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The anatomy of the euro area interest rate swap market

Fontana, Silvia Dalla; Holz auf der Heide, Marco; … - 2019

Using a novel regulatory dataset of fully identified derivatives transactions, this paper provides the first comprehensive analysis of the structure of the euro area interest rate swap (IRS) market after the start of the mandatory clearing obligation. Our dataset contains 1.7 million bilateral...

Persistent link: https://www.econbiz.de/10011975602

Who bears interest rate risk?

Hoffmann, Peter; Langfield, Sam; Pierobon, Federico; … - 2018

We study the allocation of interest rate risk within the European banking sector using novel data. Banks' exposure to interest rate risk is small on aggregate, but heterogeneous in the cross-section. In contrast to conventional wisdom, net worth is increasing in interest rates for approximately...

Persistent link: https://www.econbiz.de/10011901434

Physical and transition risk premiums in euro area corporate bond markets

Bats, Joost Victor; Bua, Giovanna; Kapp, Daniel - 2024

, indicating increased awareness and hedging demand after the Paris Agreement. Transition risk premiums are smaller and less …

Persistent link: https://www.econbiz.de/10014484474

A stochastic forward-looking model to assess the profitability and solvency of European insurers

Berdin, Elia; Kok Sørensen, Christoffer; Pancaro, Cosimo - 2017

In this paper, we develop an analytical framework for conducting forward-looking assessments of profitability and solvency of the main euro area insurance sectors. We model the balance sheet of an insurance company encompassing both life and non-life business and we calibrate it using country...

Persistent link: https://www.econbiz.de/10011637362

Interest rate risk and monetary policy normalisation in the euro area

Molyneux, Philip; Pancotto, Livia; Reghezza, Alessio; … - 2020

In the current low interest rate environment in the euro area there is potential for a sudden increase in interest rates and heightened interest rate risk (IRR). By using a sample of 81 euro area banks during the period 2014Q4-2018Q1 and a confidential supervisory measure of IRR, this paper...

Persistent link: https://www.econbiz.de/10012318814

Wages are flexible aren't they? : evidence from monthly micro wage data

Lünnemann, Patrick; Wintr, Ladislav - 2009

(indexation, changes in statutory minimum wage, age and marital status). The so adjusted frequency of wage change lies between 5 … from month to month and from year to year. Due to automatic wage indexation, wages appear to be subject to substantial … wage indexation and the month of January. -- Wage flexibility ; wage rigidity …

Persistent link: https://www.econbiz.de/10003867089

Financial conditions index and credit supply shocks for the euro area

Darracq Pariès, Matthieu; Maurin, Laurent; Moccero, Diego - 2014

Persistent link: https://www.econbiz.de/10010380066

Price setting and the steady-state effects of inflation

Casares, Miguel - 2002

Persistent link: https://www.econbiz.de/10001670907

An economic capital model integrating credit and interest rate risk in the banking book

Alessandri, Piergiorgio; Drehmann, Mathias - 2009

Banks typically determine their capital levels by separately analysing credit and interest rate risk, but the interaction between the two is significant and potentially complex. We develop an integrated economic capital model for a banking book where all exposures are held to maturity. Our...

Persistent link: https://www.econbiz.de/10003832599

Predicting risk premia in short-term interest rates and exchange rates

Gräb, Johannes; Kostka, Thomas - 2018

We assess the ability of yield curve factors to predict risk premia in short-term interest rates and exchange rates across a large sample of major advanced economies. We find that the same tick-shaped linear combination of (relative) bond yields predicts risk premia in both short-term interest...

Persistent link: https://www.econbiz.de/10011802134

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