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Market and Currency Risk Premia during Financialand Political Crises : An Asset Pricing Perspective

Loebb, Joachim - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004

This empirical study analyzes market and currency risk premia during ﬁnancial and political crises within the theoretical framework of the international asset pricing model of Adler and Dumas (1983). The econometric speciﬁcation extends the multivariate GARCH approach of De Santis and Gerard...

Persistent link: https://www.econbiz.de/10005858143

Does Finance have a cultural Dimension?

Hens, Thorsten; Wang, Mei - Institut für Schweizerisches Bankwesen <Zürich> - 2007

According to the traditional view held in finance returns of assets are determined by complete rationality of decision makers. Rational decisions are defined by a set of axioms that are universal and do not leave room for cultural differences. In this article we show that cultural differences do...

Persistent link: https://www.econbiz.de/10005858207

International Stock-Bond Correlations in a Simple Affine Asset Pricing Model

D'Addona, Stefano; Kind, Axel H. - Institut für Schweizerisches Bankwesen <Zürich> - 2006

We use an affine asset pricing model to jointly value stocks and bonds. This enables us to derive endogenous correlations and to explain how economic fundamentals influence the correlation between stock and bond returns. The presented model is implemented for G7 post-war economies and its...

Persistent link: https://www.econbiz.de/10005858383

Financial Liberalization and Business Cycles: The Experience of Countries in the Baltics and Central Eastern Europe

Vinhas de Souza, Lúcio - Deutsche Bundesbank - 2004

This paper extends the work of Kaminsky and Schmukler (2003) to the Baltic and Central Eastern European future Member States of the European Union, to test if the same short-run increase in cyclical volatility arising from financial integration is observed in this specific sample of ?emerging...

Persistent link: https://www.econbiz.de/10005083257

Project Finance at the World Bank: An Overview of Policies and Instruments.

Benoit, P. - World Bank Group - 1996

Private and public sector sponsors of infrastructure, industrial and other commercial projects in developing countries are looking increasingly to the project finance structure to fund these operations. The World Bank has an array of financial instruments to support these projects. This paper...

Persistent link: https://www.econbiz.de/10005780263

World Bank Lending for Small Enterprises 1989-1993.

Webster, L.M.; Riopelle, R.; Chidzero, A.M. - World Bank Group - 1996

The main objective of this report is to evaluate World Bank lending for small enterprises between FY89 and FY93, including both small and medium enterprises and microenterprises. There has been a marked shift in the Bank's work in this area, and this review details the nature and content of this...

Persistent link: https://www.econbiz.de/10005639100

German bank lending during emerging market crises: A bank level analysis

Heid, Frank; Nestmann, Thorsten; Mauro, di; Weder, Beatrice - Deutsche Bundesbank - 2004

This paper studies German bank lending during the Asian and Russian crises, using a bank level data set, which has been compiled from credit data at the Deutsche Bundesbank. Our aim is to gain more insight into the pattern of German bank lending during financial crises in emerging markets. We...

Persistent link: https://www.econbiz.de/10005082775

Tail dependence of financial stocks and CDS markets: Evidence using copula methods and simulation-based inference

Silva, Paulo Pereira da; Rebelo, Paulo Tomaz; Afonso, … - Institut für Weltwirtschaft (IfW) - 2013

Using copula methods and simulation-based inference the authors address the association between the performance of the stocks of European banks and the CDS markets. Their analysis has three purposes: (i) analysing the dependence structure of the markets when extreme events occur; (ii) checking...

Persistent link: https://www.econbiz.de/10010956052

Fixed-income portfolio management in crisis period: Expected tail loss (ETL) approach

Mili, Mehdi - Institut für Weltwirtschaft (IfW) - 2012

The purpose of this study is to develop an efficient strategy for managing fixed-income portfolios in crisis periods. We use the volatility ratio model of Briere and Szafarz (2008) and the Expected Tail Loss (ETL) approach of Litzenberger and Modest (2008). Our methodology is applied to U.S. and...

Persistent link: https://www.econbiz.de/10010956076

Contagion Between European and US Banks: Evidence from Equity Prices

Fricke, Daniel - Institut für Weltwirtschaft (IfW) - 2010

This paper employs an Extreme Value Theory framework to investigate the existence of contagion between European and US … finding market-based indicators in order to analyze the effects of crises and to quantify the risk of contagion. The Distance … coexceedances allows to interpret significant coefficients of foreign lagged coexceedances as contagion. The main finding is that …

Persistent link: https://www.econbiz.de/10008764567

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