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Nonlinearities in Sovereign Risk Pricing : The Role of CDS Index Contracts
Delatte, Anne-Laure - 2014
Is the pricing of sovereign risk linear during bearish episodes? Or can initial shocks on economic fundamentals be exacerbated by endogenous factors that create nonlinearities? We test for nonlinearities in the sovereign bond market of European peripheral countries during the debt crisis and...
Persistent link: https://www.econbiz.de/10013056598
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Non-Monetary News in Central Bank Communication
Cieslak, Anna - 2018
We quantify the importance of non-monetary news in central bank communication. Using evidence from four major central …
Persistent link: https://www.econbiz.de/10012911101
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A Contracting-Theory Interpretation of the Origins of Federal Deposit Insurance
Kane, Edward J. - 2010
data on bank stock prices to show how deposit insurance could and did help stockholders of large banks. The broadening … liability provisions in controlling incentive conflict among large bank stakeholders. Federal deposit insurance restored …
Persistent link: https://www.econbiz.de/10012763615
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The impact of unconventional monetary policy on the tail risks of stock markets between U.S. and Japan
Wang, Yi-Chen; Wang, Ching-Wen; Huang, Chia-Hsing - In: International review of financial analysis 41 (2015), pp. 41-51
Persistent link: https://www.econbiz.de/10011508566
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The Theory of Unconventional Monetary Policy
Farmer, Roger E. A. - 2016
risk composition of the central bank balance sheet with the goal of stabilizing economic activity. We construct a general … agents are unable to participate in financial markets. We show that a change in the risk composition of the central bank …'s balance sheet will change equilibrium asset prices and we prove that, in our model, a policy in which the central bank …
Persistent link: https://www.econbiz.de/10012995518
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The Transmission of Federal Reserve Tapering News to Emerging Financial Markets
Aizenman, Joshua - 2014
This paper evaluates the impact of tapering “news” announcements by Fed senior policy makers on financial markets in emerging economies. We apply a panel framework using daily data, and find that emerging market asset prices respond most to statements by Fed Chairman Bernanke, and much less...
Persistent link: https://www.econbiz.de/10013056858
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Macroeconomic-Driven Prepayment Risk and the Valuation of Mortgage-Backed Securities
Chernov, Mikhail - 2016
We introduce a reduced-form modeling framework for mortgage-backed securities in which we solve for the implied prepayment function from the cross section of market prices. From the implied prepayment function, we find that prepayment rates are driven not only by interest rates, but also by two...
Persistent link: https://www.econbiz.de/10012996380
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Fiscal Policy, Growth and Competitiveness in EMU: Evidence from Portugal and Greece
Psychalis, Marios; Gournas, Panagiotis; Grigorakou, Nagia; … - In: International journal of economics and financial issues … 10 (2020) 4, pp. 18-24
Persistent link: https://www.econbiz.de/10012299796
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Box-Jenkins modeling of Greek stock prices data
Dritsaki, Chaido - In: International journal of economics and financial issues … 5 (2015) 3, pp. 740-747
Persistent link: https://www.econbiz.de/10011454204
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The Economics of the Fed Put
Cieslak, Anna; Vissing-Jorgensen, Annette - 2022
Since the mid-1990s, low stock returns predict accommodating policy by the Federal Reserve. This fact emerges because, over this period, negative stock returns comove with downgrades to the Fed’s growth expectations. Textual analysis of the FOMC documents reveals that policymakers pay...
Persistent link: https://www.econbiz.de/10013306097