Narrow search
Showing 1 - 10 of 8,527
Cover Image
Sovereign Default Risk Premia : Evidence from the Default Swap Market
Zinna, Gabriele - 2009
This study explores the risk premia embedded in sovereign default swaps using a term structure model. The risk premia …. First, the risk premia contribution to the spreads decreases over the sample, 2003-2007, and rebounds at the start of the … "credit crunch." Second, the daily risk premia co-move with US macro news and corporate default risk. Third, global factors …
Persistent link: https://www.econbiz.de/10013153694
Cover Image
Consumption risk sharing over the business cycle : the role of small firms' access to credit markets
Hoffmann, Mathias; Stewen, Iryna - 2009
Consumption risk sharing among U.S. federal states increases in booms and decreases in recessions. We find that small … aggregate risk sharing are more pronounced in states in which small firms account for a large share income or employment. In … to have loosened the dependence of aggregate risk sharing on the business cycle. Not only do our result support that …
Persistent link: https://www.econbiz.de/10003807913
Cover Image
Organizational complexity and balance sheet management in global banks
Cetorelli, Nicola; Goldberg, Linda S. - 2016
Banks have progressively evolved from being standalone institutions to being subsidiaries of increasingly complex financial conglomerates. We conjecture and provide evidence that the organizational complexity of the family of a bank is a fundamental driver of the business model of the bank...
Persistent link: https://www.econbiz.de/10011538002
Cover Image
Organizational complexity and balance sheet management in global banks
Cetorelli, Nicola; Goldberg, Linda S. - 2016
Banks have progressively evolved from being standalone institutions to being subsidiaries of increasingly complex financial conglomerates. We conjecture and provide evidence that the organizational complexity of the family of a bank is a fundamental driver of the business model of the bank...
Persistent link: https://www.econbiz.de/10011446535
Cover Image
Estimating capital flows to emerging market economies with heterogeneous panels
Hernández, Marco A. - 2015
Current data provide macroeconomic information for a large number of countries and for a long period of time (macro panels). This causes that in these panels slope heterogeneity and crosssection dependence (CSD) are a rule rather than the exception, leading to fixed effects slope estimators to...
Persistent link: https://www.econbiz.de/10010486876
Cover Image
Do markets cointegrate after financial crisis? : evidence from G-20 stock markets
Haque, Mahfuzul; Shamsub, Hannarong - In: International Journal of Financial Studies : open … 3 (2015) 4, pp. 557-586
The results of the single-equation cointegration tests indicate that patterns of cointegration in the two main and four sub-periods are not homogeneous. Two key findings emerge from the study. First, fewer stock markets cointegrated with S&P 500 during the crisis period than they did during the...
Persistent link: https://www.econbiz.de/10011408937
Cover Image
Volatility Contagion between Crude Oil and G7 Stock Markets in the Light of Trade Wars and COVID-19 : An Application Based on the TVP-VAR Extended Joint Connectedness Approach
Chatziantoniou, Ioannis; Floros, Christos; Gabauer, David - 2021
We investigate volatility contagion across G7 stock markets and the market for crude oil for the period between 2007 and 2021. Following the work of Balcilar et al. (2021), we utilise the TVP-VAR extended joint connectedness method and compare results to the standard TVP-VAR method that...
Persistent link: https://www.econbiz.de/10013211886
Cover Image
Do Euro Exchange Rates Follow a Martingale? Some Out-of-Sample Evidence
Yang, Jian - 2011
Traditional autocorrelation and variance ratio tests are based on serial uncorrelatedness rather than martingale difference. As such, they do not capture potential nonlinearity-in-mean, which could lead to misleading inferences in favor of the martingale hypothesis. This paper employs various...
Persistent link: https://www.econbiz.de/10012756828
Cover Image
A New Testable Theory on Deviations from Covered Interest Rate Parity
Babatunde Salako, Abdul-Muttolib - 2022
Suppose a rational agent can invest in domestic bonds (Euro (EUR) corporates) and foreign bonds (Dollar (USD) corporates) hedged into EUR using cross-currency swaps. Let xccy represent the cross-currency basis spread of the FX hedging, where xccy measures deviations from covered interest parity...
Persistent link: https://www.econbiz.de/10013403972
Cover Image
International capital market frictions and spillovers from quantitative easing
MacDonald, Margaux - 2015
This paper analyzes the impact of large-scale, unconventional asset purchases by advanced country central banks on emerging market economies (EMEs) during 2008–2014. I show that there was substantial heterogeneity in the way EME currency, equity, and long-term sovereign bond markets were...
Persistent link: https://www.econbiz.de/10011300668