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Risk Taking and Low Longer-Term Interest Rates : Evidence from the U.S. Syndicated Term Loan Market
Aramonte, Sirio - 2019
We use supervisory data to investigate the ex-ante credit risk taken by different types of lenders in the U.S. syndicated term loan market during the LSAPs period. We fi nd that nonbank lenders, mutual funds and structured-fi nance vehicles, take higher risk when longer-term interest rates...
Persistent link: https://www.econbiz.de/10012891192
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Risk Taking and Low Longer-Term Interest Rates : Evidence from the U.S. Syndicated Loan Market
Aramonte, Sirio - 2017
We use supervisory data to investigate risk taking in the U.S. syndicated loan market at a time when longer-term interest rates are exceptionally low, and we study the ex-ante credit risk of loans acquired by different types of lenders, including banks and shadow banks. We find that insurance...
Persistent link: https://www.econbiz.de/10012971007
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Hedging Size Risk : Theory and Application to the US Gas Market
Roncoroni, Andrea - 2017
Many corporate commitments exhibit a combined financial exposure to both market prices and idiosyncratic size components (e.g., volume, load, or business turnover). We design a customized contract to optimally mitigate the risk of joint fluctuations in price and size terms. The hedge is sought...
Persistent link: https://www.econbiz.de/10012969111
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Alternative models for hedging yield curve risk : an empirical comparison
Carcano, Nicola; Dall'O, Hakim - 2010
note/bond futures. We show that traditional implementations of models based on principal component analysis, duration … vectors and key rate duration lead to high exposure to model errors and to sizable transaction costs, thus lowering the …
Persistent link: https://www.econbiz.de/10008797074
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Reach for Yield by U.S. Public Pension Funds
Lu, Lina - 2019
This paper studies whether U.S. public pension funds reach for yield by taking more investment risk in a low interest rate environment. To study funds' risk-taking behavior, we first present a simple theoretical model relating risk-taking to the level of risk-free rates, to their underfunding,...
Persistent link: https://www.econbiz.de/10012866730
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International portfolio holdings and Swiss Franc asset returns
Kugler, Peter; Weder, Beatrice - 2004
This paper revisits the puzzle of low returns on Swiss Franc assets using a new data set of portfolio holdings of residents and non residents at Swiss banks. The main findings are as follows. First, we find that the return anomaly is present only for fixed income assets and not for equity....
Persistent link: https://www.econbiz.de/10011570361
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U.S. Dollar Currency Premium in Corporate Bonds
Caramichael, John; Gopinath, Gita; Liao, Gordon - 2022
We isolate a U.S. dollar currency premium by comparing corporate bonds issued in the dollar and the euro by firms o utside t he U .S. a nd e uro a rea. We make s everal empirical observations that dissect the perceived advantage of borrowing in the dollar. First, while the dollar dominates...
Persistent link: https://www.econbiz.de/10013306776
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Cash flow duration and the term structure of equity returns
Weber, Michael - 2016
The term structure of equity returns is downward-sloping: stocks with high cash flow duration earn 1.10% per month … lower returns than short-duration stocks in the cross section. I create a measure of cash flow duration at the firm level … for short-sale constraints, and find the negative cross-sectional relationship between cash flow duration and returns is …
Persistent link: https://www.econbiz.de/10011521939
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The Time Structure of Production in the US, 2002-2009
Young, Andrew T. - 2011
The US time structure of production during the 2002 through 2009 business cycle is characterized empirically using industry-level input-output data. An industry’s total industry output requirement (TIOR) is proposed as a metric for "roundaboutness". I find that the time structure of production...
Persistent link: https://www.econbiz.de/10014181938
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Monetary policy regimes and the volatility of long-term interest rates
Queijo von Heideken, Virginia (contributor) - 2008
This paper addresses two important questions that have, so far, been studied separately in the literature. First, the paper aims at explaining the high volatility of long-term interest rates observed in the data, which is hard to replicate using standard macro models. Building a small-scale...
Persistent link: https://www.econbiz.de/10003651439