Narrow search
Showing 1 - 10 of 112
Cover Image
Risk premia in electricity wholesale spot markets: empirical evidence from Germany
Pietz, Matthäus - 2009
This paper contributes to the ongoing discussion on price formation in electricity markets. For this, we conduct an analysis of the German electricity wholesale spot market which is located at the European Energy Exchange (EEX). Our dataset covers three spot market segments, namely the intraday...
Persistent link: https://www.econbiz.de/10010305694
Cover Image
Risk premia in the German electricity futures market
Pietz, Matthäus - 2009
The mechanism behind price formation in electricity futures markets is still under discussion. Theory suggests that hedging pressure caused by deviating risk preferences is the most promising approach. This paper contributes to this discussion through an empirical investigation of electricity...
Persistent link: https://www.econbiz.de/10010305696
Cover Image
Pricing model performance and the two-pass cross-sectional regression methodology
Kan, Raymond; Robotti, Cesare; Shanken, Jay - 2009
Since Black, Jensen, and Scholes (1972) and Fama and MacBeth (1973), the two-pass cross-sectional regression (CSR) methodology has become the most popular approach for estimating and testing asset pricing models. Statistical inference with this method is typically conducted under the assumption...
Persistent link: https://www.econbiz.de/10010292299
Cover Image
Manipulation in Money Markets
Ewerhart, Christian; Cassola, Nuno; Ejerskov, Steen; … - Institut für Schweizerisches Bankwesen <Zürich> - 2006
Interest rate derivatives are among the most actively traded financial instruments in the main currency areas. With values of positions reacting immediately to the underlying index of daily interbank rates, manipulation has become an increasing challenge for the operational implementation of...
Persistent link: https://www.econbiz.de/10005858342
Cover Image
Exit strategies for monetary policy
Berentsen, Aleksander; Kraenzlin, Sébastien; Müller, … - 2018
In response to the financial crisis of 2007/08, all major central banks decreased interest rates to historically low levels and created large excess reserves. Central bankers and academics currently discuss how to implement monetary policy, going forward. We find that paying interest on reserves...
Persistent link: https://www.econbiz.de/10011969181
Cover Image
On the negatives of negative interest rates and the positives of exemption thresholds
Berentsen, Aleksander; van Buggenum, Hugo; Ruprecht, Romina - 2020
Major central banks remunerate reserves at negative interest rates and it is increasingly likely that they will keep rates negative for many more years. To study the long run implications of negative rates, we construct a dynamic general equilibrium model with commercial banks funding investment...
Persistent link: https://www.econbiz.de/10012420685
Cover Image
Managing finance in emerging economies: The case of India
Sen, Sunanda - 2010
India has been experiencing rising inflows of overseas capital since the deregulation of its financial sector. Often looked upon as a success story among other emerging economies, the country has been subject to pitfalls and trilemmas that deserve attention. It has been officially recognized by...
Persistent link: https://www.econbiz.de/10010286487
Cover Image
Credit Default Swaps and Financial Crisis Prediction
Neftci, Salih; Oliveira Santos, Andre; Lu, Yinqiu - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003
. Yet, default swap market has severalnovel aspects that have not received much attention. In this paper we studyan aspect …
Persistent link: https://www.econbiz.de/10005858549
Cover Image
Optimal Investment in Variance Swaps Under Stochastic Volatility
Egloff, Daniel; Leippold, Markus; Wu, Liuren - Institut für Schweizerisches Bankwesen <Zürich> - 2006
, the industry has created a series of variance derivative products to span variance risk. The variance swap contract is the … rate, called the variance swap rate, determined at the inception of the contract. We obtain a decade worth of variance swap … structure of the variance swap rates to analyze the return variance rate dynamics and market pricing of variance risk. We then …
Persistent link: https://www.econbiz.de/10005858375
Cover Image
Bond pricing and the macroeconomy
Duffee, Gregory R. - 2012
This chapter reviews some of the academic literature that links nominal and real term structures with the macroeconomy. The main conclusion is that none of our models is consistent with basic properties of nominal yields. It is difficult to explain the average shape of the nominal yield curve,...
Persistent link: https://www.econbiz.de/10010397776