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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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Behaviour of bond's embedded option with regard to credit rating
Stádník, Bohumil - In: Verslas : teorija ir praktika : Vilniaus Gedimino … 19 (2018), pp. 261-270
In this financial engineering research, we study the behaviour of an option premium of a call/put option which is embedded in a typical fixed coupon bond with finite maturity. The contribution of the research is the conclusion about the dynamics of premium changes; represented by direction and...
Persistent link: https://www.econbiz.de/10012019232
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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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Can big data help predict financial market dynamics? : evidence from the Korean stock market
Pyo, Dong-Jin - In: East Asian economic review 21 (2017) 2, pp. 147-165
This study quantifies the dynamic interrelationship between the KOSPI index return and search query data derived from the Naver DataLab. The empirical estimation using a bivariate GARCH model reveals that negative contemporaneous correlations between the stock return and the search frequency...
Persistent link: https://www.econbiz.de/10011765063
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The development and spread of financial innovations
Hull, Isaiah - In: Quantitative economics : QE ; journal of the … 7 (2016) 2, pp. 613-636
I study financial product innovation in a model with two classes of agents: “sophisticated” and “unsophisticated.” Unsophisticated agents are hit with frictions that lower the return to a conventional asset they hold. Sophisticated agents construct financial innovations that are perfect...
Persistent link: https://www.econbiz.de/10011800681
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Break-even maturity as a guide to financial distress
Ellis, Colin - In: Contemporary economics 8 (2014) 4, pp. 387-396
During the recent crisis, lags in the transmission mechanism of economic shocks, together with monetary and fiscal policy, made it difficult to assess the evolving dynamics of creditworthiness. As such, developments in financial markets became a key guide for investors and policymakers in...
Persistent link: https://www.econbiz.de/10010520881
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The impacts of capital market distortion on wage inequality, urban unemployment, and welfare in developing countries
Pi, Jiancai; Chen, Xuyang - In: International review of economics & finance : IREF 42 (2016), pp. 103-115
Persistent link: https://www.econbiz.de/10011625065
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Financial stability, wealth effects and optimal macroeconomic policy combination in the United Kingdom : a new-Keynesian dynamic stochastic general equilibrium framework
Nasir, Muhammad Ali; Yago, Milton; Soliman, Alaa M.; … - In: Cogent economics & finance 4 (2016) 1, pp. 1-25
This study derives an optimal macroeconomic policy combination for financial sector stability in the United Kingdom by employing a New Keynesian Dynamic Stochastic General Equilibrium (NK-DSGE) framework. The empirical results obtained show that disciplined fiscal and accommodative monetary...
Persistent link: https://www.econbiz.de/10011450563
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Air pollution and local government financing costs : evidence from the Chinese municipal corporate bond spread
Wei, Xiaokun; Ruan, Qingsong; Lv, Dayong; Liu, Mengsha; … - In: Borsa Istanbul Review 23 (2023) 3, pp. 647-661
Using a sample of Chinese municipal corporate bonds from 2011 to 2019, this paper investigates the effect of city … guarantee channel” that air pollution curtails implicit guarantees for municipal corporate bonds and thus increases bond spreads …. Furthermore, the detrimental effect of air pollution is more salient for municipal corporate bonds without explicit guarantees …
Persistent link: https://www.econbiz.de/10014308795
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Europe needs more than a Capital Markets Union : focus on the integration of euro area sovereign debt markets
Breitenfellner, Andreas; Schuberth, Helene - In: Vierteljahrshefte zur Wirtschaftsforschung 86 (2017) 2, pp. 9-20
longer capable of issuing bonds under their own exclusive monetary control. Thus, integrating euro area sovereign bond … markets should be a top priority. One remedy would be to pool sovereignty via euro bonds, or, given the reluctance to embrace … risk-sharing among sovereigns, to introduce synthetic euro bonds that work without debt mutualization. …
Persistent link: https://www.econbiz.de/10012051172