Search Results - subject_exact:"Interest rate spread"

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Quantitative easing and direct lending in response to the COVID-19 crisis

Occhino, Filippo - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015471284

An empirical investigation on the determinants of interest rate spread of commercial banks in Bangladesh

Hossain, Akash; Lalon, Raad Mozib - 2024

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015085389

Repo market networks : dynamics under financial stress

Schöller, Vanessa - 2026

The smooth functioning of the repo market is essential to financial stability. However, the market has faced repeated episodes of stress in recent years. This paper examines the resilience of the euro-denominated repo market during recent episodes of elevated financial stress, drawing on...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015618106

Sovereign spreads and the political leaning of nations

Cotoc, Johnny; Johri, Alok; Sosa Padilla, César - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015472871

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Sovereign spreads and the political leaning of nations

Cotoc, Johnny; Johri, Alok; Sosa Padilla, César - 2023

Book / Working Paper

Sovereign bond spreads and climate risk : an empirical analysis in the Euro Area

Capriotti, Alessio; Muzzioli, Silvia - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015654388

Determinants of interest rate spreads in the banking industry : an empirical study in an emerging country

Ngo Xuan; Le Huong; Bui Linh - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015407654

Sectoral credit allocation and interest rate spreads worldwide

Kwak, Jun Hee - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015508792

Long memory in Latin American sovereign risk : daily evidence on the EMBI

Asturias Schaub, Luis Rodrigo; Caporale, Guglielmo Maria; … - 2026

This paper analyses the long-memory properties of sovereign bond spreads in 17 Latin American countries as well as two regional aggregates using daily EMBI (Emerging Markets Bond Index) data from April 2013 to January 2026 (3,163 observations per series). Parametric methods show that all 19...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015654662

The effects of increased Korea Treasury Bond issuance on the yield curve

Kim, Meeroo; Hong, Jong Soo - 2026

This study examines the impact of the sharp increase in Korea Treasury Bond (KTB) issuance following the COVID-19 crisis and analyzes the effects of bond buybacks as a policy countermeasure. Using a dynamic Nelson-Siegel model with macroeconomic factors, we estimate the effects of changes in the...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015654796

Liquidity preference, interest rate spread, and the transformation of the US financial system

Yoon, Yeo Hyub; Neupane, Grishma - 2024

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015386528

Optimal conventional and unconventional monetary policy mix

Alpanda, Sami; Kabaca, Serdar; Mavromatis, Kostas - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015563940

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Optimal conventional and unconventional monetary policy mix

Alpanda, Sami; Kabaca, Serdar; Mavromatis, Kostas - 2026 - Last updated: June 2, 2026

Edition: Last updated: June 2, 2026

Book / Working Paper

Impact of exchange rate fluctuation, interest rate spread and inflation on the profitability of Nepalese commercial banks

Deshar, Asmita - 2024

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014445854

Transfer learning of discount curves between bonds and swaps : an empirical study

Camenzind, Nicolas; Filipović, Damir - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015609770

Explaining contract heterogeneity in the credit card market

Chatterjee, Satyajit; Eyigungor, Burcu - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015609891

Self-driving neural networks for term structure modeling

Kooiker, Sicco; Brummelen, Janneke van; Schaumburg, Julia; … - 2026

We propose a factor model with time-varying loadings for term structure modeling and fore casting. While maintaining the interpretation of the factors as level, slope, and curvature through explicit identification restrictions, we allow the loadings to take flexible shapes by specifying them as...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015611785

A market-based assessment of the outlook for inflation : expectations and monetary policy in South Africa

Christensen, Jens H. E.; Steenkamp, Daan - 2026

Using a novel arbitrage-free dynamic term structure model of nominal and real bond prices that accounts for bond-specific liquidity risk premia, this paper provides estimates of bond investors' inflation expectations and associated inflation risk premia in South African sovereign bonds. The...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015612457

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A market-based assessment of the outlook for inflation expectations and monetary policy in South Africa

Christensen, Jens H. E.; Steenkamp, Daan - 2026

Book / Working Paper

Intermediation, Interrupted? Bank-Level Analysis of Interest Spreads in Montenegro

Cevik, Serhan - 2026

Financial intermediation in Montenegro has been on a declining trend since independence, with domestic credit to the private sector decreasing from a peak of 86.5 percent of GDP in 2008 to 46.4 percent in 2024. Net interest margin (NIM)—a common indicator of intermediation costs—has remained...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015612601

Monetary policy and private equity acquisitions : tracing the links

Avalos, Fernando; Hofmann, Boris; Serena, José María - 2026 - This version: 19 January 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015613610

Overnight interbank rate volatility across liquidity states : key drivers and policy implications

Mukhtarov, Elmir; Hajili, Ali; Garayeva, Aygun; … - 2026

Effective monetary policy requires maintaining the short-term interbank rate close to the policy rate while limiting its volatility, ensuring smooth transmission, and reducing banks' liquidity and interest rate risks. This paper seeks to identify and explain the drivers of volatility in...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015614335

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Overnight interbank rate volatility across liquidity states : key drivers and policy implications

Mukhtarov, Elmir; Hajili, Ali; Garayeva, Aygun; … - 2025

Book / Working Paper

The spillovers of LSAPs on banks in the euro area

Graziano, Marco; Koechlin, Marius; Tischbirek, Andreas - 2026

We study the spillovers of large-scale asset purchases (LSAPs) in the U.S. on financial intermediation in the euro area using bank-level supervisory data and high-frequency identified policy surprises. Our detailed panel data permit us to trace the impact of LSAPs through bank balance sheets. We...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015592007

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The spillovers of LSAPs on banks in the euro area

Graziano, Marco; Koechlin, Marius; Tischbirek, Andreas - 2026

Book / Working Paper

The CDS basis in the European market

Heidorn, Thomas; Klaus, Juergen; Mazzalupi, Riccardo - 2026

The relationship between Credit Default Swaps (CDS) and cash bonds plays a pivotal role in providing market participants with important information which directly affects investment and risk management strategies. Particularly relevant is the CDS-Bond basis, defined as the difference in basis...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015595089

A rotated dynamic factor model for the yield curve : squeezing out information when it matters

Casoli, Chiara; Lucchetti, Riccardo - 2026

The yield curve is widely regarded as a powerful descriptor of the economy and market expectations. A common approach to its statistical representation relies on a small number of factors summarizing the curve, which can then be used to forecast real economic activity. We argue that optimal...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015588201

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A rotated dynamic factor model for the yield curve : squeezing out information when it matters

Casoli, Chiara; Lucchetti, Riccardo - 2026

Book / Working Paper

Estimating ultra long-term interest rates with raise regression

Rodríguez-Sánchez, Ainara; Zhang, Hairui; De Ceuster, … - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015591651

Higher-order forward guidance

Dordal i Carreras, Marc; Lee, Seung Joo - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015578338

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Higher-order forward guidance

Dordal i Carreras, Marc; Lee, Seung Joo - 2025

Book / Working Paper

A model of network formation for the overnight interbank market : when is core-periphery an illusion?

Anufriev, Mikhail; Deghi, Andrea; Panchenko, Valentyn; … - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015578346

Inflation targeting and the dynamics of inflation risk premia in South Africa's bond market

Allison, Chloë; Wet, Theuns de - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015624793

Revisiting shadow short-term interest rate models : evidence from the ultra-low interest rate environment in Japan

Oi, Hiroyuki; Shiratsuka, Shigenori; Yoneyama, Shunichi - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015626416

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Revisiting shadow short-term Interest rate models : evidence from the ultra-low interest rate environment in Japan

Oi, Hiroyuki; Shiratsuka, Shigenori; Yoneyama, Shunichi - 2026

Book / Working Paper

Revisiting shadow short-term interest rate models : evidence from the ultra-low interest rate environment in Japan

Oi, Hiroyuki; Shiratsuka, Shigenori; Yoneyama, Shunichi - 2026

Book / Working Paper

Risk premiums, market volatility, and exchange rate dynamics : evidence from the Yen carry trade

Guyot, Opale; Montgomery, Heather; Yang, Peiqing - 2026

Persistent deviations from Uncovered Interest Rate Parity (UIRP) represent a central puzzle in international finance and a key source of currency risk for global investors. This study examines the UIRP puzzle in the JPY/USD market through the lens of financial risk transmission, focusing on how...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015638924

Contagion and default risks in derivative pricing : a Hawkes-based model

Agana, Francis; Maré, Eben - 2026

Modern financial systems do not exist in isolation but form part of a complex global network of interconnected financial systems. This globalization of financial systems significantly increases the risk of contagion in financial markets, impacting asset prices and other important economic...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015638968

Persistence and long-run linkages between US stock market prices and bond yields

Salazar, Juan Diego Cafferata; Caporale, Guglielmo Maria; … - 2026

This paper uses fractional integration and cointegration methods to examine the persistence and long-run relationship between the S&P 500 index and the nominal yield to maturity of 10-year US Treasury bonds (GS10) over the period from January 1954 to December 2024. The results indicate that both...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015639090

Bail-in or bailout? : regulatory power in coco bond yields

Chen, Jiacheng; Farkas, Walter; Lucescu, Patrick - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015640041

A new functional setting for term structure modeling using the Heath-Jarrow-Morton framework

Pokojovy, Michael; Nkum, Ebenezer; Fullerton, Thomas M. - 2026

The well-known Heath-Jarrow-Morton (HJM) framework provides a universal and efficacious instrument for modeling the stochastic evolution of an entire yield curve by explaining the interest rate dynamics in continuous time under no-arbitrage conditions. Existing implementations involve...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015640561

Modeling the probability of default term structure using different methodologies under IFRS 9

Moremoholo, Kgotso Rudolf; Shongwe, Sandile Charles; … - 2026

To mitigate credit risk, banks are required to set aside a specific amount as a safety net to absorb the expected loss on a banks' loan portfolio called loan loss provisions (LLPs) or provisions for bad debts. All banks worldwide had to adopt International Financial Reporting Standard 9 (IFRS 9)...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015643351

Central bank crisis interventions and the term structure of market fear

Bevilacqua, Mattia; Daníelsson, Jón; Ergun, Lerby; … - 2026 - Last updated: May 25, 2026

We study the impact of Fed crisis interventions on market fears - the perceived risk of large asset price drops. To do so, we develop a methodological framework that allows us to evaluate the causal effect of unexpected Fed actions on changes in market fears. We extract daily fear term...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015655620

Currency differences in the determinants of corporate bond spreads : evidence from Peruvian issuers

Cisneros Rojas, Gerald Alex - 2026

This paper provides issuance-level evidence from an emerging economy with a dual-currency primary bond market, showing that currency denomination not only affects the level of corporate bond spreads but also fundamentally reshapes the transmission of macro-financial shocks across credit ratings....

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015647186

Tales that cost : folklore and bank loan spreads

Godlewski, Christophe J.; Weill, Laurent - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015647424

How interest rate swape reshape the yield curve

Fu, Xuewen (Frank) - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015647632

US yield curve shift and slope shocks : domestic transmission and global spillovers

Kumar, Abhishek - 2026

We identify two novel US monetary policy shocks by combining high-frequency surprises around policy announcements with an estimated yield curve. The first, termed the shift shock, generates a humpshaped movement of the yield curve in the US without altering its slope. The second, the slope...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015651879