Zobrazeno 1 - 10
of 165
pro vyhledávání: '"Credit spread (options)"'
Publikováno v:
The B.E. Journal of Macroeconomics. 23:427-471
U.S. banks countercyclically vary the ratio of charge-offs to defaulted loans (COD) and the standard deviation of COD is roughly 15 times that of GDP. We show that canonical financial accelerator models cannot explain these facts, but introducing sto
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::c467fcd06d5b2a6549816e4f3064c403
https://doi.org/10.1515/bejm-2021-0078
https://doi.org/10.1515/bejm-2021-0078
Publikováno v:
Finance. 42:139-179
Cet article etudie le degre auquel l’anciennete des charges d’affaires au sein d’une banque interagit avec la relation clientele et le climat des affaires pour influencer les taux d’interet factures. A partir de donnees collectees manuellemen
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::a421a991773949ae2380de0cab66c1b6
https://doi.org/10.3917/fina.423.0139
https://doi.org/10.3917/fina.423.0139
Autor:
Pavel Trunin, Diana Petrova
Publikováno v:
Business Informatics. 15:24-34
Press releases on monetary policy play an important role in the communication policy of the central bank. These press releases explain key rate decisions and provide signals about the future direction of the central bank’s monetary policy. Informat
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::276e0b1e67f8065fc1091cf80560bc3b
https://doi.org/10.17323/2587-814x.2021.3.24.34
https://doi.org/10.17323/2587-814x.2021.3.24.34
Autor:
Sungbin Sohn, Heungju Park
Publikováno v:
International Review of Economics & Finance. 75:399-419
We investigate the existence of alleged implicit guarantee in the primary market of Chinese trust products by testing whether flight-to-quality occurs towards trust products during financial turbulence. Since flight-to-quality occurs only towards saf
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::4245781b7d31ca8c2d790013a2a39b5e
https://doi.org/10.1016/j.iref.2021.04.026
https://doi.org/10.1016/j.iref.2021.04.026
Publikováno v:
Journal of Financial Economics. 140:412-435
We show that at-the-money implied volatility of options on futures of five-year Treasury notes (Treasury “yield implied volatility”) predicts both the growth rate and volatility of gross domestic product, as well as of other macroeconomic variabl
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::806179d47a6835bfe595e262c0f2ac0c
https://doi.org/10.1016/j.jfineco.2020.12.009
https://doi.org/10.1016/j.jfineco.2020.12.009
Publikováno v:
The Quarterly Review of Economics and Finance. 80:577-589
This study examines the Granger causal flow from implied oil volatility to US high-yield and investment-grade corporate bonds. The results show that the Granger causality differs over investment time horizons, with evidence of a more lasting effect f
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::e08edbc6322e87656a8985804886f96b
https://doi.org/10.1016/j.qref.2021.04.012
https://doi.org/10.1016/j.qref.2021.04.012
Autor:
Praveen Gupta
Publikováno v:
INFORMATION TECHNOLOGY IN INDUSTRY. 9:333-337
This paper shows that how Macro risk factors affect the credit spread in the Indian debt market. Credit spread is the difference between government bonds and corporate bonds of the same maturity. Various factors impact the spread directly and indirec
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::13c86cb1bd837620afbcd1406fcc17e9
https://doi.org/10.17762/itii.v9i2.351
https://doi.org/10.17762/itii.v9i2.351
Publikováno v:
The Review of Finance and Banking. 12:137-154
This paper applies novel tools from spatial econometrics to measure, quantifyand predict sovereign CDS spreads. Network risk is modelled by making each sovereignísCDS spread a function of the CDS spreads of its ìneighborsî in the Önancial network
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::d802d1bc8c223a510a2180d72e2af6f4
https://doi.org/10.24818/rfb.20.12.02.03
https://doi.org/10.24818/rfb.20.12.02.03
Autor:
Lukas Schmid, João Gomes
Publikováno v:
The Journal of Finance. 76:977-1018
We develop a general equilibrium model linking the pricing of stocks and corporate bonds to endogenous movements in corporate leverage and aggregate volatility. The model features heterogeneous firms making optimal investment and financing decisions
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::1f012e9c7f529f57f3d17bf4add1f39a
https://doi.org/10.1111/jofi.12987
https://doi.org/10.1111/jofi.12987
Autor:
Baozhong Yang, Ajay Subramanian
Publikováno v:
Management Science. 66:3183-3210
We investigate the design of prudential bank regulation and its eects on the real and financial decisions of banks in a continuous-time structural framework. In our model, the regulator controls the dynamic risk-shifting incentives of a representativ
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::7edb3deca97a6f4d560703ac88d487e5
https://doi.org/10.1287/mnsc.2019.3333
https://doi.org/10.1287/mnsc.2019.3333