Rafael Flores De Frutos."A VARMA Approach to Estimating Term Premia:The case of the Spanish Interbank Money Market". Applied Financial Economics . 1995Robles, M.D. y R. Flores de Frutos (2000) "Time varying term premia and risk: the case of the Spanish interbank money market", Applied ...
329.1.3. The KfW-Bund spread Our identification of a liquidity-related latent factor is partly based on the yield spread between German federal bonds and KfW agency bonds (see the lower plot of Fig...Pilegaard, R., A. Durre, and S. Evjen: 2003, `Estimating risk premia in money market...
Define Risk premium. Risk premium synonyms, Risk premium pronunciation, Risk premium translation, English dictionary definition of Risk premium. n. 1. The possibility of suffering harm or loss; danger. 2. A factor, thing, element, or course involving unc
Global economic downturns and multiple extreme events threaten Vietnam's economy, leading to a surge in stock market risk and significant spillovers. This study investigates market risk spillovers and explores the asymmetric effects of macroeconomic indicators on market risk across 24 sectors in Vietnam...
This sharp increase is also observed in the spread between euro-denominated general collateral repos (EUREPO) and EURIBOR, which is another measure of interbank risk premia. This phenomenon has two outstanding characteristics. Firstly, it is not caused by an increase in the EURIBOR rate. Contrary...
(2020), who find that inflation risk premia vary over time, we estimate inflation risk exposure on a rolling-window basis. For each firm i from quarter t-19 to t, we estimate the following regression model by extending the sample period to 1996Q1–2020Q3 so that the estimates are ...
The systemic risk measure, defined as the insurance cost to protect against distressed losses in a banking system, is a summary indicator of market perceived risk that reflects expected default risk of individual banks, risk premia as well as correlated defaults. An application of our methodology ...
We develop a dynamic model in which the relationship between... Carlos González-Aguado,Javier Suarez - 《Journal of Money Credit & Banking》 被引量: 34发表: 2011年 The Effect of Interest Rates on the Value of Corporate Assets and the Risk Premia of Corporate Debt A growing number of ...
It should be clear that interventions this large will have an impact on bond prices, and from there potentially feedback on bank׳s balance sheets through increased risk premia, lower bond prices and further capital losses. Of course capital losses will only occur if the debt is of a ...
This study explores the impact of real economic policy (business condition risk) on the oil–stock nexus risk connectedness during the COVID-19 pandemic. It uses multivariate wavelet coherency and partial wavelet coherency methods to isolate the effects of global risk indices, such as the US econo...