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Liquidity risk, credit risk and the overnight interest rate spread : a stochastic volatility modelling approach
Beirne, John; Caporale, Guglielmo Maria; Spagnolo, Nicola - 2010
Persistent link: https://www.econbiz.de/10003979875
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Liquidity risk, credit risk and the overnight interest rate spread : a stochastic volatility modelling approach
Beirne, John; Caporale, Guglielmo Maria; Spagnolo, Nicola - 2010
liquidity risk, credit risk (financial and sovereign), and interest rate expectations. Our results suggest that liquidity risk … fears. In addition, the ECB appears to have been more effective in addressing liquidity risk since the onset of the crisis … ; liquidity risk ; credit risk ; stochastic volatility …
Persistent link: https://www.econbiz.de/10003983199
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Liquidity risk, credit risk and the overknight interest rate spread : a stochastic volatility modelling approach
Beirne, John; Caporale, Guglielmo Maria; Spagnolo, Nicola - In: The Manchester School 81 (2013) 6, pp. 925-940
Persistent link: https://www.econbiz.de/10010341577
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Liquidity Risk, Credit Risk and the Overnight Interest Rate Spread : A Stochastic Volatility Modelling Approach
Beirne, John - 2010
liquidity risk, credit risk (financial and sovereign), and interest rate expectations. Our results suggest that liquidity risk … fears. In addition, the ECB appears to have been more effective in addressing liquidity risk since the onset of the crisis …
Persistent link: https://www.econbiz.de/10013141038
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Liquidity risk, credit risk and the overnight interest rate spread : a stochastic volatility modelling approach
Beirne, John; Caporale, Guglielmo Maria; Spagnolo, Nicola - 2010
liquidity risk, credit risk (financial and sovereign), and interest rate expectations. Our results suggest that liquidity risk … fears. In addition, the ECB appears to have been more effective in addressing liquidity risk since the onset of the crisis … ; Liquidity Risk ; Credit Risk ; Stochastic Volatility …
Persistent link: https://www.econbiz.de/10009129975
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Liquidity Risk, Credit Risk and the Overnight Interest Rate Spread : A Stochastic Volatility Modelling Approach
Beirne, John - 2013
liquidity risk, credit risk (financial and sovereign), and interest rate expectations. Our results suggest that liquidity risk … fears. In addition, the ECB appears to have been more effective in addressing liquidity risk since the onset of the crisis …
Persistent link: https://www.econbiz.de/10013094544
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Liquidity risk, credit risk and the overnight interest rate spread: A stochastic volatility modelling approach
Beirne, John; Caporale, Guglielmo Maria; Spagnolo, Nicola - 2010
liquidity risk, credit risk (financial and sovereign), and interest rate expectations. Our results suggest that liquidity risk … fears. In addition, the ECB appears to have been more effective in addressing liquidity risk since the onset of the crisis …
Persistent link: https://www.econbiz.de/10010270543
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How has the global financial crisis affected syndicated loan terms in emerging markets? : evidence from China
Caporale, Guglielmo Maria; Lodh, Suman; Nandy, Monomita - 2015
This paper examines the impact of the recent global financial crisis on the cost of debt capital (syndicated loans) in a leading emerging market, namely China, using difference-in-differences and GARCH approaches. Before the crisis China adopted banking reforms allowing entry of foreign banks...
Persistent link: https://www.econbiz.de/10010518789
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How has the global financial crisis affected syndicated loan terms in emerging markets? : evidence from China
Caporale, Guglielmo Maria; Lodh, Suman; Nandy, Monomita - 2015
This paper examines the impact of the recent global financial crisis on the cost of debt capital (syndicated loans) in a leading emerging market, namely China, using difference-in-differences and GARCH approaches. Before the crisis China adopted banking reforms allowing entry of foreign banks...
Persistent link: https://www.econbiz.de/10010519820
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How has the global financial crisis affected syndicated loan terms in emerging markets? : evidence from China
Caporale, Guglielmo Maria; Lodh, Suman; Nandy, Monomita - 2015
Persistent link: https://www.econbiz.de/10010527146