The Geography of Funding Markets and Limits to Arbitrage

• 成果类型: Article
• 署名作者: Buraschi, Andrea; Menguturk, Murat; Sener, Emrah
• 署名单位: Imperial College London; Ozyegin University
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhu090
• 发表日期: 2015
• 页码: 1103
• 关键词: liquidity; RISK; STOCK; BEHAVIOR; leverage; SPREAD; COSTS; ADR

摘要

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. During the 2007-2008 crisis, we find the emergence of large pricing anomalies in EM sovereign bond markets. Neither liquidity nor short-selling constraints can explain these persistent events. We use both cross-sectional and time-series information on these pricing anomalies to learn about specific geographical frictions in funding markets. We find support for explanations based on the interaction of banking capital-structure frictions and the fragility of wholesale funding markets. We document the effects of nonconventional policy interventions on this mispricing.