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Assessing credit gaps in CESEE based on levels justified by fundamentals : a comparison across different estimation approaches

Comunale, Mariarosaria; Eller, Markus; Lahnsteiner, Mathias - 2020

Persistent link: https://www.econbiz.de/10012174990

Unconventional monetary policy, leverage & default dynamics

Palombo, Edoardo - 2020

The objective of this paper to investigate the effectiveness of credit easing policy in mitigating the economic fallout from a financial recession using a model that can account for the observed default and leverage dynamics during the financial crisis of 2007. A general equilibrium model is...

Persistent link: https://www.econbiz.de/10012243296

The risk-taking channel of monetary policy in Macedonia : evidence from credit registry data

Miteski, Mite; Mitreska, Ana; Vaskov, Mihajlo - 2018

The last global crisis brought the monetary policy risk-taking channel to the fore, arguing that lingering low interest rates might affect not only the quantity, but the quality of credit extended as well. In line with this debate, this paper is the first effort to empirically investigate the...

Persistent link: https://www.econbiz.de/10011944421

Monetary policy surprises and their transmission through term premia and expected interest rates

Kaminska, Iryna; Mumtaz, Haroon; Šustek, Roman - 2020

for macroeconomic outcomes? Using an affine term structure model, we shed new light on these questions. Estimation is … subject to restrictions addressing an estimation bias in expected interest rates obtained by previous studies. Highfrequency … the transmission mechanism and broadly consistent with macroeconomic theory. …

Persistent link: https://www.econbiz.de/10012316011

Climate risk, bank lending and monetary policy

Altavilla, Carlo; Boucinha, Miguel; Pagano, Marco; … - 2023

Persistent link: https://www.econbiz.de/10014420291

Imperfect information transmission from banks to investors : macroeconomic implications

Figueroa, Nicolás; Leukhina, Oksana; Ramírez, Carlos - 2018

Persistent link: https://www.econbiz.de/10011914161

Ambiguity Aversion and the Term Structure of Interest Rates

Gagliardini, Patrick; Porchia, Paolo; Trojani, Fabio - Institut für Schweizerisches Bankwesen <Zürich> - 2007

This paper studies the term structure implications of a simple structural economy in which the representative agent displays ambiguity aversion, modeled by Multiple Priors Recursive Utility. Bond excess returns reﬂect a premium for ambiguity, which is observationally distinct from the risk...

Persistent link: https://www.econbiz.de/10005858032

Jumps in option prices and their determinants : real-time evidence from the E-mini S&P 500 option market

Kapetanios, George; Neumann, Michael; Skiadopoulos, George - 2014

We study the real-time characteristics and drivers of jumps in option prices. To this end, we employ high frequency data from the 24-hour E-mini S&P 500 options market. We find that option prices do not jump simultaneously across strikes and maturities and are uncorrelated with jumps in the...

Persistent link: https://www.econbiz.de/10010472845

Option Implied Dividends

Kragt, Jac - 2018

This is the first paper to calculate and analyze option-implied dividends for individual US companies, while accounting for the early exercise premium. These firm-level implied dividends show substantial variation relative to actual dividends over time as well as in the cross-section. Implied...

Persistent link: https://www.econbiz.de/10012933833

Positive stock information in out-of-the-money option prices

Gkionis, Konstantinos; Kostakis, Alexandros; … - 2018

We examine whether the option market leads the stock market with respect to positive in addition to negative price discovery. We document that out-of-themoney (OTM) option prices, which determine the Risk-Neutral Skewness (RNS) of the underlying stock return's distribution, can embed positive...

Persistent link: https://www.econbiz.de/10011872403