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The pricing of subprime mortgage risk in good times and bad: evidence from the ABX.HE indices
Fender, Ingo; Scheicher, Martin - 2009
This paper investigates the market pricing of subprime mortgage risk on the basis of data for the ABX.HE family of … introduction into ABX index mechanics and a discussion of historical pricing patterns, we use regression analysis to establish the … for the inappropriateness of pricing models that do not sufficiently account for factors such as risk appetite and …
Persistent link: https://www.econbiz.de/10011605102
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Communication and decision-making by central bank committees: different strategies, same effectiveness?
Ehrmann, Michael; Fratzscher, Marcel - 2005
The paper assesses the communication strategies of the Federal Reserve, the Bank of England and the European Central Bank and their effectiveness. We find that the effectiveness of communication is not independent from the decisionmaking process in the committee. The paper shows that the Federal...
Persistent link: https://www.econbiz.de/10011604534
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Detecting Speculative Bubbles in Stock Prices : a New Approach and Some Evidence for the US
Siklos, Pierre L.; Bohl, Martin T. - 2001
A large part of the current debate on US stock price behaviorconcentrates on the question of whether stock prices are driven byfundamentals or by non-fundamental factors(...)
Persistent link: https://www.econbiz.de/10005843733
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Why ratings matter : evidence from Lehman's index rating rule change
Chen, Zhihua; Lookman, Aziz A.; Schürhoff, Norman; … - 2010
This paper documents a new channel for rating-based bond market segmentation which, in contrast to prior research, is based on non-regulatory asset management practices. A 2005 Lehman Brothers index redefinition provides a quasi-natural experiment in which a number of previously high-yield...
Persistent link: https://www.econbiz.de/10008797097
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Should more local governments purchase a bond rating?
Allen, Arthur C.; Sanders, George; Dudney, Donna - In: Review of quantitative finance and accounting 32 (2009) 4, pp. 421-438
Persistent link: https://www.econbiz.de/10003873810
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The Bond Pricing Implications of Rating-Based Capital Requirements
Murray, Scott - 2020
pricing effects. We identify rating-based capital requirements as the driver of insurer demand, and thus the pricing effects …
Persistent link: https://www.econbiz.de/10012854113
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Corporate credit risk premia
Berndt, Antje; Douglas, Rohan; Duffie, Darrell; … - 2017
We measure credit risk premia---prices for bearing corporate default risk in excess of expected default losses---using Markit CDS and Moody's Analytics EDF data. We find dramatic variation over time in credit risk premia, with peaks in 2002, during the global financial crisis of 2008-09, and in...
Persistent link: https://www.econbiz.de/10011873159
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The pricing of progress : economic indicators and the capitalization of American life
Cook, Eli - 2017
our self-worth. The Pricing of Progress traces the long history of how and why we moderns adopted the monetizing values … our economy and nation.The Pricing of Progress helps us grasp the limits and dangers of entrusting economic indicators to …
Persistent link: https://www.econbiz.de/10012317068
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New Firm Creation in the United States : Initial Explorations with the PSED II Data Set
Curtin, Richard T. (contributor);  … - 2009
The study of firm creation is becoming a focal point of business research, education, practice, and policymaking. Currently, it is estimated that 12 million people in the United States are involved in business start-ups, the phenomenon is embedded in the American culture—and in many others...
Persistent link: https://www.econbiz.de/10013521177
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Explaining asset pricing puzzles associated with the 1987 market crash
Benzoni, Luca; Collin-Dufresne, Pierre; Goldstein, Robert S. - 2010
The 1987 market crash was associated with a dramatic and permanent steepening of the implied volatility curve for equity index options, despite minimal changes in aggregate consumption. We explain these events within a general equilibrium framework in which expected endowment growth and economic...
Persistent link: https://www.econbiz.de/10010292171