Showing 1 - 10 of 519
of climate risks. This paper introduces a model of climate risk hedging and estimates that approximately three percent of …
Persistent link: https://www.econbiz.de/10015199518
Yield curves built from liquid instruments tend to exhibit specific features, both in term of smoothness and in term of patterns. The paper presents empirical evidence that those liquid yiled curves frequently conform to a specific functional form. This specific functional form is predicted by a...
Persistent link: https://www.econbiz.de/10011604194
stance. When decomposing the VIX into two components, a proxy for risk aversion and expected stock market volatility … ("uncertainty"), we find that a lax monetary policy decreases both risk aversion and uncertainty, with the former effect being …. The effect of monetary policy on risk aversion is also apparent in regressions using high frequency data …
Persistent link: https://www.econbiz.de/10013080094
We examine the existence of physical and transition climate risk premia in euro areaequity markets. To do so, we … develop two novel physical and transition risk indicators, basedon text analysis, which are then used to gauge the presence of … climate risk premia. Resultssuggest that climate risk premia for both, transition and physical climate risk, have …
Persistent link: https://www.econbiz.de/10013404918
This paper studies the effects of imperfect risk-sharing between lenders and borrowers on commercial property prices … enhance risk-sharing between lenders and borrowers reduce the magnitude of boom-bust cycles in real estate prices. We also …
Persistent link: https://www.econbiz.de/10012515460
by basic risk-arbitrage relationships. Employing GMM estimation and monthly data for 18 economies and the US (treated as …
Persistent link: https://www.econbiz.de/10011604929
Large-Scale Asset Purchases can impact the price of securities directly, when securities are targeted by the central bank, or indirectly through portfolio re-balancing of private investors. We quantify both the direct and the portfolio re-balancing impact, emphasizing the role of investor...
Persistent link: https://www.econbiz.de/10014543663
crisis. We propose a macro-finance model featuring both traditional and shadow banks subject to funding risk. When banks are … dynamics. Increasing the supply of reserves reduces liquidity risk in the traditional banking sector, but fails to reach the …
Persistent link: https://www.econbiz.de/10012389553
This paper considers the role of foreign investors in developed-country equity markets. It presents a quantitative model of trading that is built around two new assumptions: (i) both the foreign and domestic investor populations contain investors of different sophistication, and (ii) investor...
Persistent link: https://www.econbiz.de/10011604356
differentials between bonds issued by EU countries and Germany or the USA contain risk premia which increase with the debt, deficit … credit risk, measured as the yield spread between low grade US corporate bonds and government bonds, also affects bond yield …
Persistent link: https://www.econbiz.de/10011604415