Investors seek to hedge against interest rate risk by taking long or short positions on bonds of different maturities …. We study changes in risk taking behavior in a low interest rate environment by estimating a market stochastic discount … literature. We provide evidence that non-linearities arise from hedging strategies of investors exposed to interest rate risk …

unknown future basket weights optimally forecasted from past exchange rate data? And, second, how is risk—in terms of the …

explores how much of these large movements reflected shifts in (i) global risk aversion (ii) country-specific risks, directly … in the crisis, the surge in global risk aversion was a significant factor influencing sovereign spreads, while recently … Spain, as the emphasis has shifted towards short-term refinancing risk and long-term fiscal sustainability. The paper …

funding risk and a rationale for risk management. Reference rates like LIBOR mitigate contractual incompleteness, facilitating … management of funding risk. As bank funding costs move with bank credit risk, it makes sense for the reference rate to have a … bank credit risk component. Manipulation can add noise, reducing the usefulness of reference rates for this purpose …

This paper examines how Japan’s long-term interest rates and Japanese banks’ interest rate risk exposures may evolve … increased purchases by the Bank of Japan. At the same time, illustrative scenarios suggest the interest rate risk exposure of …, both long-tem yields and interest-risk exposures of Japanese banks could increase over the medium term …