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Foreign currency loans and credit risk : evidence from U.S. banks

Niepmann, Friederike; Schmidt-Eisenlohr, Tim - 2017

When firms borrow in foreign currency but collect revenues in local currency, exchange rate changes can affect their ability to repay their debt. Using loan-level data from U.S. banks' regulatory filings, this paper studies the effect of exchange rate changes on firms’ loan payments. A 10...

Persistent link: https://www.econbiz.de/10011741340

A global lending channel unplugged? : does U.S. monetary policy affect cross-border and affiliate lending by global U.S. banks?

Temesvary, Judit; Ongena, Steven; Owen, Ann L. - 2017

We examine how U.S. monetary policy affects the international activities of U.S. Banks. We access a rarely studied U.S. bank-level regulatory dataset to assess at a quarterly frequency how changes in the U.S. Federal funds rate (before the crisis) and quantitative easing (after the onset of the...

Persistent link: https://www.econbiz.de/10011803798

Volatility patterns of CDS, bond and stock markets before and during the financial crisis : evidence from major financial institutions

Belke, Ansgar; Gokus, Christian - 2011

to address this issue and to gain insights on the volatility patterns of CDS spreads, bond yield spreads and stock prices … series. -- Bond markets ; credit default swaps ; credit risk ; financial crisis ; GARCH ; stock markets ; volatility …

Persistent link: https://www.econbiz.de/10008935244

Bank bonds : size, systemic relevance and the sovereign

Zaghini, Andrea - 2014

bond placements. …

Persistent link: https://www.econbiz.de/10010343421

Mildly Explosive Dynamics in U.S. Fixed Income Markets

Contessi, Silvio - 2020

We use a recently developed right-tail variation of the Augmented Dickey-Fuller unit root test to identify and date-stamp periods of mildly explosive behavior in the weekly time series of seven U.S. fixed income yield spreads between September 2002 and January 2015. We find statistically...

Persistent link: https://www.econbiz.de/10012853831

The Contribution of US Bond Demand to the US Bond Yield Conundrum of 2004 to 2007 : An Empirical Investigation

Goda, Thomas - 2014

contributory factor to this conundrum was the contemporaneous increase in US bond demand. Using ARDL-based models, which … accommodate structural breaks, this paper estimates the impact of demand on US bond yields in the conundrum period. This impact is … shown to have been everywhere significantly negative. The fact that our model fully explains the bond yield conundrum gives …

Persistent link: https://www.econbiz.de/10013056806

Switching to Bonds When Loans Are Scarce : Evidence from Four U.S. Crises

Goel, Manisha - 2018

signifi cantly more in output, investment, and employment than predominantly bond-issuing rms. Most rms either received loans …

Persistent link: https://www.econbiz.de/10012933268

Volatility patterns of CDS, bond and stock markets before and during the financial crisis : evidence from major financial institutions

Belke, Ansgar; Gokus, Christian - 2011

to address this issue and to gain insights on the volatility patterns of CDS spreads, bond yield spreads and stock prices …

Persistent link: https://www.econbiz.de/10010209431

Volatility patterns of CDS, bond and stock markets before and during the financial crisis : evidence from major financial institutions

Belke, Ansgar; Gokus, Christian - 2011

Persistent link: https://www.econbiz.de/10009347974

The COVID-19 Pandemic and the Degree of Persistence of US Stock Prices and Bond Yields

Caporale, Guglielmo Maria; Gil-Alana, Luis A.; Poza, Carlos - 2021

prices and bond yields using fractional integration techniques. The model is estimated first over the period January 1966 … pandemic period. We find that the unit root hypothesis cannot be rejected for stock prices while for bond yields the results … differ depending on the maturity date and the specification of the error term. In general, bond yields appear to be more …

Persistent link: https://www.econbiz.de/10013235116