Results 91 to 100 of about 2,168 (228)
The Journal of Finance, EarlyView.ABSTRACT We show that FX interventions can be effective, particularly in attenuating global financial spillovers. We exploit global financial shocks and Brazilian central bank interventions in FX derivatives using three matched administrative registers: bank credit (to firms), foreign credit to banks, and employer‐employees. After the U.S.
RODRIGO BARBONE GONZALEZ +3 more
wiley +1 more source
The Journal of Finance, EarlyView.ABSTRACT We propose a measure of the valuation gap between debt and equity—debt‐equity spread (DES)—based on the difference between actual and equity‐implied credit spreads. DES predicts cross‐sectional stock and bond returns in opposite directions.
HUI CHEN, ZHIYAO CHEN, JUN LI
wiley +1 more source
Forward looking information in S&P 500 options [PDF]
Implied volatility generated from observed option prices reflects market expectations of future volatility. This paper determines whether or not, implied volatilities, and hence market expectations, contain any genuinely forward looking information not ...
Scott I White +2 more
core
The Market for Volatility Trading; VIX Futures [PDF]
, 2007 This paper analyses the new market for trading volatility; VIX futures. We first use market data to establish the relationship between VIX futures prices and the index itself.
Brenner, Menachem +2 more
core
Risk Management of Risk under the Basel Accord: Forecasting Value-at-Risk of VIX Futures [PDF]
The Basel II Accord requires that banks and other Authorized Deposit-taking Institutions (ADIs) communicate their daily risk forecasts to the appropriate monetary authorities at the beginning of each trading day, using one or more risk models to measure ...
Michael McAleer +3 more
core +2 more sources
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
Is There an Information Channel of Monetary Policy?
Oxford Bulletin of Economics and Statistics, EarlyView.ABSTRACT Exploiting the heteroskedasticity of the changes in short‐term and long‐term interest rates and exchange rates around the FOMC announcement, we identify three structural monetary policy shocks. We eliminate the predictable part of the shocks and study their effects on financial variables and macro variables.
Oliver Holtemöller +2 more
wiley +1 more source
Extreme Asymmetric Volatility: VIX and S&P 500
, 2014 Asymmetric volatility in equity markets has been widely documented in finance (Bekaert and Wu (2000)). We study asymmetric volatility for daily S&P 500 index returns and VIX index changes, thereby examining the relation between extreme changes in risk ...
Aboura, Sofiane, Wagner, Niklas
core +1 more source
The Anáhuac Journal, 2023 A series of econometric tests is proposed to study the impact of the VXY and EM-VXY indices on the implicit volatility of at-the-money options of the USD/MXN exchange rate and the premiums on their call and put options.
Daniel García Luna Romero +3 more
doaj
Understanding expectations formation for hand‐to‐mouth households: lessons from the financial crisis
The Scandinavian Journal of Economics, EarlyView.Abstract We study how poor hand‐to‐mouth and wealthy hand‐to‐mouth households in the United States form their expectations as compared to unconstrained households. To do so, we use monthly household data for the period 2005:2 to 2013:6 with information on the exact survey day for each household within a month.
Tufan Ekici +2 more
wiley +1 more source