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Bank Credit, Asset Prices and Financial Stability : Evidence from French Banks
Pouvelle, Cyril - 2012
supply factors, both for the whole 1993-2010 period and during periods of financial instability. Using bank-level panel data …
Persistent link: https://www.econbiz.de/10013101520
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Asia's Stock Markets : Are There Crouching Tigers and Hidden Dragons?
Ong, Li - 2014
Stock markets play a key role in corporate financing in Asia. However, despite their increasing importance in terms of size and cross-border investment activity, the region's markets are reputed to be more “idiosyncratic” and less reliant on economic and corporate fundamentals in their...
Persistent link: https://www.econbiz.de/10013056805
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Riding the Yield Curve : Risk Taking Behavior in a Low Interest Rate Environment
Chami, Ralph - 2020
Investors seek to hedge against interest rate risk by taking long or short positions on bonds ofdifferent maturities. We study changes in risk taking behavior in a low interest rateenvironment by estimating a market stochastic discount factor that is non-linear and thereforeconsistent with the...
Persistent link: https://www.econbiz.de/10012836549
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Oil Prices and GCC Stock Markets : New Evidence from Smooth Transition Models
Ben Cheikh, Nidhaleddine - 2018
Our paper examines the effect of oil price changes on Gulf Cooperation Council (GCC) stock markets using nonlinear smooth transition regression (STR) models. Contrary to conventional wisdom, our empirical results reveal that GCC stock markets do not have similar sensitivities to oil price...
Persistent link: https://www.econbiz.de/10012913874
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Completing the Market : Generating Shadow CDS Spreads by Machine Learning
Hu, Nan - 2020
We compared the predictive performance of a series of machine learning and traditional methods for monthly CDS spreads, using firms' accounting-based, market-based and macroeconomics variables for a time period of 2006 to 2016. We find that ensemble machine learning methods (Bagging, Gradient...
Persistent link: https://www.econbiz.de/10012843303
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Swing Pricing and Fragility in Open-End Mutual Funds
Jin, Dunhong - 2019
How to prevent runs on open-end mutual funds? In recent years, markets have observed an innovation that changed the way open-end funds are priced. Alternative pricing rules (known as swing pricing) adjust funds' net asset values to pass on funds' trading costs to transacting shareholders. Using...
Persistent link: https://www.econbiz.de/10012858393
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When Banks Punch Back : Macrofinancial Feedback Loops in Stress Tests
Catalan, Mario - 2020
contract their balance sheets. These bank responses generate externalities that propagate in the form of macro … macro-financial feedback loops can significantly affect macroeconomic outcomes and bank-specific stress tests results. The … heterogeneity in bank lending responses matters: it determines how each bank fares under adverse conditions and the external effects …
Persistent link: https://www.econbiz.de/10012829700
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Can Contingent Convertibles Help Private Asset Managers Fund Their Acquisition of Non-Performing Loans from Portuguese Banks?
Santos, Andre Oliveira - 2019
This paper analyzes the capital structure of private asset managers in which theacquisition of nonperforming loans (NPLs) is funded with Contingent Convertibles(CoCos) placed with investors. The paper develops a model based on NPL transferprices and residual recovery rates to assess capital...
Persistent link: https://www.econbiz.de/10012868458
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Financial Stability in an Evolving Regulatory and Supervisory Landscape
Xiao, Yingbin - 2013
This paper runs qualitative and quantitative analyses of the financial soundness of Danish banks. Helped by a series of Denmark's financial policy initiatives, banks have made progress in improving financial stability. However, vulnerabilities remain. To mitigate risks, banks should continue to...
Persistent link: https://www.econbiz.de/10013085614
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How Do Changing U.S. Interest Rates Affect Banks in the Gulf Cooperation Council (GCC) Countries?
Adedeji, Olumuyiwa - 2020
in the GCC. We use bank-level panel data, exploiting variation across banks within countries, to isolate the impact of ….S. monetary policy to liability rates than to asset rates and bank profitability, largely reflecting funding structures. In … addition, we explore the role of shifts in the quantity of bank liabilities as policy rates change and the role of large banks …
Persistent link: https://www.econbiz.de/10012843506