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Angelo Ranaldo
Title
Prof. Dr.
Last Name
Ranaldo
First name
Angelo
Email
angelo.ranaldo@unisg.ch
Phone
+41 71 224 7010
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 117
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PublicationType: journal articleJournal: Journal of International EconomicsVolume: 140
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PublicationSafe Asset Carry TradeWe provide the first systematic asset pricing analysis of one of the main safe asset categories, the repurchase agreement (repo). Based on the temporal and cross-sectional variation in short-term rates, we form a carry that, together with a market factor, prices these near-money assets in a linear pricing model. The carry depicts heterogeneity in nonpecuniary convenience yields of collateral assets and increases in the safety premium and the liquidity premium reflecting opportunity cost. Our carry helps explain the cross-section of short-term rates, as well as of long-term bond returns after accounting for standard bond pricing factors. (JEL E40, E41, G00, G01, G10, G11). Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.Type: journal articleJournal: Review of Asset Pricing Studies
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PublicationLiquidity Risk and Funding Cost( 2022-03-25)
Scopus© Citations 2 -
PublicationUnsecured and Secured FundingWe study how individual banks borrow and lend in the euro unsecured and secured interbank market. We find that banks with lower credit worthiness replace unsecured with secured borrowing, which is consistent with a reduction in the supply of unsecured loans rather than a lower demand for funding. Riskier lenders replace unsecured with secured lending, suggesting that banks take precautionary measures and prefer to lend against safe collateral. Our results highlight the importance of a joint analysis of unsecured and secured funding. Separate analyses only give a partial view and might yield misleading conclusions when banks access both funding sources.Type: journal articleJournal: Journal of Money, Credit and BankingVolume: 54Issue: 2-3
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PublicationRegulatory Effects on Short Term Interest RatesWe analyze the effects of prudential regulation on short-term interest rates. The European Market Infrastructure Regulation (EMIR) induces clearing houses (CCPs) to supply large amounts of cash in reverse repurchase agreements (repos). Basel III, in contrast, disincentivizes the borrowing demand by tightening banks’ balance sheet constraints. Using unique regulatory data of CCP investment activity and repo transactions, we find compelling evidence for both the supply and demand channels. The overall effects are decreasing short-term rates and increasing market imbalances in various forms, all of which entail unintended consequences due to the new regulatory framework.Type: journal articleJournal: Journal of Financial EconomicsVolume: 141Issue: 2
Scopus© Citations 6 -
PublicationAsymmetric Information Risk in FX MarketsThis work studies the information content of trades in the world’s largest over-the-counter (OTC) market, the foreign exchange (FX) market. It analyzes a novel, comprehensive order flow data set, distinguishing among different groups of market participants and covering a large cross-section of currency pairs. We find compelling evidence of heterogeneous superior information across agents, time, and currency pairs, consistent with the asymmetric information theory and OTC market fragmentation. A trading strategy based on the permanent price impact, capturing asymmetric information risk, generates high returns even after accounting for risk, transaction cost, and other common risk factors shown in the FX literature.Type: journal articleJournal: Journal of Financial EconomicsVolume: 140Issue: 2
Scopus© Citations 19 -
PublicationOTC PremiaUsing unique data at transaction and identity levels, we provide the first systematic study of interest rate swaps traded over the counter (OTC). We find substantial and persistent heterogeneity in derivative prices consistent with a pass-through of regulatory costs on to market prices via so-called valuation adjustments (XVA). A client pays a higher Price to buy interest rate protection from a dealer (i.e., the client pays a higher fixed rate) if the contract is not cleared via a central counterparty. This OTC premium decreases by posting initial margins and with higher buyer's creditworthiness. OTC premia are absent for dealers suggesting bargaining power.Type: journal articleJournal: Journal of Financial EconomicsVolume: 136Issue: 1
Scopus© Citations 9 -
PublicationA Simple Estimation of Bid-Ask Spreads from Daily Close, High, and Low PricesWe propose a new method to estimate the bid-ask spread when quote data are not available. Compared to other low-frequency estimates, this method utilizes a wider information set, namely, readily available close, high, and low prices. In the absence of end-of-day Quote data, this method generally provides the highest cross-sectional and average time-series correlations with the TAQ effective spread benchmark. Moreover, it delivers the most accurate estimates for less liquid stocks. Our estimator has many potential applications, including an accurate measurement of transaction cost, systematic liquidity risk, and commonality in liquidity for U.S. stocks dating back almost one century.Type: journal articleJournal: The Review of Financial StudiesVolume: 30Issue: 12DOI: 10.1093/rfs/hhx084
Scopus© Citations 120 -
PublicationUnderstanding FX LiquidityWe provide a comprehensive study of the liquidity of spot foreign exchange (FX) rates over more than two decades and a large cross-section of currencies. First, we show that FX liquidity can be accurately measured with daily and readily available data. Second, we demonstrate that FX liquidity declines with funding constraints and global risk, supporting theoretical models relating funding and market liquidity. In these distressed circumstances, liquidity tends to evaporate more for developed and riskier currencies. Finally, we show stronger comovements of FX liquidities in distressed markets, especially when funding is constrained, volatility is high, and FX speculators incur losses.Type: journal articleJournal: Review of Financial StudiesVolume: 28Issue: 11DOI: 10.1093/rfs/hhv029
Scopus© Citations 83 -
PublicationThe Euro Interbank Repo MarketThe 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 resilienceType: journal articleJournal: The Review of Financial StudiesVolume: 29Issue: 7DOI: 10.1093/rfs/hhv056
Scopus© Citations 41