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Application of penalized splines method in the credit market
Yao, Zhilin - 2008
Persistent link: https://www.econbiz.de/10003738379
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Securitization of mortgage debt, asset prices and international risk sharing
Hoffmann, Mathias; Nitschka, Thomas - 2009
We explore the impact of mortgage securitization on the international diversification of macroeconomic risk. By making … mortgage-related risks internationally tradeable, securitization contributes considerably to better international consumption … risk sharing: we find that countries with the most highly developed markets for securitized mortgage debt have consumption …
Persistent link: https://www.econbiz.de/10003806732
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What Drives the Time-Series and Cross-Sectional Variations in Bank Capital Ratios? Evidence from Japan
Chen, Sichong - 2011
This paper documents the time-series and cross-sectional variations in bank capital ratios and investigates their underlying driving forces using listed Japanese bank data from 1977 to 2009. We derive an overall framework in the form of a present-value model to decompose the ariation in bank...
Persistent link: https://www.econbiz.de/10013119486
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The time-varying relation between stock returns and monetary variables
McMillan, David G. - In: Journal of risk and financial management : JRFM 15 (2022) 1, pp. 1-17
The nature of the relation between stock returns and the three monetary variables of interest rates (bond yields), inflation and money supply growth, while oft studied, is one that remains unclear. We argue that the nature of the relation changes over time, and this variation is largely driven...
Persistent link: https://www.econbiz.de/10012813273
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Do Changes in Interest Rates Affect Asset Returns? Event Study Results within the COVID-19 Pandemic in Poland
Olbrys, Joanna - 2021
The aim of this research is to assess whether the interest rate cuts during the COVID-19 pandemic period in Poland affected asset returns on the Warsaw Stock Exchange (WSE). Within the pandemic period, and immediately after the first lock-down announcement on March 12, 2020, interest rates were...
Persistent link: https://www.econbiz.de/10013314287
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The interaction between stock prices and interest rates in Turkey : empirical evidence from ARDL bounds test cointegration
Tursoy, Turgut - In: Financial innovation : FIN 5 (2019) 7, pp. 1-12
This paper demonstrates a significant, long-running relationship between stock prices and domestic interest rates in Turkey’s financial markets for the period of 2001 M1 – 2017 M4. Cointegration analysis is investigated using the autoregressive-distributed lag bounds (ARDL Bounds) test and...
Persistent link: https://www.econbiz.de/10011972648
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Periodic Integration and Cointegration of U.S. Stock Prices, Dividends, and Interest Rates : A New Test of the Present Value Model
Shirwani, Hassan; Delcoure, Natalya; Wilbratte, Barry J. - 2012
This paper presents a new test of the present value model of stock price determination, using some of the recent advances in the econometrics of seasonal time series. Unlike earlier studies which generally find stock prices, dividends, and interest rates to be characterized by standard...
Persistent link: https://www.econbiz.de/10014043638
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Impact of FOMC announcement on stock price index in Southeast Asian countries
Trung Hoang Bao; Mateus, Cesario - In: China finance review international 7 (2017) 3, pp. 370-386
Persistent link: https://www.econbiz.de/10011797838
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Can Equity Volatility Explain the Global Loan Pricing Puzzle?
Gaul, Lewis - 2013
This paper examines whether unobservable differences in firm volatility are responsible for the global loan pricing puzzle, which is the observation that corporate loan interest rates appear to be lower in Europe than in the United States. We analyze whether equity volatility, an error prone...
Persistent link: https://www.econbiz.de/10013091339
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Sensitivity of the Bank Stock Returns Distribution to Changes in the Level and Volatility of Interest Rate : A GARCH-M Model
Elyasiani, Elyas - 2016
The objective of this paper is to employ the generalized autoregressive conditionally heteroskedastic in the mean (GARCH-M) methodology to investigate the effect of interest rate and its volatility on the bank stock return generation process. This framework discards the restrictive assumptions...
Persistent link: https://www.econbiz.de/10013006325