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Investor Behaviour and Reaching for Yield : Evidence from the Sterling Corporate Bond Market
Czech, Robert - 2020
We provide evidence on how corporate bond investors react to a change in yields, and how this behaviour differs in times of market‐wide stress. We also investigate ‘reaching for yield' across investor types, as well as providing insights into the structure of the corporate bond market. Using...
Persistent link: https://www.econbiz.de/10012853544
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Risk characteristics of banks and non-banks: an international comparison
Bessler, Wolfgang; Murtagh, James P. - In: Aktuelle Entwicklungen im Finanzdienstleistungsbereich …, (pp. 65-78). 2004
Persistent link: https://www.econbiz.de/10002033450
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The Forward Premium Puzzle and Latent Factors Day by Day
Bernoth, Kerstin - 2011
We use futures instead of forward rates to study the complete maturity spectrum of the forward premium puzzle from two … days to six months. At short maturities the slope coefficient is positive, but these turn negative as the maturity … decomposed into a contract-specific and a time-to-maturity effect. Once we do this, we find that the coefficients on the forward …
Persistent link: https://www.econbiz.de/10013119324
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The Forward Premium Puzzle and Latent Factors Day by Day
Bernoth, Kerstin - 2010
We use futures instead of forward rates to study the complete maturity spectrum of the forward premium puzzle from two … days to six months. At short maturities the slope coefficient is positive, but these turn negative as the maturity … decomposed into a contract-specific and a time-to-maturity effect. Once we do this, we find that the coefficients on the forward …
Persistent link: https://www.econbiz.de/10013141467
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Cross-Border Diversification in Bank Asset Portfolios
Buch, Claudia M. - 2010
We compute optimally diversified international asset portfolios for banks located in France, Germany, Italy, the U …
Persistent link: https://www.econbiz.de/10013150715
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Simple Banking : Profitability and the Yield Curve
Alessandri, Piergiorgio - 2012
How does bank profitability vary with interest rates? We present a model of a monopolistically competitive bank subject to repricing frictions, and test the model's predictions using a unique panel data set on UK banks. We find evidence that large banks retain a residual exposure to interest...
Persistent link: https://www.econbiz.de/10013104541
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Simple Banking : Profitability and the Yield Curve
Alessandri, Piergiorgio - 2014
How does bank profitability vary with interest rates? We present a model of a monopolistically competitive bank subject to repricing frictions, and test the model's predictions using a unique panel data set on UK banks. We find evidence that large banks retain a residual exposure to interest...
Persistent link: https://www.econbiz.de/10013056569
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Do Stress Tests Matter? Evidence from the 2014 and 2016 Stress Tests
Georgescu, Oana Maria - 2017
Stress tests have been increasingly used in recent years by regulators to foster confidence in the banking sector by not only increasing its resilience via mandatory capital increases but also by enhancing transparency to allow investors to better discriminate between banks. In this study, using...
Persistent link: https://www.econbiz.de/10012956258
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Credit risk based capital and interest rate derivative default risk
Mokkelbost, Per B. - In: Geld, Finanzwirtschaft, Banken und Versicherungen : …, (pp. 509-539). 1994
Persistent link: https://www.econbiz.de/10001287543
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A comparison of long bond yields in the United Kingdom, the United States, and Germany
Brooke, Martin; Clare, Andrew D.; Lekkos, Ilias - In: Quarterly bulletin / Bank of England 40 (2000) 2, pp. 150-158
Persistent link: https://www.econbiz.de/10001510026