BibTex format
@article{Buraschi:2014,
author = {Buraschi, A and Buraschi, A and Menguturk, M and Sener, E},
journal = {Review of Financial Studies},
title = {The Geography of Risk Capital, Funding Markets and Limits to Arbitrage},
year = {2014}
}
Publications
Citation
RIS format (EndNote, RefMan)
TY - JOUR
AB - We use the relative pricing of pairs of emerging market (EM) sovereign bonds issued in both dollars and euros to study capital markets frictions during periods of financial distress. While there is no evidence of mispricing before 2007, during the 2007–2008 crisis we document a persistent anomaly that resulted in segmented EM bond markets. The sign of mispricing varies cross-sectionally, depending on the domestic currency of funding banks, and its magnitude depends on the degree of fragility in wholesale funding markets. Neither liquidity nor short-selling constraints can account for this anomaly. We document the impact of non-conventional policy interventions.
AU - Buraschi,A
AU - Buraschi,A
AU - Menguturk,M
AU - Sener,E
PY - 2014///
TI - The Geography of Risk Capital, Funding Markets and Limits to Arbitrage
T2 - Review of Financial Studies
ER -