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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

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

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

Systemic Risk and Financial Consolidation : Are they Related?

De Nicolò, 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

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

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

Monetary policy and intangible investment

Döttling, Robin; Ratnovski, Lev - 2020

We contrast how monetary policy affects intangible relative to tangible investment. We document that the stock prices of firms with more intangible assets react less to monetary policy shocks, as identified from Fed Funds futures movements around FOMC announcements. Consistent with the stock...

Persistent link: https://www.econbiz.de/10012300640

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

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

Asia’s Stock Markets : Are There Crouching Tigers and Hidden Dragons?

Lipinsky, Fabian - 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/10014411156