Similar Search Results

Akram, Tanweer; Mamun, Khawaja - 2022

John Maynard Keynes argued that the central bank influences the long-term interest rate through the effect of its policy rate on the short-term interest rate. However, Keynes's claim was confined to the behavior of the long-term government bond yield. This paper investigates whether Keynes's...

Persistent link: https://www.econbiz.de/10014322576

Better not forget: On the memory of S&P 500 survivor stock companies

Grobys, Klaus; Han, Yao; Kolari, James W. - In: Journal of Risk and Financial Management 16 (2023) 2, pp. 1-16

This study explores the dependency structure of S&P 500 survivor stocks. Using a hand-collected sample of stocks that survived in the S&P 500 since March 1957, we employ rescaled/range analysis to investigate survivors. First, we find nonlinearities in the return processes of survivor stocks due...

Persistent link: https://www.econbiz.de/10014332873

Global Production Linkages and Stock Market Comovement

Auer, Raphael; Iwadate, Bruce; Schrimpf, Andreas; … - 2023

Although real integration conceptually plays an important role for the comovement of international equity markets, documenting this link empirically has proven challenging. We construct a new dataset of theory-guided, relevant measures of bilateral trade in final and intermediate goods and...

Persistent link: https://www.econbiz.de/10014377466

The macrodynamics of Indian Rupee swap yields

Akram, Tanweer; al Mamun, Khawaja Abdullah - 2023

This paper econometrically models the dynamics of Indian rupee (INR) swap yields based on key macroeconomic factors using the autoregressive distributive lag (ARDL) approach. It examines whether the short-term interest rate has a decisive influence on long-term INR swap yields after controlling...

Persistent link: https://www.econbiz.de/10014474477

Euro interest rate swap yields: A GARCH analysis Tanweer Akram (Citibank) and Khawaja Mamun (Sacred Heart University (SHU))

Akram, Tanweer; al Mamun, Khawaja Abdullah - 2023

This paper models the month-over-month change in euro-denominated (EUR) long-term interest rate swap yields. It shows that the change in the short-term interest rate has an economically and statistically significant effect on the change in EUR swap yields of different maturity tenors, after...

Persistent link: https://www.econbiz.de/10014474478

An inquiry concerning Japanese yen interest rate swap yields

Akram, Tanweer; al Mamun, Khawaja Abdullah - 2023

This paper econometrically models Japanese yen (JPY)-denominated interest rate swap yields. It examines whether the short-term interest rate exerts an influence on the long-term JPY swap yield after controlling for several key macroeconomic variables, such as core inflation, the growth of...

Persistent link: https://www.econbiz.de/10014474486

Chinese yuan interest rate swap yields

Akram, Tanweer; al Mamun, Khawaja Abdullah - 2023

This paper models the dynamics of Chinese yuan (CNY)-denominated long-term interest rate swap yields. The financial sector plays a vital role in the Chinese economy, which has grown rapidly in the past several decades. Going forward, interest rate swaps are likely to have an important role in...

Persistent link: https://www.econbiz.de/10014474500

Nexus between stock returns, funding liquidity and COVID-19

Marozva, Godfrey; Magwedere, Margaret Rutendo - In: SPOUDAI - Journal of Economics and Business 71 (2021) 3/4, pp. 86-100

Using a panel of stock indices of the BRICS countries from 31 December 2019 to 17 October 2020, the nexus between funding liquidity, stock returns and COVID-19 pandemic is examined using the fixed effects model. Results show that funding liquidity and the COVID-19 pandemic interacts positively...

Persistent link: https://www.econbiz.de/10014477258

What does the CDS market imply for a U.S. default?

Benzoni, Luca; Cabanilla, Christian; Cocco, Alessandro; … - 2023

(CDS) market and infer the likelihood of a U.S. default from these market prices. Beginning in January 2023, we document a … significant increase in U.S. CDS trading activity and positions, accompanied by a spike in CDS premiums. We estimate an increase … in part to the cheapening of deliverable Treasury collateral to CDS contracts. …

Persistent link: https://www.econbiz.de/10014480354

The contribution of transaction costs to expected stock returns: A novel measure

Hiraki, Kazuhiro; Skiadopoulos, George - 2023

We document that a theoretically founded, real-time, and easy-to-implement option-based measure, termed synthetic-stock difference (SSD), accurately estimates the part of stock's expected return arising from stock's transaction costs. We calculate SSD for U.S. optionable stocks. SSD can be more...

Persistent link: https://www.econbiz.de/10014480627