Results 111 to 120 of about 501 (229)
Credit Spread Modeling: Macro-financial versus HOC Approach
Economic Analysis, 2017 The aim of this paper is to throw light on the relationship between credit spread changes and past changes of U.S. macro-financial variables when invariants do not have Gaussian distribution. The first part presents the empirical analysis which is based
Sanja Dudaković
doaj
The expected inflation risk premium in the U.S. stock market
Journal of Financial Research, EarlyView.Abstract This article studies how expected inflation risk affects asset prices. We propose an ex‐ante, tradable proxy for this risk, derived from the term spread of gold futures prices. Using cross‐sectional and time series asset pricing tests, we show how an increase in expected inflation risk lowers contemporaneous prices and raises equity returns ...
Pascal Letourneau +2 more
wiley +1 more source
COVID-19 and credit risk: A long memory perspective. [PDF]
Insur Math Econ, 2022 Yin J, Han B, Wong HY.
europepmc +1 more source
The Effects of Regulatory Office Closures on Bank Behavior
Journal of Money, Credit and Banking, EarlyView.Abstract We investigate if the decentralized structure of regulatory office networks influences supervisory outcomes and bank behavior. Following the closure of an office, banks previously supervised by that office increase their lending and risk‐taking.
IVAN LIM, JENS HAGENDORFF, SETH ARMITAGE
wiley +1 more source
Ekonomi, Politika & Finans Araştırmaları DergisiThis study examines the causality relationship between portfolio investments and credit default swaps (CDS) in Türkiye. Analysing the dynamics between portfolio investments and CDS premiums, two important variables for financial markets is critical to ...
Sümeyye Uzun, Asiye Küçükosman
doaj +1 more source
Financial Fragility and the Fiscal Multiplier
Journal of Money, Credit and Banking, EarlyView.Abstract We show that undercapitalized banks with large holdings of government bonds subject to sovereign default risk lead to a new crowding‐out channel: deficit‐financed fiscal stimuli lead to higher bond yields, triggering capital losses for the banks. Banks then cut back loans, which reduces fiscal multipliers.
CHRISTIAAN VAN DER KWAAK +1 more
wiley +1 more source
Banks of a Feather: The Informational Advantage of Being Alike
Journal of Money, Credit and Banking, EarlyView.Abstract Banks lend more to banks that are similar to them. Using data from the German credit register and proprietary supervisory data on the quality of banks' loan portfolio, we show that a similar portfolio of the lending and borrowing bank helps to overcome information asymmetries in interbank markets.
PETER BEDNAREK +3 more
wiley +1 more source
Revista de Métodos Cuantitativos para la Economía y la Empresa, 2018 In this paper, we explore the interconnection and existing relationships between the Sovereign Credit Default Swaps (henceforth, CDS) and the stock markets of the main European countries.
Navarrete Wic, Ana +2 more
doaj
Cyberattacks on Small Banks and the Impact on Local Banking Markets
Journal of Money, Credit and Banking, EarlyView.Abstract Cyberattacks on small banks have direct and spillover effects in local markets. Following successful cyberattacks, hacked small banks experience a decline in deposit growth rates. This effect of cyberattacks is not observed in hacked large banks.
FABIAN GOGOLIN +2 more
wiley +1 more source
Mixing It Up: Inflation at Risk
Journal of Money, Credit and Banking, EarlyView.Abstract Understanding how risk factors shape the economic outlook is essential for guiding policy decisions. This paper develops a flexible framework that decomposes distributional risk forecasts of macro‐economic variables into underlying contributions and supports the construction of interpretable risk measures.
MAXIMILIAN SCHRÖDER
wiley +1 more source