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Interest rates sensitivity arbitrage : theory and practical assesment for financial market trading
Stadnik, Bohumil - In: Business, mangagement and economics engineering : BMEE 19 (2021) 1, pp. 12-23
; construction of sufficient portfolio; backtesting on USD zero-coupon curves. Portfolio of two bonds is constructed (theoretically …
Persistent link: https://www.econbiz.de/10012695328
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Multi-level Factor Analysis of Bond Risk Premia
Kim, Dukpa; Kim, Yunjung; Bak, Yuhyeon - 2021
Earlier studies in the finance literature show that macroeconomic fundamentals can predict excess bond returns. We employ a multi-level factor model to estimate global and sectoral factors separately and show that (i)the real factors possess most important predictive power existing in the panel;...
Persistent link: https://www.econbiz.de/10014361597
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Green Factor Influence on the Yield of Stocks and Bonds in the Russian Financial Market
Vymyatnina, Yulia; Chernykh, Alexander - 2022
for bonds. For the stock market we used realized returns and estimated the role of the green factor in the yield using the … individual companies. Using data on a number of green bonds and their chosen “twin” bonds, we calculate the difference in the … premium in the yield to maturity over that of a similar government bond for all pairs of “twin” bonds and proceed to check if …
Persistent link: https://www.econbiz.de/10014235981
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Is a Stable Financial System Possible?
Turnbull, Shann - 2018
Three conditions are suggested for establishing a stable financial system: 1. Only digital money is used. 2. The Internet of Things (IoT) uses a sustainable service of nature essential to maintain the well being of the environment and humans in each region of the planet to automatically...
Persistent link: https://www.econbiz.de/10012931273
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Is a Stable Financial System Possible?
Turnbull, Shann - 2019
Three conditions are suggested for establishing a stable financial system: 1. Only digital money is used. 2. The Internet of Things (IoT) uses a sustainable service of nature essential to maintain the well being of the environment and humans in each region of the planet to automatically...
Persistent link: https://www.econbiz.de/10012894728
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A puzzle of excessive equity risk premium and the case of Poland
Kliber, Paweł - In: E-Finanse : finansowy kwartalnik internetowy 12 (2016) 1, pp. 1-11
The article presents a historical review of the literature related to the empirical problem of excessive risk premium. The risk premium (the difference between the return on equities and risk-free rate) observed in financial markets cannot be reconciled with theoretical models of financial...
Persistent link: https://www.econbiz.de/10011539760
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The price of the smile and variance risk premia
Gruber, Peter H.; Tebaldi, Claudio; Trojani, Fabio - 2015 - This version: September 8, 2015
In a tractable stochastic volatility model, we identify the price of the smile as the price of the unspanned risks traded in SPX option markets. The price of the smile reflects two persistent volatility and skewness risks, which imply a downward sloping term structure of low-frequency variance...
Persistent link: https://www.econbiz.de/10011412294
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Repo market functioning when the interest rate is low or negative
Fontaine, Jean-Sébastien; Hately, James; Walton, Adrian - 2017
the repo market for specific collateral continues to support liquidity on the secondary market for government bonds. The … short positions in bonds, and (iii) economic or policy surprises may lead to persistent settlement fails. …
Persistent link: https://www.econbiz.de/10011610221
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Financial vulnerability and monetary policy
Adrian, Tobias; Duarte, Fernando - 2017 - Revised September 2017
We present a microfounded New Keynesian model that features financial vulnerabilities. Financial intermediaries' occasionally binding value-at-risk constraints give rise to variation in the pricing of risk that generates time-varying risk in the conditional mean and volatility of the output gap....
Persistent link: https://www.econbiz.de/10011576278
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High frequency trading and fragility
Cespa, Giovanni; Vives, Xavier - 2017
We show that limited dealer participation in the market, coupled with an informational friction resulting from high frequency trading, can induce demand for liquidity to be upward sloping and strategic complementarities in traders' liquidity consumption decisions: traders demand more liquidity...
Persistent link: https://www.econbiz.de/10011637013