Narrow search
Showing 1 - 10 of 657
Cover Image
Riding the yield curve : risk taking behavior in a low interest rate environment
Chami, Ralph; Cosimano, Thomas F.; Rochon, Céline; … - 2020
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 factor that is non-linear and therefore consistent with...
Persistent link: https://www.econbiz.de/10012251301
Cover Image
Interest Rate Elasticity of Residential Housing Prices
Iossifov, Plamen - 2008
We examine the interest rate elasticity of housing prices, advancingthe empirical literature in two directions. First, we take a commonly used cross-country panel dataset and evaluate the housing price equation using a consistent estimator in the presence of endogenous explanatory variables and...
Persistent link: https://www.econbiz.de/10014401466
Cover Image
Financial Sector Projections and Stress Testing in Financial Programming : A New Framework
Garcia Pascual, Antonio - 2006
This paper proposes a framework to check for consistency between the IMF''s standard country surveillance tool, namely medium-term projections of the macroeconomic framework (including the real, fiscal, external, and monetary sectors), and the financial sector. Consistency here entails that the...
Persistent link: https://www.econbiz.de/10014402512
Cover Image
Bank Rating Changes and Bank Stock Returns : Puzzling Evidence From the Emerging Markets
Richards, Anthony J. - 1999
This paper examines the performance of emerging market bank stocks around the time of rating changes by major …
Persistent link: https://www.econbiz.de/10014400871
Cover Image
Systemic Risk and Financial Consolidation : Are they Related?
De Nicoló, Gianni - 2002
We argue that firm interdependencies, as measured by correlations of stock returns, provide an indicator of systemic risk potential. We find a positive trend in stock return correlations net of diversification effects for a sample of U.S. Large and Complex Banking Organizations over 1988-99....
Persistent link: https://www.econbiz.de/10014399710
Cover Image
Interconnectedness of global systemically-important banks and insurers
Malik, Sheheryar; Xu, TengTeng - 2017
GSIBs and GSIIs, using publicly-available daily equity returns and intra-day volatility data from October 2007 to August … 2016. Results reveal strong regional clusters of return and volatility connectedness amongst GSIBs and GSIIs. Compared to … the important role of bank profitability and asset quality in driving bank-specific return connectedness …
Persistent link: https://www.econbiz.de/10011743090
Cover Image
Interest Rate Volatility and Risk in Indian Banking
International Monetary Fund - 2004
The easing of controls on interest rates has led to higher interest rate volatility in India. Hence, there is a need to …
Persistent link: https://www.econbiz.de/10014404135
Cover Image
Day-To-Day Monetary Policy and the Volatility of the Federal Funds Interest Rate
Prati, Alessandro - 2000
We propose a model of the interbank money market with an explicit role for central bank intervention and periodic … reserve requirements, and study the interaction of profit-maximizing banks with a central bank targeting interest rates at … high frequency. The model yields predictions on biweekly patterns of the federal funds rate’s volatility and on its …
Persistent link: https://www.econbiz.de/10014399599
Cover Image
Asia’s stock markets : are there crouching tigers and hidden dragons?
Lipinsky, Fabian; Ong, Li Lian - 2014
Persistent link: https://www.econbiz.de/10010359852
Cover Image
Do Asset Prices in Transition Countries Contain Information About Future Economic Activity?
Sløk, Torsten - 2000
There is ample empirical evidence for developed economies that asset prices contain information about future economic developments. But is this also the case in transition economies? Using a panel of monthly data for the Czech Republic, Hungary, Poland, Russia, Slovakia, and Slovenia for the...
Persistent link: https://www.econbiz.de/10014399894