Similar Search Results

De Bandt, Olivier; Hartmann, Philipp - 2000

related payment and settlement systems. At the heart of systemic risk are contagion effects, various forms of external effects … rigorous models of bank and payment system contagion have now been developed, although a general theoretical paradigm is still … missing. Direct econometric tests of bank contagion effects seem to be mainly limited to the United States. Empirical studies …

Persistent link: https://www.econbiz.de/10011604081

Measuring bilateral spillover and testing contagion on sovereign bond markets in Europe

Claeys, Peter; Vašíček, Bořek - 2014

test for contagion by applying the multivariate structural break test of Qu and Perron (2007) on this FAVAR detecting … Spain are central to shock transmission during the financial crisis. Contagion has been a rather rare phenomenon limited to … frequent surges in market co-movement are driven by larger shocks rather than by contagion. …

Persistent link: https://www.econbiz.de/10011605711

Sovereign to corporate risk spillovers

Augustin, Patrick; Boustanifar, Hamid; Breckenfelder, … - 2016

Using the announcement of the first Greek bailout on April 11, 2010, we quantify significant spillover effects from sovereign to corporate credit risk in Europe. A ten percent increase in sovereign credit risk raises corporate credit risk on average by 1.1 percent after the bailout. These...

Persistent link: https://www.econbiz.de/10011605923

Estimating the implied distribution of the future short term interest rate using the Longstaff-Schwartz model

Hördahl, Peter - 2000

This paper proposes the use of the two-factor term-structure model of Longstaff and Schwartz (1992a, LS) to estimate the risk-neutral density (RND) of the future short-term interest rate. The resulting RND can be interpreted as the market's estimate of the density of the future short-term...

Persistent link: https://www.econbiz.de/10011604062

A two-factor model of the German term structure of interest rates

Barros Luís, Jorge; Cassola, Nuno - 2001

In this paper we show that a two-factor constant volatility model provides an adequate description of the dynamics and shape of the German term structure of interest rates from 1972 up to 1998. The model also provides reasonable estimates of the volatility and term premium curves. Following the...

Persistent link: https://www.econbiz.de/10011604092

The functional form of yield curves

Brousseau, Vincent - 2002

Yield curves built from liquid instruments tend to exhibit specific features, both in term of smoothness and in term of patterns. The paper presents empirical evidence that those liquid yiled curves frequently conform to a specific functional form. This specific functional form is predicted by a...

Persistent link: https://www.econbiz.de/10011604194

Equity and bond market signals as leading indicators of bank fragility

Gropp, Reint E.; Vesala, Jukka; Vulpes, Giuseppe - 2002

We analyse the ability of the distance-to-default and bond spreads to signal bank fragility. We show that both indicators are complete and unbiased and that spreads are non-linear in the probability of bank default. We empirically test these properties in a sample of EU banks. We find leading...

Persistent link: https://www.econbiz.de/10011604196

Bidding and performance in repo auctions: evidence from ECB open market operations

Nyborg, Kjell G.; Strebulaev, Ilya A.; Bindseil, Ulrich - 2002

We study bidder bahavior and performance in 53 main refinancing operations (repo auctions) of the European Central Bank (ECB). The data set starts with the first auctions after the ECB changed from fixed rate tenders to variable rate tenders. We find that private information and the winnner's...

Persistent link: https://www.econbiz.de/10011604203

Myopic loss aversion, disappointment aversion, and the equity premium puzzle

Fielding, David; Stracca, Livio - 2003

This paper takes a close look at the 'behavioural finance' explanations of the equity premium puzzle, namely myopic loss aversion (Benartzi and Thaler, 1995) and disappointment aversion (Ang, Bekaert and Liu, 2000). The paper proposes a simple specification of loss and disappointment aversion...

Persistent link: https://www.econbiz.de/10011604249

Do demographic changes affect risk premiums? Evidence from international data

Ang, Andrew; Maddaloni, Angela - 2003

We examine the link between equity risk premiums and demographic changes using a very long sample over the whole twentieth century for the US, Japan, UK, Germany and France, and a shorter sample covering the last third of the twentieth century for fifteen countries. We find that demographic...

Persistent link: https://www.econbiz.de/10011604254

1
2
3
4
5
6
7
8
9
10
Next
Last