Similar Search Results

Why is Price Discovery in Credit Default Swap Markets News-Specific?

Wagner, Wolf; Marsch, I. - Tilburg University, Center for Economic Research - 2012

Abstract: We analyse daily lead-lag patterns in US equity and credit default swap (CDS) returns. We first document that equity returns robustly lead CDS returns. However, we find that the CDSlag is due to common (and not firm-specific) news and arises predominantly in response to positive...

Persistent link: https://www.econbiz.de/10011091086

Le marché de la titrisation en Europe : caractéristiques et perspectives.

Kern E. - Banque de France - 2014

- Contrairement au marché américain, le marché de la titrisation européenne ne s’est pas totalement effondré avec la crise financière de 2008, même s’il a connu depuis une certaine atonie. La plus grande attention désormais apportée à la qualité des actifs sous-jacents a permis un...

Persistent link: https://www.econbiz.de/10010928891

Bank sovereign bond holdings, sovereign shock spillovers, and moral hazard during the European crisis

Beltratti, Andrea; Stulz, René M. - National Bureau of Economic Research (NBER) - 2015

From 2010 to 2012, the relation between bank stock returns from European Union (EU) countries and the returns on sovereign CDS of peripheral (GIIPS) countries is negative. We use days with tail sovereign CDS returns of peripheral countries to identify the effects of shocks to the cost of...

Persistent link: https://www.econbiz.de/10011276429

Der marktphasenabhängige Einfluss der Liquidität auf die Credit Spreads von Corporate Bonds

Gann, Philipp - Volkswirtschaftliche Fakultät, … - 2010

dadurch ausgelösten internationalen Finanzkrise, die zweite Untersuchungsperiode auf einen Zeitraum während der Krise. Es wird …

Persistent link: https://www.econbiz.de/10008544248

U.S. Banks, Crises, and Bailouts: From Mexico to LTCM

Lee, Dong; Kho, Bong-Chan; Stulz, Rene M. - In: American Economic Review 90 (2000) 2, pp. 28-31

Persistent link: https://www.econbiz.de/10005571719

Mortgage Interest Rates, Country Risk and Maturity Matching in Colombia

Galindo, Arturo José; Hofstetter, Marc - UNIVERSIDAD DE LOS ANDES-CEDE - 2008

In this paper, we examine the determinants of mortgage loans interest rates in Colombia during the period January 2002 … credit risk is the main determinant. We demonstrate and analyze the tight relationship between country risk and mortgage debt …. Nevertheless, the reduction in the maturity mismatch has left mortgage rates more exposed to country risk variations. …

Persistent link: https://www.econbiz.de/10005082479

Le système financier indien à l'épreuve de la crise

Ano Sujithan, Kuhanathan - Université Paris-Dauphine (Paris IX) - 2014

This thesis first presents India’s economy and financial system’s recent history and current issues. Then, with an emphasis on the recent turmoil period, it studies the question of financial integration in various markets: equity markets are dealt with in the 1st chapter, CDS spreads are...

Persistent link: https://www.econbiz.de/10011212049

Monetary Policy and Share Pricing Business in Nigeria

Adesoye, A. Bolaji; Atanda, Akinwande AbdulMaliq - Volkswirtschaftliche Fakultät, … - 2012

The anatomy of Nigerian financial system is composed of the money and capital markets. Monetary policy is a framework used by the apex bank to regulate the flow of loanable funds in the economy, though the pricing of equity used by private investors to raise capital from the economy is carried...

Persistent link: https://www.econbiz.de/10009397189

Do bubbles occur in the gold price? An investigation of gold lease rates and Markov Switching models

Lucey, Brian M.; Fergal A. O’Connor - In: Borsa Istanbul Review 13 (2013) 3, pp. 53-63

We assess whether two classes of bubbles occur in the spot price of gold, rational speculative and periodically … bursting bubbles, using gold’s lease rates for the first time in the literature as a measure of its fundamental value. This …. We use unit root and cointegration tests to look for rational speculative bubbles and Markov Switching Augmented …

Persistent link: https://www.econbiz.de/10010743411

Interbank Linkages and Contagion Risk in the Portuguese Banking System

Fernandes, Lara Mónica Machado; Borges, Maria Rosa - ISEG - School of Economics and Management, Department … - 2013

Interbank money markets play a fundamental role in financial systems but they can also be a channel through which problems in one institution can spread to the remaining ones. In particular, the potential for contagion stemming from interbank money markets is closely related with the pattern of...

Persistent link: https://www.econbiz.de/10010761897