-down announcement on March 12, 2020, interest rates were substantially reduced by National Bank of Poland (NBP) to support economy …

We use the term structure of bank CD rates to examine whether maturity-transformation risk is priced into the rates … banks offer customers. We find that depositors pay a significant cost for the liquidity provided by bank deposits. This cost …

"low" and "high" volatility periods. These periods are determined by estimating asset dynamics using a SWARCH process. Our … results suggest that securities volatility is higher during periods of financial or economic instability. We use these results … to evaluate the impact of news during "low" and "high" volatility periods using a GARCH model. News effects, especially …

We show that part of the outperformance of low-volatility stocks can be explained by a premium for interest rate … exposure. Low-volatility stock portfolios have negative exposure to interest rates, whereas the more volatile stocks have …

future returns. We argue that these firms have negative alphas because they are a hedge against expected aggregate volatility …, and the aggregate volatility risk factor can largely explain the high RSI effect. The key mechanism is that high RSI firms … more valuable as idiosyncratic volatility goes up. Idiosyncratic volatility usually increases with aggregate volatility (i …

. The basic models attempt to determine the effect of contemporaneous and lagged interest rate volatility on bank equity …This study attempts to determine whether the level and volatility of interest rates affect the equity returns of … commercial banks. Short-term, intermediate-term, and long-term interest rates are used. Volatility is defined as the conditional …

growing importance of emerging markets, the literature on the nature of volatility in global markets is typified by … volatility in developed G7 and emerging BRICS markets. Broad market index data and GARCH models over the period 2003 …:01–2020:08 were employed. The study found evidence of volatility persistence, asymmetry, mean reversion and weak evidence of a risk …

predictive variance. We show theoretically how this adjustment factor affects both average and volatility of excess returns. We … related to excess volatility as predicted by the model. Further confirming the model's implications, we also show how stock …