Showing 1 - 10 of 119
Abstract The question whether central banks should bear responsibility for financial stability remains unanswered. In connection with the use of interest rates, it is therefore not clear whether and how the Taylor rule should be augmented by an additional financial stability term. This paper...
Persistent link: https://www.econbiz.de/10014619305
Purpose This paper offers empirical evidence on factors influencing credit spreads on commercial mortgage loans. It extends existing work on the pricing of commercial mortgage loans. The authors examine the relative significance of a range of factors on loan pricing that are lender, asset and...
Persistent link: https://www.econbiz.de/10014862780
Purpose – The purpose of this paper is to study the correlation structure of the credit spreads. Design/methodology/approach – The minimal spanning tree is used to find the risk center node and the basic correlation structure of the credit spreads. The dynamic copula and pair copula models...
Persistent link: https://www.econbiz.de/10014694670
Purpose – This paper aims to test the finite sample properties of the automatic variance ratio (AVR) test and suggest suitable measure to improve its small sample properties under conditional heteroskedasticity and apply it to test the martingale hypothesis in the stock prices of the Portugal,...
Persistent link: https://www.econbiz.de/10015014112
focused on two key variables (differentiation and the duration of effects). Neither other variables, nor stakeholders other …
Persistent link: https://www.econbiz.de/10014691822
unavoidable risk of return with liquidity measure. Therefore, based on the theories of financial investment, this research profile … the risk return and liquidity characteristics of three different open-ended funds in China, which are helpful to making … eventually obtaining a fund which has smaller relative liquidity risk and higher return after comparing. Hence, the investor can …
Persistent link: https://www.econbiz.de/10012046786
improves with liquidity. For non-financial firms, sources of liquidity are twofold: internal, by keeping cash, and external … financial system differences by focusing on corporate liquidity.  …
Persistent link: https://www.econbiz.de/10014608861
well as a liquidity measure. Based on the unique data set, we document that spreads of Länder yields to the Bund are driven …
Persistent link: https://www.econbiz.de/10014609222
This paper examines the effects of automation on the liquidity, volatility, returns and efficiency of shares traded on … infrequently traded securities. While our results show an improvement in the liquidity of shares following the automation, returns …
Persistent link: https://www.econbiz.de/10014618717
decomposition of demand side factors. To decompose those demand side factors further, the US dollar liquidity was added into the … model. The results show that the impact of US dollar liquidity on the fluctuation of oil prices cannot be ignored. The …
Persistent link: https://www.econbiz.de/10014847545