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The linkages, persistence, asymmetry in the volatility, the price discovery and efficiency, and the effect of the US subprime mortgage financial crisis on the spot and the futures...
Paul, Muthucattu Thomas; Kimata, James D. - In: Applied economics 48 (2016) 7/9, pp. 669-683
Persistent link: https://www.econbiz.de/10011413991
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Effects of funding portfolios on the credit supply of Canadian banks
Damar, H. Evren; Meh, Césaire Assah; Terajima, Yaz - 2015
This paper studies how banks simultaneously manage the two sides of their balance sheet and its implications for bank … risk taking and real economic activity. First, we analyze how changes in funding affect the supply of bank loans. We then …
Persistent link: https://www.econbiz.de/10010488964
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Bank Risk Factors and Changing Risk Exposures of Banks : Capital Market Evidence Before and During the Financial Crisis
Bessler, Wolfgang - 2013
and sovereign risks. In this paper we analyze the magnitude and changes in risk exposures that are reflected in bank stock … investigate bank risk in different economic environments including the introduction of the Euro and the recent financial and … decades when the Basel regulatory framework with different bank capital regulations was introduced. In our multi-factor asset …
Persistent link: https://www.econbiz.de/10013090319
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Fire sales by euro area banks and funds : what is their asset price impact?
Mirza, Harun; Moccero, Diego; Palligkinis, Spyros; … - 2020
The assets under management of investment funds have soared in recent years, triggering a debate on their possible implications for financial stability. We contribute to this debate assessing the asset price impact of fire sales in a novel partial equilibrium model of euro area funds and banks...
Persistent link: https://www.econbiz.de/10012316976
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Financial Intermediaries and the Cross-Section of Asset Returns
Adrian, Tobias - 2014
Financial intermediaries trade frequently in many markets using sophisticated models. Their marginal value of wealth should therefore provide a more informative stochastic discount factor (SDF) than that of a representative consumer. Guided by theory, we use shocks to the leverage of securities...
Persistent link: https://www.econbiz.de/10013068437
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Advocacy of Minority Shareholders on Shares Rights Issue of Malawian Capital Market
Kampanje, Brian Phiri - 2019
Share rights issue is one of the viable means by which public limited companies can raise additional cash at relatively low cost to steer growth or sustainably manage their debts. Minority shareholders can effectively increase equity stake in the situations where they can lobby majority...
Persistent link: https://www.econbiz.de/10012897412
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Financial sector volatility connectedness and equity returns
Demirer, Mert; Gökçen, Umut; Yılmaz, Kamil - 2018
We apply the Diebold and Yilmaz (2014) methodology to daily stock prices of the largest 40 U.S. financial institutions to construct a volatility connectedness index. We then estimate the contemporaneous return sensitivity of every non-financial U.S. company to this index. We find that there is a...
Persistent link: https://www.econbiz.de/10011778209
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Asset returns and financial fragility
Li, Yang - 2016
What configuration of asset returns will make the banking system most susceptible to a self-fulfilling run? I study this question in a version of the model of Diamond and Dybvig (1983) with limited commitment and a non-trivial portfolio choice. I show that the relationship between the returns on...
Persistent link: https://www.econbiz.de/10011444259
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Asset Returns and Financial Fragility
Li, Yang - 2016
How do the returns on banks' assets affect the susceptibility of the banking system to a self-fulfilling run by depositors? I study this question in a version of the model of Diamond and Dybvig (1983) with limited commitment and a non-trivial portfolio choice. I show that the relationship...
Persistent link: https://www.econbiz.de/10012978080
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Credit conditions and consumption, house prices and debt : what makes Canada different?
Muellbauer, John; St-Amant, Pierre; Williams, David - 2015
possibly wealth effects. The presence of similar channels in Canada would have important implications for monetary policy …
Persistent link: https://www.econbiz.de/10011408596