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Unconventional Monetary Policy and Funding Liquidity Risk
d'Avernas, Adrien - 2020
This paper investigates the efficiency of various monetary policy instruments to stabilize asset prices in a liquidity … dynamics. Increasing the supply of reserves reduces liquidity risk in the traditional banking sector, but fails to reach the …
Persistent link: https://www.econbiz.de/10012844931
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Forecasting the yield curve in a data-rich environment: a no-arbitrage factor-augmented VAR approach
Mönch, Emanuel - 2005
This paper suggests a term structure model which parsimoniously exploits a broad macroeconomic information set. The model does not incorporate latent yield curve factors, but instead uses the common components of a large number of macroeconomic variables and the short rate as explanatory...
Persistent link: https://www.econbiz.de/10011604590
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The term structure of equity premia in an affine arbitrage-free model of bond and stock market dynamics
Lemke, Wolfgang; Werner, Thomas - 2009
We estimate time-varying expected excess returns on the US stock market from 1983 to 2008 using a model that jointly captures the arbitrage-free dynamics of stock returns and nominal bond yields. The model nests the class of affine term structure (of interest rates) models. Stock returns and...
Persistent link: https://www.econbiz.de/10011605091
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Inflation risks and inflation risk premia
García, Juan Angel; Werner, Thomas - 2010
This paper investigates the link between the perceived inflation risks in macroeconomic forecasts and the inflation risk premia embodied in financial instruments. We first provide some stylized facts about the term structure of inflation compensation, inflation expectations and inflation risk...
Persistent link: https://www.econbiz.de/10011605208
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Interpreting implied risk-neutral densities: the role of risk premia
Hördahl, Peter; Vestin, David - 2003
This paper examines differences between risk-neutral and objective probability densities of future interest rates. The identification and quantification of these differences are important when risk-neutral densities (RNDs), such as option-implied RNDs, are used as indicators of actual beliefs of...
Persistent link: https://www.econbiz.de/10011604320
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The impact of the euro on financial markets
Cappiello, Lorenzo; Hördahl, Peter; Kadareja, Arjan; … - 2006
We assess whether the euro had an impact first on the degree of integration of European financial markets, and, second, on the euro area term structure. We propose two methodologies to measure integration: one relies on time-varying GARCH correlations, and the other one on a regression...
Persistent link: https://www.econbiz.de/10011604644
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The pricing of subprime mortgage risk in good times and bad: evidence from the ABX.HE indices
Fender, Ingo; Scheicher, Martin - 2009
, liquidity and risk appetite. The results imply that declining risk appetite and heightened concerns about market illiquidity … liquidity risk, particularly in periods of heightened market pressure. In addition, as related risk premia can be captured by …
Persistent link: https://www.econbiz.de/10011605102
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Issuance and valuation of corporate bonds with quantitative easing
Pegoraro, Stefano; Montagna, Mattia - 2021
After the announcement of the European Central Bank's corporate quantitative easing program, non-financial corporations timed the bond market by shifting their issuance toward bonds eligible for the program. However, issuers of eligible bonds did not increase total issuance compared to other...
Persistent link: https://www.econbiz.de/10012515441
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The microstructure of the euro money market
Hartmann, Philipp; Manna, Michele; Manzanares, Andrés - 2001
sample period. Main refinancing operations with the open market are associated with active liquidity re-allocation, little …
Persistent link: https://www.econbiz.de/10011604126
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Negative Interest Rates, Excess Liquidity and Retail Deposits : Banks’ Reaction to Unconventional Monetary Policy in the Euro Area
Demiralp, Selva; Eisenschmidt, Jens; Vlassopoulos, Thomas - 2021
reliance on retail deposit funding and the level of excess liquidity holdings may increase banks’ responsiveness to NIRP. We … segments. We are the first to document the importance of banks’ excess liquidity holdings for the effectiveness of NIRP …, pointing to a strong complementarity of NIRP with central bank liquidity injections, e.g. via asset purchases …
Persistent link: https://www.econbiz.de/10013221074