Similar Search Results

Do banks price their informational monopoly?

Hale, Galina; Santos, Joao A. C. - Federal Reserve Bank of San Francisco - 2008

because they have to pay higher underwriting costs on their IPO bonds. Moreover, IPO bonds are subject to more underpricing … than subsequent bonds when they first trade in the secondary bond market. …

Persistent link: https://www.econbiz.de/10005361464

The temporal relationship between individual stocks and individual bonds

Kwan, Simon H. - Federal Reserve Bank of San Francisco - 1995

This paper investigates the comovements of stocks and bonds at the individual firm level. Based on a sample of 702 … corporate bonds, individual stock returns and bond yield changes are found to be negatively correlated, suggesting that the … comovements of individual stocks and bonds are largely driven by information about the mean value of the firms' assets, rather …

Persistent link: https://www.econbiz.de/10005078248

Macro factors and the affine term structure of interest rates

Wu, Tao - Federal Reserve Bank of San Francisco - 2001

I formulate an affine term structure model of bond yields from a general equilibrium business-cycle model, with observable macro state variables of the structural economy as the factors. The factor representing monetary policy is strongly mean-reverting, and its influence on the term structure...

Persistent link: https://www.econbiz.de/10010702131

Macro factors and the affine term structure of interest rates

Wu, Tao - Federal Reserve Bank of San Francisco - 2001

Persistent link: https://www.econbiz.de/10005721453

Modeling bond yields in finance and macroeconomics

Diebold, Francis X.; Piazzesi, Monika; Rudebusch, Glenn D. - Federal Reserve Bank of San Francisco - 2005

From a macroeconomic perspective, the short-term interest rate is a policy instrument under the direct control of the central bank. From a finance perspective, long rates are risk-adjusted averages of expected future short rates. Thus, as illustrated by much recent research, a joint...

Persistent link: https://www.econbiz.de/10005498398

International channels of the Fed’s unconventional monetary policy

Bauer, Michael D.; Neely, Christopher J. - Federal Reserve Bank of San Francisco - 2012

Previous research has established that the Federal Reserve large scale asset purchases (LSAPs) significantly influenced international bond yields. This paper analyzes the channels through which these effects occurred. We use dynamic term structure models to decompose international yield changes...

Persistent link: https://www.econbiz.de/10010570173

Bank intermediation and persistent liquidity effects in the presence of a frictionless bond market

Einarsson, Tor; Marquis, Milton H. - Federal Reserve Bank of San Francisco - 2000

An “expansionary” monetary policy that increases the growth rate of bank reserves is generally believed by policy makers to induce a “liquidity effect”, or a persistent decline in short-term nominal interest rates, that stimulates real activity. Christiano, et al. (1991,1995,1997) have...

Persistent link: https://www.econbiz.de/10011026931

Bank intermediation and persistent liquidity effects in the presence of a frictionless bond market

Einarsson, Tor; Marquis, Milton H. - Federal Reserve Bank of San Francisco - 2000

Persistent link: https://www.econbiz.de/10005401595

Testing the strong-form of market discipline : the effects of public market signals on bank risk

Kwan, Simon H. - 2004

Persistent link: https://www.econbiz.de/10002705370

The empirical relationship between average asset correlation, firm probability of default and asset size

López, José A. (contributor) - 2002 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001676187