Aarhus University, November 7, 2013.
- The Euro Interbank Repo Market. J. Wrampelmeyer, FED New York, November 5, 2013.
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