Similar Search Results

Modelling Long Memory and Risk Premia in Latin American Sovereign Bond Markets

Mendoza, Alfonso - EconWPA - 2004

A family of credit risk models is proposed to capture three salient features of Latin American (LA) Sovereign Bond Markets: individual Long Range Dependence in volatility---Long Memory (LM)---, high fractional comovement and time varying risk premia. Evidence in favor of LM is uncovered and the...

Persistent link: https://www.econbiz.de/10005556268

Bank Stability and Market Discipline: Debt-for-Equity Swap versus Subordinated Notes

Raviv, Alon - EconWPA - 2004

fixed income unless the value of the bank’s assets falls below a predetermined threshold. In such an event, the debt … obligation is automatically converted to the bank’s common equities. By using a contingent claims valuation approach we present … bank that includes DES or alternatively subordinated debt in its capital structure. We compare and evaluate quantitatively …

Persistent link: https://www.econbiz.de/10005413031

Borrowing Alone The Theory and Policy Implications of the Commodification of Finance

Hannsgen, Greg - EconWPA - 2004

Over the past 20 years, finance has become commodified. Firms increasingly obtain finance from securities markets, instead of borrowing from commercial banks with which they have long-term relationships, while Fannie Mae and Freddie Mac package a growing number of mortgages into bonds. When...

Persistent link: https://www.econbiz.de/10005134641

The Efficiency of Canadian Capital Markets: Some Bank of Canada Research

Hendry, Scott; King, Michael R. - EconWPA - 2004

Bank of Canada is interested in the efficient functioning of capital markets through each of its responsibilities for … monetary policy, the financial system, and funds management. Hendry and King highlight the key findings of Bank research …

Persistent link: https://www.econbiz.de/10005413072

The effectiveness and usefulness for commodity-dependent countries of new tools in commodity markets: risk management and collateralized finance

Rutten, Lamon - EconWPA - 2003

This paper describes the experiences of developing country enterprises, farmers and governments with commodity price risk management and various forms of structured finance. It explores the constraints that these entities face in using modern financial markets, including counterparty and...

Persistent link: https://www.econbiz.de/10005413090

Foreign Banks and Credit Stability in Central and Eastern Europe: friends or foes? A panel data analysis

Haas, Ralph de; Lelyveld, Iman van - EconWPA - 2003

-2000, with detailed information on bank ownership. Our analysis shows that during crisis periods domestic banks contracted their … credit and deposit bases, whereas foreign banks did not. Also, home country conditions matter for foreign bank growth, as …

Persistent link: https://www.econbiz.de/10005125544

Banking sector development and financial stability in the run up to EU accession

Brouwer, Henk; Haas, Ralph de; Kiviet, Bas - EconWPA - 2002

central bank and supervisory authorities, and strengthening the rule of law. …

Persistent link: https://www.econbiz.de/10005126335

Implications of the design of monetary policy for financial stability

Herrero, Alicia García; López, Pedro del Río - EconWPA - 2003

the central bank objectives and the monetary policy strategy affect financial stability. We find that focusing the central … bank objectives on price stability reduces the likelihood of a banking crisis. This result is robust to several model …

Persistent link: https://www.econbiz.de/10005126392

Demographic Developments, Funded Pension Provision and Financial Stability

Schmitz, Stefan W. - EconWPA - 2005

The following study analyzes the impact of demographic developments in Austria on the long-term average real interest rate, funded pension provision and the implications of demographic developments for the stability of the financial system. The key results of this study are twofold: (1)...

Persistent link: https://www.econbiz.de/10005134739

Financiële stabiliteit: de rol van DNB

Haas, Ralph de; Vor, Marc de - EconWPA - 2002

DNB bewaakt de stabiliteit van ons financiële stelsel via het monetaire beleid, het toezicht en de zorg voor het betalingsverkeer. Deze gezamenlijke taakuitoefening biedt belangrijke voordelen.

Persistent link: https://www.econbiz.de/10005412465