Yuanchen Chang

Information Arrivals and Intraday Exchange Rate Volatility

This paper investigates the link between information arrivals and intraday DEM/

The Cascade Effect on Lending Conditions: Evidence from the Syndicated Loan Market

volatility. Information arrivals are measured by the numbers of news items that appeared in the Reuters News Service. We separate news stories into different categories and find that total headline news counts have the most significant impact on DEM/

A re-examination of Libor rigging: a time-varying cointegration perspective

volatility, following by US macroeconomic news. News related to the US Federal Reserve, German Bundesbank and German macroeconomic variables appears to have little impact during the sample period. The conclusions are obtained from ARCH models that incorporate intraday seasonal volatility terms.

A Comparison of Seasonal Adjustment Methods When Forecasting Intraday Volatility

This paper investigates, both theoretically and empirically, how interactions among potential lenders may influence contract terms via informational cascade in the syndicated loan market. Our model shows that the ex-post observed interest rate is higher and the probability of syndication failure is lower when potential lenders can only observe the decisions of their predecessors versus when they can freely communicate with each other. Empirical tests confirm the models predictions and the existence of a cascade effect on lending conditions. Using relational distance to proxy for the segmentation of communication, we find that relational distance is positively related to the loan spread and the requirements for collateral and guarantees, but negatively related to the probability of syndication failure.

Are changes in foreign exchange reserves a good proxy for official intervention

Using a time-varying cointegration framework, this paper examines the alleged manipulation of the London interbank offered rate (Libor) during the 2007–2009 financial crisis. Bank quotes are found to be poor indicators of their financing costs in the crisis period. The aberration in the estimated values of the cointegrating and error correction parameters governing the long-run equilibrium relationship between bank quotes and the final Libor suggests banks were submitting lower quotes. Further analysis which controls for an individual bank’s credit risk, market wide credit and liquidity risks, and a common market factor, demonstrate possible evidence of Libor rigging during the crisis period.