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Extended Libor Market Models with Affine and Quadratic Volatility

Zühlsdorff, Christian - 2002

The market model of interest rates specifies simple forward or Libor rates as lognormally distributed, their stochastic dynamics has a linear volatility function. In this paper, the model is extended to quadratic volatility functions which are the product of a quadratic polynomial and a...

Persistent link: https://www.econbiz.de/10010317640

Monetary and fiscal factors in nominal interest rate variations in Sri Lanka under a deregulated regime

Maitra, Biswajit - In: Financial Innovation 3 (2017) 23, pp. 1-17

Background: This paper examines the role of monetary and fiscal factors in interest rate variations in Sri Lanka under its deregulated regime of interest rates. In addition the paper also examines the role of monetary factors in the variation of interest rates, using a quarterly dataset for the...

Persistent link: https://www.econbiz.de/10011808261

The transmission of negative nominal interest rates in Finland

Kwan, Simon H.; Ulate, Mauricio; Voutilainen, Ville - 2023

Despite the implementation of negative nominal interest rates by several advanced economies in the last decade and the many papers that have been written about this novel policy tool, there is still much we do not know about the effectiveness of this instrument. The pass-through of negative...

Persistent link: https://www.econbiz.de/10014282654

Aggregate loans to the euro area private sector

Calza, Alessandro; Manrique, Marta; Sousa, João - 2003

This paper provides new evidence on the behaviour of euro area aggregate loans to the private sector. Using a sample … covering the last twenty years, a cointegrating vector linking the real stock of loans to a small set of domestic macroeconomic … variables is found. Besides real GDP and prices, this set includes a new measure of the cost of loans obtained as a weighted …

Persistent link: https://www.econbiz.de/10011604248

On some fiscal effects on mortgage debt growth in the EU

Wolswijk, Guido - 2005

This paper analyses some fiscal aspects of mortgage debt in the EU. It first describes the main fiscal instruments that governments use to affect mortgage-financed home-ownership. In the empirical part, real mortgage debt growth is analysed for 15 EU countries using pooled regressions. Fiscal...

Persistent link: https://www.econbiz.de/10011604572

Lending conditions in EU: The role of credit demand and supply

Kapounek, Svatopluk; Kučerová, Zuzana; Fidrmuc, Jarko - 2017

loan supply. The empirical evidence shows that loan-rate spread and through this the supply of loans is negatively affected …

Persistent link: https://www.econbiz.de/10011641099

Finance for micro, small, and medium-sized enterprises in India: Sources and challenges

Singh, Charan; Wasdani, Kishinchand Poornima - 2016

Finance for micro, small, and medium-sized enterprises (MSMEs) has been a concern for all stakeholders including entrepreneurs, financial institutions, and government organizations. The key objective of the study was to identify various challenges faced by MSMEs in sourcing of finance during...

Persistent link: https://www.econbiz.de/10011653783

Commercial bank innovations in small and medium-sized enterprise finance: Global models and implications for Thailand

Subhanij, Tientip - 2016

In Thailand, the government has long recognized the importance of small and medium-sized enterprises (SMEs) to the economy and has given a large amount of financial support to this sector. Still, SMEs are not able to catch up with larger enterprises and the constraints to SME financing remain...

Persistent link: https://www.econbiz.de/10011653785

Optimal credit guarantee ratio for Asia

Yoshino, Naoyuki; Taghizadeh-Hesary, Farhad - 2016

minimizing the bank's nonperforming loans to SMEs, and at the same time fulfill the government policies for supporting SMEs. Our …

Persistent link: https://www.econbiz.de/10011653788

Eine finanzwirtschaftliche Analyse der Risikovorsorge für erwartete Verluste im Kreditgeschäft

Nippel, Peter - 2015

Ab 2018 sollen Kreditinstitute in der internationalen Rechnungslegung eine Risikovorsorge für erwartete Verluste bilden. Diese Risikovorsorge für erwartete Verluste wird hier verknüpft mit dem finanzwirtschaftlichen Kalkül in der Kreditvergabeentscheidung. Auf Basis dieses...

Persistent link: https://www.econbiz.de/10011279463