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Einflussfaktoren auf den Credit Spread von Unternehmensanleihen

Gann, Philipp; Laut, Amelie - Volkswirtschaftliche Fakultät, … - 2008

Entgegen früherer Studien, die darauf hinweisen, dass der gesamte Credit Spread eines Bonds durch das mit diesem Bond …

Persistent link: https://www.econbiz.de/10005157498

Zinsspreads auf europäische Anleihen: Finanzmärkte verstärken Druck zu mehr Haushaltsdisziplin

Bernoth, Kerstin; Erdogan, Burcu - In: DIW Wochenbericht 77 (2010) 51/52, pp. 12-18

Der seit der Finanzkrise steile Anstieg der Zinsdifferenzen zwischen europäischen Staatsanleihen bringt mehrere Mitgliedsländer der europäischen Währungsunion (EWU) unter erhebliche Refinanzierungsschwierigkeiten und wirft die Frage nach den Ursachen auf. Dieser Bericht fasst die Ergebnisse...

Persistent link: https://www.econbiz.de/10008765859

Forecasting for the Bank's Asset-Liability Management

Penikas, Henry - In: Applied Econometrics 12 (2008) 4, pp. 3-26

The paper aims at finding the most optimal individual, collective, and combined yield curve forecasting models. It is shown that incorporating macroeconomic information improves the model's goodness-of-fit characteristics. It is also proved that combined forecasts perform better on average when...

Persistent link: https://www.econbiz.de/10009291920

In Search of a Theory of Debt Management

Marcet, Albert; Faraglia, Elisa; Scott, Andrew - Departament d'Economia i Història Econòmica, … - 2008

believe are important in making bond markets incomplete e.g allowing for transaction costs, liquidity effects, etc.. Until …

Persistent link: https://www.econbiz.de/10005168476

Financial Innovation, Market Participation and Asset Prices

Calvet, Laurent; Gonzalez-Eiras, Martin; Sodini, Paolo - Economics Institute for Research (SIR), … - 2001

This paper proposes that the introduction of non-redundant assets can endogenously modify trader participation in financial markets, which can lead to a lower market premium and a higher interest rate. We demonstrate this mechanism in a tractable exchange economy with endogenous participation....

Persistent link: https://www.econbiz.de/10005423869

Modellierung von Zinsstrukturkurven

Hewicker, Harald; Cremers, Heinz - Frankfurt School of Finance and Management - 2011

Being able to model yield curves from observed bond yields is essential in capital markets. Yield curves are required … bucketing approach provides more suitable results. Both methods are put to the test using German government bond data ranging …

Persistent link: https://www.econbiz.de/10009228816

Konstruktion einer Anleihe mit hypothekarischer Besicherung

Alram, Johannes - Frankfurt School of Finance and Management - 2009

This work describes the legal structuring of a mortgage covered bond in accordance with the regulations of paragraphs … rights of the bond holders according to the regulations of the German Statue Governing Common Rights of Owners of Debt … Securities (Schuldverschreibungsgesetz). Furthermore, the work describes how the bond creditors shall have preferences of the …

Persistent link: https://www.econbiz.de/10005026984

INVESTIGATION OF THE DETERMINANTS OF THE ADJUSTMENT OF LENDING RATES IN MACEDONIA – A SUR APPROACH

BOGOEV, Jane - In: Review of Economic and Business Studies (2010) 6, pp. 89-116

This paper empirically examines the determinants and differences of the short-run lending rate stickiness among banks in Macedonia by using the Seemingly Unrelated Regression model (SUR). For that purpose, eight bank balance sheet items, two macroeconomic variables and an indicator for the level...

Persistent link: https://www.econbiz.de/10009322715

Estimating the natural interest rate for the euro area and Luxembourg

Wintr, Ladislav; Guarda, Paolo; Rouabah, Abdelaziz - Central Bank of Luxembourg - 2005

This paper estimates the natural real interest rate that is consistent with stable inflation and output at its potential for the euro area and Luxembourg. The natural interest rate provides a benchmark for assessing the monetary policy stance, as policy is contractionary when real interest rates...

Persistent link: https://www.econbiz.de/10009276957

Nonparametric Estimation of the Diffusion Coefficient via Fourier Analysis, with Aplication to Short Rate Modeling

Reno', Roberto - Dipartimento di Economia Politica e Statistics, … - 2004

In this paper a new fully nonparametric estimator of the diffusion coefficient is introduced, based on Fourier analysis of the observed trajectory. The proposed estimator is proved to be consistent and asymptotically normally distributed. After testing the estimator on Monte Carlo simulations,...

Persistent link: https://www.econbiz.de/10005766538