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Discussion of "Interbank lending, credit-risk premia, and collateral"

Thadden, Ernst-Ludwig von - In: International journal of central banking : IJCB 5 (2009) 4, pp. 45-50

Persistent link: https://www.econbiz.de/10009521388

Interbank lending, credit-risk premia, and collateral

Heider, Florian; Hoerova, Marie - In: International journal of central banking : IJCB 5 (2009) 4, pp. 5-43

Persistent link: https://www.econbiz.de/10009521389

Die Erwartungstheorie der Zinsstruktur, Geldpolitik und zeitvariable Risikoprämien : eine empirische Analyse des Euro-DM-Geldmarktes

Wasmund, Jörn - 1999

Die umfangreiche empirische Literatur zur Gültigkeit der Erwartungstheorie der Zinsstruktur in den USA hat einen "U … werden in Kapitel 2 unterschiedliche Theorien der Zinsstruktur dargestellt und die ökonometrisch-methodischen Testansätze der … diskutiert und mittels eines multivariaten ARCH-Ansatzes zeitvariable Risikoprämien in der deutschen Zinsstruktur nachgewiesen …

Persistent link: https://www.econbiz.de/10011401950

Liquidity risk, credit risk and the overknight interest rate spread : a stochastic volatility modelling approach

Beirne, John; Caporale, Guglielmo Maria; Spagnolo, Nicola - In: The Manchester School 81 (2013) 6, pp. 925-940

Persistent link: https://www.econbiz.de/10010341577

The effects of Federal funds rate surprises on S&P 500 volatility and volatility risk premium

Gospodinov, Nikolaj; Jamali, Ibrahim - In: Journal of empirical finance 19 (2012) 4, pp. 497-510

Persistent link: https://www.econbiz.de/10009615666

Risk premiums in NIBOR and other countries’ interbank lending rates

Bernhardsen, Tom; Kloster, Arne; Syrstad, Olav - 2012

Persistent link: https://www.econbiz.de/10009614341

Time varying term premia and risk : the case of the Spanish interbank money market

Robles Fernández, M. Dolores; Flores de Frutos, Rafael - In: Applied financial economics 10 (2000) 3, pp. 243-260

Persistent link: https://www.econbiz.de/10001526279

Estimates of the term premium on near-dated federal funds futures contracts

Durham, J. Benson - 2003

Persistent link: https://www.econbiz.de/10001770320

¿Incorporan los tipos del interbancario una evaluación del riesgo?

Ayuso, Juan - In: Revista española de economía 9 (1992) 2, pp. 343-379

Persistent link: https://www.econbiz.de/10001142697

Liquidity Risk, Credit Risk and the Overnight Interest Rate Spread : A Stochastic Volatility Modelling Approach

Beirne, John - 2010

In this paper we model the volatility of the spread between the overnight interest rate and the central bank policy rate (the policy spread) for the euro area and the UK during the two main phases of the financial crisis that began in late 2007. During the crisis, the policy spread exhibited...

Persistent link: https://www.econbiz.de/10013141038