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Macroeconomic stability and the real interest rate : a cross-country analysis
Groth, Charlotta; Zampolli, Fabrizio - 2010
that a rise in conditional consumption growth volatility relative to the rest of the world reduces the foreign exchange … relation between the volatility in consumption growth and the level of real interest rates relative to the world interest rate …We construct a measure of the short-term world interest rate using principal component analysis. Drawing on real …
Persistent link: https://www.econbiz.de/10008695840
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Convenient but risky government bonds
Kaldorf, Matthias; Röttger, Joost - 2023
How does convenience yield interact with sovereign risk and the supply of government bonds? We propose a model of sovereign debt and default in which convenience yield arises because investors are able to pledge government bonds as collateral on financial markets. Convenience yield is dependent...
Persistent link: https://www.econbiz.de/10014320773
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Collateral requirements and asset prices
Brumm, Johannes; Grill, Michael; Kubler, Felix; … - 2013
substantially increases the return volatility of long-lived assets. Moreover, otherwise identical assets with different degrees of …
Persistent link: https://www.econbiz.de/10010203684
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Investor fears and risk premia for rare events
Schwarz, Claudia - 2014 - This version: January 13, 2014
This paper uses the method developed by Bollerslev and Todorov (2011b) to estimate risk premia for extreme events for the US and the German stock markets. The method extracts jump tail measures from high-frequency futures price data and from options data. In a second step, jump tail...
Persistent link: https://www.econbiz.de/10010249730
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Procyclical leverage in Europe and its role in asset pricing
Baltzer, Markus; Koehl, Alexandra; Reitz, Stefan - 2019
Broker-dealer leverage has recently proven to be strongly procyclical, exhibiting impressive explanatory power for a large cross-section of asset returns in the US. In this paper we add empirical evidence to this finding, showing that European and German broker-dealers actively manage their...
Persistent link: https://www.econbiz.de/10011987800
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Tests for jumps in yield spreads
Winkelmann, Lars; Yao, Wenying - 2021
This paper develops high-frequency econometric methods to test for jumps in the spread of bond yields. We derive a coherent inference procedure that detects a jump in the yield spread only if at least one of the two underlying bonds displays a jump. We formalize the test as a sequential...
Persistent link: https://www.econbiz.de/10012655372
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Procyclical asset management and bond risk premia
Barbu, Alexandru; Fricke, Christoph; Mönch, Emanuel - 2020
Institutional funds have concentrated ownership by a few institutional investors, infrequent outflows and essentially no leverage. Yet using unique granular data on the bond holdings of institutional funds, we show that their trading behavior is strongly procyclical: they actively move into...
Persistent link: https://www.econbiz.de/10012250652
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Changes in the euro area interest rate pass-through
Michaelis, Henrike - 2024
This paper uses a time-varying vector autoregressive (VAR) model for the euro area to explore the changes in the interest rate pass-through to bank retail rates following conventional and unconventional monetary policy shocks. The median estimate of the impulse responses shows a considerably...
Persistent link: https://www.econbiz.de/10014559289
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Financial crises and the dynamic linkages between stock and bond returns
Eraslan, Sercan; Ali, Faek Menla - 2017
framework is a bivariate volatility model, where volatility spillovers of either positive or negative sign are allowed for. Our … countries. Regarding the volatility spillovers, such spillovers from bond returns to those of stocks are stronger than the other … results show that by considering time-varying return and volatility spillovers when calculating the risk-minimising portfolio …
Persistent link: https://www.econbiz.de/10011663407
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Monetary policy and stock market volatility
Bleich, Dirk; Fendel, Ralf; Ruelke, Jan-Christoph - 2013
implicit volatility by a decrease in the interest rate. We take our results as strong evidence that central banks use interest …
Persistent link: https://www.econbiz.de/10010202818