Angelo Ranaldo

Angelo Ranaldo

Title

Prof. Dr.

Last Name

Ranaldo

First name

Angelo

Email

angelo.ranaldo@unisg.ch

Phone

+41 71 224 7010

Homepage

https://www.unisg.ch/en/universitaet/schools/finance/ueber-die-sof/lehrstuhl_ranaldo

RePec

http://ideas.repec.org/e/pra161.html

SSRN

http://papers.ssrn.com/sol3/cf_dev/AbsByAuth.cfm?per_id=253421

Now showing 1 - 10 of 17

The Euro Interbank Repo Market

(Oxford Univ. Press, 2015-09-16)
Mancini, Loriano
;
Ranaldo, Angelo
;
Wrampelmeyer, Jan

The search for a market design that ensures stable bank funding is at the top of regulators' policy agenda. This paper empirically shows that the central counterparty (CCP)-based euro interbank repo market features this stability. Using a unique and comprehensive data set, we show that the market is resilient during crisis episodes and may even act as a shock absorber, in the sense that repo lending increases with risk, while spreads, maturities, and haircuts remain stable. Our comparison across different repo markets shows that anonymous CCP-based trading, safe collateral, and the absence of an unwind mechanism are the key characteristics to ensure market resilience

Type: journal article

Journal: The Review of Financial Studies

Volume: 29

Issue: 7

DOI: 10.1093/rfs/hhv056

URI: https://www.alexandria.unisg.ch/handle/20.500.14171/105926

Scopus© Citations 41
Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums

(Wiley-Blackwell, 2013-10)
Mancini, Loriano
;
Ranaldo, Angelo
;
Wrampelmeyer, Jan

We provide the first systematic study of liquidity in the foreign exchange market. We find significant variation in liquidity across exchange rates, substantial illiquidity costs, and strong commonality in liquidity across currencies and with equity and bond markets. We analyze the impact of liquidity risk on carry trades, a popular trading strategy that borrows in low-yielding currencies and invests in high-yielding currencies. Results show that funding (investment) currencies offer insurance against (exposure to) liquidity risk. A liquidity risk factor has a strong impact on carry trade returns from 2007 to 2009, suggesting that liquidity risk is priced. We present evidence that liquidity spirals may trigger these findings.

Type: journal article

Journal: Journal of Finance

Volume: 68

Issue: 5

DOI: 10.1111/jofi.12053

URI: https://www.alexandria.unisg.ch/handle/20.500.14171/88656

Scopus© Citations 174
The Euro Interbank Repo Market

( 2016-01-04)
Mancini, Loriano
;
Ranaldo, Angelo
;
Wrampelmeyer, Jan

The search for a market design that ensures stable bank funding is at the top of regulators' policy agenda. This paper empirically shows that the central counterparty (CCP)-based euro interbank repo market features this stability. Using a unique and comprehensive data set, we show that the market is resilient during crisis episodes and may even act as a shock absorber, in the sense that repo lending increases with risk, while spreads, maturities, and haircuts remain stable. Our comparison across different repo markets shows that anonymous CCP-based trading, safe collateral, and the absence of an unwind mechanism are the key characteristics to ensure market resilience.

Type: conference paper

DOI: 10.2139/ssrn.2331355

URI: https://www.alexandria.unisg.ch/handle/20.500.14171/104767
The Euro Interbank Repo Market

( 2014-12-19)
Mancini, Loriano
;
Ranaldo, Angelo
;
Wrampelmeyer, Jan

The search for a market design that ensures stable bank funding is at the top of regulators’ policy agenda. This paper empirically shows that an important part of the European money market features this quality, namely the central counterparty (CCP)-based euro interbank repo market. Using a unique and comprehensive data set, we provide the first systematic study of this market and show that it functions well, even during crisis episodes. CCP-based repos secured with high-quality collateral even act as a shock absorber, in the sense that repo lending increases with risk, while spreads, maturities, and haircuts remain stable.

Type: conference paper

URI: https://www.alexandria.unisg.ch/handle/20.500.14171/85989
The Euro Interbank Repo Market

( 2014-08-27)
Ranaldo, Angelo
;
Wrampelmeyer, Jan
;
Mancini, Loriano

Using a novel and comprehensive dataset, we provide the first systematic study of the euro interbank repo market. We describe its unique infrastructure and the evolution of market activity from 2006 to 2013. We identify risk and central bank liquidity provisions as the main state variables. In contrast to repo markets in the United States, the central counterparty-based segment is resilient during crisis episodes. This suggests that banks use the euro interbank repo market as a means of liquidity hoarding. The key characteristics that render the market resilient are anonymous trading via a central counterparty, reliance on safe collateral, and the option to reuse collateral.

Type: conference paper

URI: https://www.alexandria.unisg.ch/handle/20.500.14171/86466
The Euro Interbank Repo Market

( 2014-01-30)
Ranaldo, Angelo
;
Wrampelmeyer, Jan
;
Mancini, Loriano

Type: presentation

URI: https://www.alexandria.unisg.ch/handle/20.500.14171/87352
The Euro Interbank Repo Market

( 2014-11-11)
Ranaldo, Angelo
;
Wrampelmeyer, Jan
;
Mancini, Loriano

Type: presentation

URI: https://www.alexandria.unisg.ch/handle/20.500.14171/86156
The Euro Interbank Repo Market

( 2014-04-02)
Ranaldo, Angelo
;
Wrampelmeyer, Jan
;
Mancini, Loriano

Type: presentation

URI: https://www.alexandria.unisg.ch/handle/20.500.14171/87120
The Euro Interbank Repo Market

( 2014-09-08)
Ranaldo, Angelo
;
Wrampelmeyer, Jan
;
Mancini, Loriano

Type: presentation

URI: https://www.alexandria.unisg.ch/handle/20.500.14171/86384
The Euro Interbank Repo Market

( 2014-09-09)
Ranaldo, Angelo
;
Wrampelmeyer, Jan
;
Mancini, Loriano

Type: presentation

URI: https://www.alexandria.unisg.ch/handle/20.500.14171/86375

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