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Sensitivity of the Bank Stock Returns Distribution to Changes in the Level and Volatility of Interest Rate : A GARCH-M Model

Elyasiani, Elyas - 2016

(GARCH-M) methodology to investigate the effect of interest rate and its volatility on the bank stock return generation … modeling bank stock returns. The model presented here allows for shifts in the volatility equation in response to the changes … in monetary policy regime in 1979 and 1982 to be estimated. ARCH, GARCH, and volatility feed back effects are found to be …

Persistent link: https://www.econbiz.de/10013006325

Are Thai Equity Index Returns Sensitive to Interest and Exchange Rate Risks?

Jiranyakul, Komain - 2016

This study examines the sensitivity of the Thai stock market to nominal and real interest rate, and exchange rate risks during January 2004 and December 2015 using quantile regression. The analysis focuses on sectoral level and one main index in the stock market. The empirical results show that...

Persistent link: https://www.econbiz.de/10012989457

Modeling euro area bond yields using a time-varying factor model

Adam, Tomáš; Lo Duca, Marco - 2017

with time-varying loading coefficients and stochastic volatility, which allows for capturing changes in the pricing …

Persistent link: https://www.econbiz.de/10011637545

Analysis of the Dynamic Relation between the Currency Rates and the Interest Rates from Romania and Euro Area Before and During the Financial Crisis

Stefanescu, Razvan - 2012

This paper examines the changes induced by the actual financial crisis in the dynamic relation between the currency rates and the differentials of the interest rates from Romania and euro area. In the framework of the Uncovered Interest Rate Parity hypothesis we apply the Vector Autoregressive...

Persistent link: https://www.econbiz.de/10013099872

Information Transmission Between Stock and Bond Markets During the Eurozone Debt Crisis : Evidence From Industry Returns

Silva, Nuno - 2020

I analyze the Granger causality in distribution between sovereign bonds and industry indexes in the five European countries most affected by the debt crisis: Greece, Ireland, Italy, Portugal, and Spain. Prior research assessed the impact of the debt crisis on the financial firms, but its effect...

Persistent link: https://www.econbiz.de/10014352250

The Importance of Being Earnest : Macroeconomic Determinants of Sovereign Bond Yield Spreads in the Eurozone

Gómez-Bengoechea, Gonzalo - 2014

Eurozone since 2000 until August 2012, when Outright Monetary Transactions program was announced. Results show that there is a …

Persistent link: https://www.econbiz.de/10013051261

The spillover of euro area shocks to the Maltese economy

Gatt, William; Ruisi, Germano - 2022

This paper develops a two-block Structural Vector Autoregression (SVAR) to estimate the spillover of external shocks to the Maltese economy. The model focuses on five broad macroeconomic shocks hitting the euro area; an aggregate demand shock, two aggregate supply shocks which respectively proxy...

Persistent link: https://www.econbiz.de/10012818649

Do public wages in the euro area explain private wage developments? : an empirical investigation

Attinasi, Maria Grazia; Berardini, Francesco; Palazzo, … - 2019

This paper investigates the relationship between public and private wages in the five largest euro area countries for the period 1997-2017. The analysis shows that there exists a positive and significant response of private wages to a public wage shock. This effect is found to be temporary and...

Persistent link: https://www.econbiz.de/10011975478

Are constant interest rate forecasts modest interventions? : evidence from an estimated open economy DSGE model of the Euro Area

Adolfson, Malin; Laséen, Stefan; Lindé, Jesper; … - 2005

This paper uses an estimated open economy DSGE model to examine if constant interest forecasts one and two years ahead can be regarded as modest policy interventions during the period 1993Q4-2002Q4. An intervention is here defined to be modest if it does not trigger the agents to revise their...

Persistent link: https://www.econbiz.de/10011583556

Changes in the euro area interest rate pass-through

Michaelis, Henrike - 2024

This paper uses a time-varying vector autoregressive (VAR) model for the euro area to explore the changes in the interest rate pass-through to bank retail rates following conventional and unconventional monetary policy shocks. The median estimate of the impulse responses shows a considerably...

Persistent link: https://www.econbiz.de/10014559289