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Application of penalized splines method in the credit market

2008

Persistent link: https://www.econbiz.de/10003738379

Securitization of mortgage debt, asset prices and international risk sharing

Hoffmann, Mathias; Nitschka, Thomas - 2009

We explore the impact of mortgage securitization on the international diversification of macroeconomic risk. By making … mortgage-related risks internationally tradeable, securitization contributes considerably to better international consumption … risk sharing: we find that countries with the most highly developed markets for securitized mortgage debt have consumption …

Persistent link: https://www.econbiz.de/10003806732

What Drives the Time-Series and Cross-Sectional Variations in Bank Capital Ratios? Evidence from Japan

Chen, Sichong - 2011

This paper documents the time-series and cross-sectional variations in bank capital ratios and investigates their underlying driving forces using listed Japanese bank data from 1977 to 2009. We derive an overall framework in the form of a present-value model to decompose the ariation in bank...

Persistent link: https://www.econbiz.de/10013119486

Periodic Integration and Cointegration of U.S. Stock Prices, Dividends, and Interest Rates : A New Test of the Present Value Model

Shirwani, Hassan; Delcoure, Natalya; Wilbratte, Barry J. - 2012

This paper presents a new test of the present value model of stock price determination, using some of the recent advances in the econometrics of seasonal time series. Unlike earlier studies which generally find stock prices, dividends, and interest rates to be characterized by standard...

Persistent link: https://www.econbiz.de/10014043638

Nexus between Stock Price Volatility and Selected Macroeconomic Variables : Evidence from Nifty 50

Karthika, Dr. P. - 2017

India is taken into account a high potential investment destination all-over the world even though it has some challenges like political, social, cultural complexities.Wide literature survey is available on the macroeconomic factors affecting the Indian stock market volatility. There is a...

Persistent link: https://www.econbiz.de/10012950238

The interaction between stock prices and interest rates in Turkey : empirical evidence from ARDL bounds test cointegration

Tursoy, Turgut - In: Financial innovation : FIN 5 (2019) 7, pp. 1-12

This paper demonstrates a significant, long-running relationship between stock prices and domestic interest rates in Turkey’s financial markets for the period of 2001 M1 – 2017 M4. Cointegration analysis is investigated using the autoregressive-distributed lag bounds (ARDL Bounds) test and...

Persistent link: https://www.econbiz.de/10011972648

Sensitivity of the Bank Stock Returns Distribution to Changes in the Level and Volatility of Interest Rate : A GARCH-M Model

Elyasiani, Elyas - 2016

The objective of this paper is to employ the generalized autoregressive conditionally heteroskedastic in the mean (GARCH-M) methodology to investigate the effect of interest rate and its volatility on the bank stock return generation process. This framework discards the restrictive assumptions...

Persistent link: https://www.econbiz.de/10013006325

Frontiers of Macrofinancial Linkages

Claessens, Stijn - 2018

The Great Financial Crisis of 2007-09 confirmed the vital importance of advancing our understanding of macrofinancial linkages, the two-way interactions between the real economy and the financial sector. The crisis was a bitter reminder of how sharp fluctuations in asset prices, credit and...

Persistent link: https://www.econbiz.de/10012929483

Credit Information Sharing and Stock Price Crash Risk : The Role of Information Asymmetry and Bank Regulations

Teeranutranont, Chanon - 2018

This paper attempts to investigate the impact of credit information sharing on bank-specific stock price crash risk. Using a sample of 1,402 listed-banks in 55 countries for the period 2005-2013, we show that credit information sharing through public credit registries is negatively associated...

Persistent link: https://www.econbiz.de/10012926760

On Pricing Kernels, Information and Risk

Wilcox, Diane - 2015

We discuss the finding that cross-sectional characteristic based models have yielded portfolios with higher excess monthly returns but lower risk than their arbitrage pricing theory counterparts in an analysis of equity returns of stocks listed on the JSE. Under the assumption of general...

Persistent link: https://www.econbiz.de/10013034895