Narrow search
Showing 1 - 10 of 15,011
Cover Image
Optimal indexation of government bonds and monetary policy
Hatcher, Michael C. - 2011
Using an overlapping generations model in which the young save for old age using indexed and nominal government bonds, this paper investigates how optimal indexation is influenced by monetary policy. In order to do so, two monetary policies with markedly different long run implications are...
Persistent link: https://www.econbiz.de/10010288802
Cover Image
Liquidity risk, credit risk and the overnight interest rate spread: A stochastic volatility modelling approach
Beirne, John; Caporale, Guglielmo Maria; Spagnolo, Nicola - 2010
In this paper we model the volatility of the spread between the overnight interest rate and the central bank policy … 2007. During the crisis, the policy spread exhibited signs of volatility, owing to the breakdown in interbank market … activity. The determinants of this volatility are assessed using Stochastic Volatility models to gauge the role played by …
Persistent link: https://www.econbiz.de/10010270543
Cover Image
Stock market volatility response to COVID-19: Evidence from Thailand
In: Journal of Risk and Financial Management 15 (2022) 12, pp. 1-9
This study investigated how stock market volatility responded dynamically to unexpected changes during the COVID-19 … pandemic and the resulting uncertainty in Thailand. Using a multivariate GARCH-BEKK model, the conditional volatility dynamics …, the interlinkages, and the conditional correlations between stock market volatility and the increasing rate of COVID-19 …
Persistent link: https://www.econbiz.de/10014332748
Cover Image
Yield curve factors, term structure volatility, and bond risk premia
Hautsch, Nikolaus; Ou, Yangguoyi - 2008
autoregressive processes revealing time-varying stochastic volatility. The factor volatilities capture risk inherent to the term … additional determinants of future excess returns. Finally, we illustrate that the yield and volatility factors are closely con …
Persistent link: https://www.econbiz.de/10010263741
Cover Image
Das Pro und Kontra der Einfühung inflationsindexierter Staatsanleihen
Fendel, Ralf; Frenkel, Michael - In: Wirtschaftsdienst 84 (2004) 3, pp. 174-179
In den vergangenen Jahren haben sich einige führende Industrieländer für die Einführung inflationsindexierter Staatsanleihen entschieden. Gegenwärtig prüft auch das Bundesfinanzministerium die Einführung inflationsindexierter Staatsanleihen. Was spricht für und was spricht gegen solch...
Persistent link: https://www.econbiz.de/10010303028
Cover Image
Sovereign Debt: Indexation and Maturity
Alfaro, Laura; Kanczuk, Fabio - 2006
In this paper we review the literature on sovereign debt with particular emphasis on indexation and maturity and the main policy proposals related to these topics. We also advance some implications derived from our work. In Alfaro and Kanczuk (2005a, b, c), we modeled sovereign debt as a...
Persistent link: https://www.econbiz.de/10010327176
Cover Image
The effects of Dollar/Sterling exchange rate volatility of futures markets for coffee and cocoa
Jumah, Adusei; Kunst, Robert M. - 1999
the commodity futures price. The significance and form of volatility spill-over effects of a bilateral exchange rate are …
Persistent link: https://www.econbiz.de/10010291928
Cover Image
Quantifying high-frequency market reactions to real-time news sentiment announcements
Groß-Klußmann, Axel; Hautsch, Nikolaus - 2009
direction of company-specific news. Information-implied reactions in returns, volatility as well as liquidity demand and supply … London Stock Exchange (LSE), we find market-wide robust news-dependent responses in volatility and trading volume. However …
Persistent link: https://www.econbiz.de/10010303687
Cover Image
Quantifying high-frequency market reactions to real-time news sentiment announcements
Groß-Klußmann, Axel; Hautsch, Nikolaus - 2009
direction of company-specific news. Information-implied reactions in returns, volatility as well as liquidity demand and supply … London Stock Exchange (LSE), we find market-wide robust news-dependent responses in volatility and trading volume. However …
Persistent link: https://www.econbiz.de/10010270815
Cover Image
Market discipline, financial integration and fiscal rules: what drives spreads in the euro area government bond market?
Manganelli, Simone; Wolswijk, Guido - 2007
This paper studies the determinants of interest rate spreads of euro area 10 year government bonds against the benchmark, the German bund, after the introduction of the euro. In particular, it pays attention to the question whether market discipline is advanced or obstructed by financial...
Persistent link: https://www.econbiz.de/10011604791