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Liquidity risk, credit risk and the overnight interest rate spread : a stochastic volatility modelling approach

Beirne, John; Caporale, Guglielmo Maria; Spagnolo, Nicola - 2010

In this paper we model the volatility of the spread between the overnight interest rate and the central bank policy … 2007. During the crisis, the policy spread exhibited signs of volatility, owing to the breakdown in interbank market … activity. The determinants of this volatility are assessed using Stochastic Volatility models to gauge the role played by …

Persistent link: https://www.econbiz.de/10003983199

Channel systems : why is there a positive spread?

Berentsen, Aleksander; Marchesiani, Alessandro; Waller, … - 2010

An increasing number of central banks implement monetary policy via two standing facilities: a lending facility and a deposit facility. In this paper we show that it is socially optimal to implement a non-zero interest rate spread. We prove this result in a dynamic general equilibrium model...

Persistent link: https://www.econbiz.de/10008732253

How has the global financial crisis affected syndicated loan terms in emerging markets? : evidence from China

Caporale, Guglielmo Maria; Lodh, Suman; Nandy, Monomita - 2015

This paper examines the impact of the recent global financial crisis on the cost of debt capital (syndicated loans) in a leading emerging market, namely China, using difference-in-differences and GARCH approaches. Before the crisis China adopted banking reforms allowing entry of foreign banks...

Persistent link: https://www.econbiz.de/10010518789

Macro news and bond yield spreads in the Euro area

Caporale, Guglielmo Maria; Spagnolo, Fabio; Spagnolo, Nicola - 2014

reaction has increased during the recent financial crisis. News volatility has a significant impact on yield spread volatility …

Persistent link: https://www.econbiz.de/10010417491

"Whatever it takes" to resolve the European sovereign debt crisis? : bond pricing regime switches and monetary policy effects

Afonso, António; Arghyrou, Michael Georgiou; Gadea, … - 2017

This paper investigates the role of unconventional monetary policy as a source of time-variation in the relationship between sovereign bond yield spreads and their fundamental determinants. Our results provide evidence of a new bond-pricing regime following the announcement of the Outright...

Persistent link: https://www.econbiz.de/10011735972

"Whatever It Takes!" : how tonality of TV-news affected government bond yield spreads during the European debt crisis

Hirsch, Patrick; Feld, Lars P.; Köhler, Ekkehard A.; … - 2024

Were government bond risk premia affected by the media in addition to the effects of major events? Revisiting the European debt crisis, we analyze the role of television news in the rise and re-convergence of GIIPS bond spreads vis-à-vis Germany from 2007 to 2016. We use a dataset of more than...

Persistent link: https://www.econbiz.de/10014486807

Evaluating emission trading as a policy tool : evidence from conditional jump models

Gronwald, Marc; Ketterer, Janina - 2009

This paper, first, empirically investigates European emission allowance (EUA) prices and, second, evaluates emission trading as a policy measure. Applying combined jump GARCH models yields strong evidence of conditional jump behavior. This implies that EUA prices are subject to unexpected...

Persistent link: https://www.econbiz.de/10003854402

The price of liquidity : bank characteristics and market conditions

Fecht, Falko; Nyborg, Kjell G.; Rocholl, Jörg - 2009

We study differences in the price paid for liquidity across banks using price data at the individual bank level. Unique to this paper, we also have data on individual banks' reserve requirements and actual reserve holdings, thus allowing us to gauge the extent to which a bank is short or long...

Persistent link: https://www.econbiz.de/10003817884

Interest rate skewness and biased beliefs

Bauer, Michael D.; Chernov, Mikhail - 2021 - First draft: January 2021, this draft: June 16, 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/10012547050

Multilateral loans and interest rates : further evidence on the seniority conundrum

Steinkamp, Sven; Westermann, Frank - 2016

During Europe's sovereign-debt crisis, interest rate spreads have been highly correlated with the share of multilateral loans that were considered senior to private markets. As both variables are potentially endogenous, we follow two different approaches to analyze the direction of causality....

Persistent link: https://www.econbiz.de/10011569629

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