Results 81 to 90 of about 3,614,788 (171)
Global Factors in Noncore Bank Funding and Exchange Rate Flexibility
Journal of Money, Credit and Banking, EarlyView.Abstract We show that fluctuations in the ratio of noncore to core funding in the banking systems of advanced economies are largely driven by three global factors of both real and financial natures, with country‐specific factors playing only a minor role. Exchange rate flexibility helps insulate the noncore to core ratio from such global factors.
LUÍS A.V. CATÃO +2 more
wiley +1 more source
Afyon Kocatepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 2017 Bu çalışmada Borsa İstanbul Kurumsal Yönetim Endeksi (XKURY) ile Korku Endeksi (Chicago Board Options Exchange Volatility Index-VIX) arasındaki uzun dönemli ilişki incelenecektir.
Veysel KULA, Ender BAYKUT
doaj
Review of Business and Economics StudiesThe aim of this study is to empirically investigate the impact of various macroeconomic variables on the Borsa Istanbul Benchmark and Sectoral Indices. The impetus for this inquiry stems from the significant fluctuations in macroeconomic variables within
Erdem Bağci, Musa Bayir
doaj +1 more source
Macroprudential Policy in the Euro Area
Journal of Money, Credit and Banking, EarlyView.Abstract This paper examines the development and impact of macroprudential policies in the euro area. We construct a novel index that captures the stance of macroprudential policy, and we highlight its main stylized facts since the inception of the euro in 1999. We combine a narrative approach and a structural VAR method to show that both unanticipated
ÁLVARO FERNÁNDEZ‐GALLARDO +1 more
wiley +1 more source
Dynamics effect of volatility index, interest rates, and commodity prices on Indonesian bond yields
Jurnal Ekonomi & Studi PembangunanSeveral factors influence the movements and dynamics of bond yields in financial markets. The determination of monetary policy, specifically the decisions regarding interest rates made by central banks, is a critical factor.
Susilo Nur Aji Cokro Darsono +4 more
doaj +1 more source
Journal of Money, Credit and Banking, EarlyView.Abstract Using confidential daily data, we examine the Bank of Israel's foreign exchange interventions from 2013 to 2019. We find that a 1 billion U.S. dollars (USD) purchase leads to a 0.82% depreciation of the Israeli Shekel (ILS)–a strong effect compared to other studies.
MARKUS HERTRICH, DANIEL NATHAN
wiley +1 more source
Testing Distributional Granger Causality With Entropic Optimal Transport
Journal of Time Series Analysis, EarlyView.ABSTRACT We develop a novel nonparametric test for Granger causality in distribution based on entropic optimal transport. Unlike classical mean‐based approaches, the proposed method directly compares the full conditional distributions of a response variable with and without the history of a candidate predictor.
Tao Wang
wiley +1 more source
SPECTRAL METHODS FOR VOLATILITY DERIVATIVES [PDF]
In the first quarter of 2006 Chicago Board Options Exchange (CBOE) introduced, as one of the listed products, options on its implied volatility index (VIX).
Albanese, Claudio, Mijatovic, Aleksandar
core
Uluslararası Ekonomi, İşletme ve Politika DergisiThis study analyzes the asymmetric effects of global financial stress, exchange rate volatility, and energy market uncertainty on the Turkish stock market during the period 2010-2025.
Bayram Erkin Ay
doaj +1 more source
Information‐Theoretic Approach to Financial Market Modeling
Mathematical Finance, EarlyView.ABSTRACT The paper treats the financial market as a communication system, using four information‐theoretic assumptions to derive an idealized model with only one parameter. State variables are scalar stationary diffusions. The model maximizes the surprisal of the market and minimizes the Kullback–Leibler divergence between the benchmark‐neutral pricing
Eckhard Platen
wiley +1 more source