Sirio Aramonte
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View article: Monitoring the Liquidity Profile of Mutual Funds
Monitoring the Liquidity Profile of Mutual Funds Open
Policymakers and academics have been particularly attuned to the issues of liquidity transformation and first mover advantage at open-end mutual funds. Open-end mutual funds engage in liquidity transformation because they promise one-day r…
View article: Assessing and Combining Financial Conditions Indexes
Assessing and Combining Financial Conditions Indexes Open
We evaluate the short-horizon predictive ability of financial conditions indexes for stock returns and macroeconomic variables. We find reliable predictability only when the sample includes the 2008 financial crisis, and we argue that this…
View article: OTC derivatives: euro exposures rise and central clearing advances
OTC derivatives: euro exposures rise and central clearing advances Open
The composition of amounts outstanding in over-the-counter derivatives shifted towards the euro and cleared instruments. Since the Great Financial Crisis, increases in central clearing rates have helped shape growth in amounts outstanding.…
View article: Measuring the Liquidity Profile of Mutual Funds
Measuring the Liquidity Profile of Mutual Funds Open
We measure the liquidity profile of open-end mutual funds using the sensitivity of their daily returns to aggregate liquidity. We study how this sensitivity changes around real-activity macroeconomic announcements that reveal large surpris…
View article: Synthetic ETFs
Synthetic ETFs Open
Exchange traded funds (ETFs) achieve their investment objectives by either owning a portfolio of securities (physical ETFs) or entering into swap agreements that deliver the returns of pre-specified indexes (synthetic ETFs). In this note, …
View article: Firm-Specific Risk-Neutral Distributions: The Role of CDS Spreads
Firm-Specific Risk-Neutral Distributions: The Role of CDS Spreads Open
We propose a method to extract individual firms' risk-neutral return distributions by combining options and credit default swaps (CDS). Options provide information about the central part of the distribution, and CDS anchor the left tail. J…