Similar Search Results

Carbon Default Swap - Disentangling the Exposure to Carbon Risk Through CDS

Blasberg, Alexander; Kiesel, Ruediger; Taschini, Luca - 2022

Using Credit Default Swap spreads, we construct a forward-looking, market-implied carbon risk factor and show that carbon risk affects firms’ credit spread. The effect is larger for European than North American firms and varies substantially across industries, suggesting the market recognises...

Persistent link: https://www.econbiz.de/10014243102

Carbon Default Swap - Disentangling the Exposure to Carbon Risk through CDS

Blasberg, Alexander; Kiesel, Rüdiger; Taschini, Luca - 2022

Using Credit Default Swap spreads, we construct a forward-looking, market-implied carbon risk factor and show that carbon risk affects firms' credit spread. The effect is larger for European than North American firms and varies substantially across industries, suggesting the market recognises...

Persistent link: https://www.econbiz.de/10013470275

Common trends and common cycles among interest rates of the G7-countries

Lindenberg, Nannette; Westermann, Frank - 2009

In this paper we re-investigate the comovements of interest rates in the G7-countries. We propose a structured modus operandi to analyze the time series characteristics of interest rates and to test for common features. We conduct cointegration, serial correlation common feature and codependence...

Persistent link: https://www.econbiz.de/10010264545

Application of stochastic optimal control to financial market debt crises

Stein, Jerome L. - 2009

recent subprime mortgage crisis. Why did the financial markets fail to anticipate the recent debt crisis, despite the large …

Persistent link: https://www.econbiz.de/10010276757

Securitization of mortgage debt, asset prices and international risk sharing

Hoffmann, Mathias; Nitschka, Thomas - 2009

We explore the impact of mortgage securitization on the international diversification of macroeconomic risk. By making … mortgage-related risks internationally tradeable, securitization contributes considerably to better international consumption … risk sharing: we find that countries with the most highly developed markets for securitized mortgage debt have consumption …

Persistent link: https://www.econbiz.de/10010264540

Non-Linearities and Persistence in US Long-Run Interest Rates

Caporale, Guglielmo Maria; Gil-Alana, Luis A.; … - 2021

This note examines the stochastic behaviour of US monthly 10-year government bond yields. Specifically, it estimates a fractional integration model suitable to capture both persistence and non-linearities, these being two important properties of interest rates. Two series are analysed, one from...

Persistent link: https://www.econbiz.de/10013314848

Modelling Loans to Non-Financial Corporations within the Eurozone : A Long-Memory Approach

Caporale, Guglielmo Maria; Gil-Alana, Luis A. - 2021

This paper uses fractional integration and cointegration methods to analyse the determinants of the amount of loans provided to non-financial corporations (NFCs) during the last three decades in four Eurozone countries, namely Germany, France, Italy and Spain. More specifically, ARFIMA...

Persistent link: https://www.econbiz.de/10013315007

Interest Rate Skewness and Biased Beliefs

Chernov, Mikhail; Bauer, Michael - 2021

Conditional yield skewness is an important summary statistic of the state of the economy. It exhibits pronounced variation over the business cycle and with the stance of monetary policy, and a tight relationship with the slope of the yield curve. Most importantly, variation in yield skewness has...

Persistent link: https://www.econbiz.de/10013222193

The Good, the Bad, and the Ugly : Impact of Negative Interest Rates and QE on the Profitability and Risk-Taking of 1600 German Banks

Florian, Urbschat - 2019

The recent negative interest rate policy (NIRP) and quantitative easing (QE) programme by the ECB have raised concerns about the pass-through of monetary policy. On the one hand, negative rates could lead to declining bank profitability making an expansionary monetary policy contractionary....

Persistent link: https://www.econbiz.de/10012892229

Mixing QE and Interest Rate Policies at the Effective Lower Bound : Micro Evidence from the Euro Area

Bittner, Christian; Rodnyansky, Alexander; Saidi, Farzad; … - 2021

In the presence of negative monetary-policy rates and a zero lower bound on deposit rates, banks that are more exposed to central banks’ asset-purchase programs reduce their lending to the real economy by more than their counterparts. When banks face a lower bound on customer deposit rates, an...

Persistent link: https://www.econbiz.de/10013323089

1
2
3
4
5
6
7
8
9
10
Next
Last