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Crossing the credit channel : credit spreads and firm heterogeneity

Anderson, Gareth; Cesa-Bianchi, Ambrogio - 2020

Credit spreads rise after a monetary policy tightening, yet spread reactions are heterogeneous across firms. Exploiting … with high leverage experience a more pronounced increase in credit spreads than firms with low leverage. A large fraction … of this increase is due to a component of credit spreads that is in excess of firms' expected default. Our results …

Persistent link: https://www.econbiz.de/10012485947

Collateral in Loan Classification and Provisioning

Song, Inwon - 2002

Adequate loan classification practices are an essential part of a sound and effective credit risk-management process in … a bank. Failure to identify deterioration in credit quality in a timely manner can aggravate and prolong the problem …

Persistent link: https://www.econbiz.de/10014399648

Systemic Risk from Global Financial Derivatives : A Network Analysis of Contagion and Its Mitigation with Super-Spreader Tax

Markose, Sheri M. - 2012

Financial network analysis is used to provide firm level bottom-up holistic visualizations of interconnections of financial obligations in global OTC derivatives markets. This helps to identify Systemically Important Financial Intermediaries (SIFIs), analyse the nature of contagion propagation,...

Persistent link: https://www.econbiz.de/10014395549

The Information Content of Prices in Derivative Security Markets

Scott, Louis O. - 1991

Prices in futures markets and option markets reflect expectations about future price movements in spot markets, but these prices can also be influenced by risk premia. Futures and forward prices are sometimes interpreted as market expectations for future spot prices, and option prices are used...

Persistent link: https://www.econbiz.de/10014395868

Measuring off-Balance-Sheet Leverage

Breuer, Peter - 2000

-balance-sheet activities. This paper provides measures of leverage implicit in derivative contracts by decomposing the contracts into cash …

Persistent link: https://www.econbiz.de/10014398157

Comfort in floating : taking stock of twenty years of freely-floating exchange rate in Chile

Albagli, Elías; Calani, Mauricio; Hadzi-Vaskov, Metodij; … - 2020

Chile offers an example of a country that has overcome the fear of floating by reducing balance sheet mismatches, enhancing financial market development, as well as improving monetary, fiscal, and political institutions, and strengthening policy credibility. Under the floating regime, Chile's...

Persistent link: https://www.econbiz.de/10012252010

Central Banks Use of Derivatives and Other Contingent Liabilities : Analytical Issues and Policy Implications

Schumacher, Liliana - 2000

Whereas some central bank derivatives and other contingent liabilities arise from anomalous circumstances, there are a number of positive reasons that explain their popularity. After analyzing the rationale for these operations, we stress that most of these operations, being off-balance sheet,...

Persistent link: https://www.econbiz.de/10014399873

Derivatives Effecton Monetary Policy Transmission

Vrolijk, Coenraad - 1997

: interest rates, credit, and exchange rates. Theoretically, derivatives trading speeds up transmission to financial asset prices … the size of the U.K. derivative markets. No definitive empirical support for a change in the transmission process is found …

Persistent link: https://www.econbiz.de/10014401217

Monetary Implications of Cross-Border Derivatives for Emerging Economies

Méndez Morales, Armando - 2001

cross-border currency and interest rate derivative operations in calm and turbulent periods, with a view of extracting … substitutability, and incorporate the enriched information set provided by derivative-based transactions into monetary policy design …

Persistent link: https://www.econbiz.de/10014403813

Puttable and Extendible Bonds : Developing Interest Rate Derivatives for Emerging Markets

Neftci, Salih N. - 2003

interest-rate derivative markets, and their use by governments. Their stabilizing properties imply that, when bond prices fall … gains from hedging long-term bonds with interest rate derivatives. These bonds can help develop interest-rate derivative …

Persistent link: https://www.econbiz.de/10014404000