University of Surrey

Test tubes in the lab Research in the ATI Dance Research

Essays on financial markets and central bank policy.

Politsidis, Panagiotis N. (2017) Essays on financial markets and central bank policy. Doctoral thesis, University of Surrey.

[img]
Preview
Text
Thesis. Essays on Financial Markets and Central Bank Policy.pdf - Version of Record
Available under License Creative Commons Attribution Non-commercial Share Alike.

Download (2MB) | Preview

Abstract

This Thesis consists of three chapters examining the interaction and comovement between different financial assets in terms of their price, liquidity and volatility, and analysing the impact of the central bank's monetary policy stance on this interaction. ''The interaction of the Stock, Bond and CDS markets: An empirical analysis'' examines the price co-movements between the stock, bond, and CDS markets finding differences in the timing with which information is reflected in these asset-markets. It further identifies the factors that generate order flow in these markets focusing on the instruments controlled closely by the central bank. The examination of those instruments includes a comparison between standard and non-standard monetary policy measures and the identification of the monetary transmission channel. ''Sovereign Bond and CDS Market Liquidity. Arbitrage Activities and Central Bank Interventions'' analyses the joint dynamics of sovereign bond and CDS market liquidity taking into account the no-arbitrage relationship between them, i.e., the CDS-bond basis, and provides evidence of asymmetric liquidity interaction between the two asset-markets. The examination of central bank interventions and regulatory changes reveals that the ECB's open market purchases and the EU's naked CDS ban managed to limit the mispricing in the sovereign bond and CDS markets and improved the bond-CDS liquidity interaction. ''Volatility and Integration in the European Sovereign Bond and CDS Markets'' studies the strength and direction of volatility linkages between European sovereign bond yields and CDS spreads and assesses whether volatility linkages lead to stronger cross-asset integration. The analysis points to the existence of two blocs within the EMU according to the level of bond-CDS integration, a level which in the EMU South is inversely related to the CDS-bond basis. It additionally lends support to the implementation of non-standard monetary policy measures, since an easing in the ECB's policy stance improves the level of cross-asset integration.

Item Type: Thesis (Doctoral)
Subjects : Finance, Financial Markets, Central Bank Policy
Divisions : Theses
Authors :
AuthorsEmailORCID
Politsidis, Panagiotis N.UNSPECIFIEDUNSPECIFIED
Date : 31 March 2017
Funders : N/A
Contributors :
ContributionNameEmailORCID
Thesis supervisorNtelis, M.D.UNSPECIFIEDUNSPECIFIED
Depositing User : Panagiotis Politsidis
Date Deposited : 28 Mar 2017 08:04
Last Modified : 28 Mar 2017 08:26
URI: http://epubs.surrey.ac.uk/id/eprint/813755

Actions (login required)

View Item View Item

Downloads

Downloads per month over past year


Information about this web site

© The University of Surrey, Guildford, Surrey, GU2 7XH, United Kingdom.
+44 (0)1483 300800