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  1. Sovereign bonds since Waterloo
    Author: Meyer, Josefin; Reinhart, Carmen M.; Trebesch, Christoph
    Published: February 2019
    Publisher:  National Bureau of Economic Research, Cambridge, MA

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Print
    Series: Working paper series / National Bureau of Economic Research ; 25543
    Subjects: Öffentliche Anleihe; Internationale Staatsschulden; Rendite; Risikoprämie; Wirtschaftsgeschichte; USA; Großbritannien; sovereign debt; default; risk premiums; investor returns; interest rates; portfolio; yields; coupons; recovery
    Scope: 43, 33 Seiten, Illustrationen
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    Erscheint auch als Online-Ausgabe
  2. Key determinants of net interest margin of EU banks in the zero lower bound of interest rates
    Author: Hanzlík, Petr; Teplý, Petr
    Published: [2019]
    Publisher:  Institute of Economic Studies, Faculty of Social Sciences, Charles University in Prague, Prague

    In this paper, we analyse a relationship between net interest margin (NIM) of EU banks and market interest rates in a low-interest rate environment. We contribute to the literature when examining a large sample of annual data on 629 banks from EU... more

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    In this paper, we analyse a relationship between net interest margin (NIM) of EU banks and market interest rates in a low-interest rate environment. We contribute to the literature when examining a large sample of annual data on 629 banks from EU member countries during the 2011-2016 period, which also covers the period of zero and negative rates. We test three hypotheses and come to the three main conclusions. First, NIM eroded during the whole observed period for all types of investigated banks. Second, a higher market concentration, proxied by the Herfindahl index, leads to higher NIM. Finally, we show a positive concave relationship of NIM with short-term interest rate observed in previous studies, which supports the suspected non-linearity in situation of zero lower bound of interest rates. Contrary to other researchers, we find a negative relationship between NIM and the yield curve slope.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/203220
    Series: IES working paper ; 2019, 2
    Subjects: banks; net interest margin; Herfindahl index; interest rates; profitability; system GMM
    Scope: 1 Online-Ressource (circa 31 Seiten), Illustrationen
  3. The dynamic impact of FX interventions on financial markets
    Author: Menkhoff, Lukas; Rieth, Malte; Heidland, Tobias
    Published: 2019
    Publisher:  Verein für Socialpolitik, [Leipzig]

    Evidence on the effectiveness of FX interventions in the prevailing higher frequency approaches leaves a gap at horizons going beyond a few days. This is addressed by identifying a structural vector autoregressive model for the daily frequency with... more

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    Evidence on the effectiveness of FX interventions in the prevailing higher frequency approaches leaves a gap at horizons going beyond a few days. This is addressed by identifying a structural vector autoregressive model for the daily frequency with an external instrument. Using Japanese data, we find that FX interventions significantly affect exchange rates, although the effect is smaller than in emerging markets, and this impact persists for up to a year. There is no major effect on interest rates, but stock prices increase in line with currency devaluation, in particular those of large (exporting) firms. The results qualitatively hold for US and UK interventions.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
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    hdl: 10419/203504
    Series: Array ; Array
    Subjects: Foreign exchange intervention; structural VAR; exchange rates; interest rates; stock prices
    Scope: 1 Online-Ressource (circa 40 Seiten), Illustrationen
  4. Blue-collar crime and finance
    Author: Bernales, Alejandro; Beuermann, Diether W.; Cumming, Douglas J.; Olid, Christian
    Published: June 2019
    Publisher:  Inter-American Development Bank (IDB), [Washington, DC]

    Relatively little is known about the effects of blue-collar crime (theft, robbery, vandalism or arson) on financial decisions. Previous literature has focused its attention either on 'regional' crime rates or the 'perception' of crime as business... more

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    Relatively little is known about the effects of blue-collar crime (theft, robbery, vandalism or arson) on financial decisions. Previous literature has focused its attention either on 'regional' crime rates or the 'perception' of crime as business obstacles. Instead, we examine financing terms of 'individual' firms that 'effectively' experimented blue-collar crime events. We show that blue-collar crime worsens the access and conditions to external financing, which is unexpected since firms do not have to reveal to lenders that they suffered such crime incidents. We also find evidence that firm-information leakages may explain the negative effects of blue-collar crime on financing terms.

     
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    46
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/208179
    Series: IDB working paper series ; no. IDB-WP-1005
    Subjects: blue-collar crime; finance; interest rates; loans
    Scope: 1 Online-Ressource (circa 41 Seiten)
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    Datei gelöscht auf Wunsch der Autoren
  5. The dynamic impact of FX interventions on financial markets
    Author: Menkhoff, Lukas; Rieth, Malte; Heidland, Tobias
    Published: [2019]
    Publisher:  Collaborative Research Center Transregio 190, Munich, Germany

    Evidence on the effectiveness of FX interventions is either limited to short horizons or hampered by debatable identification. We address these limitations by identifying a structural vector autoregressive model for the daily frequency with an... more

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    Evidence on the effectiveness of FX interventions is either limited to short horizons or hampered by debatable identification. We address these limitations by identifying a structural vector autoregressive model for the daily frequency with an external instrument. Applying this approach to the most important, freely floating currencies, we find that FX intervention shocks significantly affect exchange rates and that this impact persists for months. We show for Japan and the US that interest rates tend to fall in response to sales of the domestic currency, whereas stock prices of large (exporting) firms increase after devaluation of the domestic currency.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
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    hdl: 10419/222102
    Series: Discussion paper / Rationality & Competition, CRC TRR 190 ; no. 205 (December 4, 2019)
    Subjects: Foreign exchange intervention; structural VAR; exchange rates; interest rates; stock prices
    Scope: 1 Online-Ressource (circa 52 Seiten), Illustrationen
  6. Pricing interest rate, dividend, and equity risk
    Author: Willems, Sander
    Published: 2019
    Publisher:  Ecole Polytechnique Fédérale de Lausanne, Lausanne

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    Source: Union catalogues
    Language: English
    Media type: Dissertation
    Format: Online
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    Subjects: mathematical finance; derivative pricing; term structure models; interest rates; polynomial processes; orthogonal polynomials; dividend derivatives
    Scope: 1 Online-Ressource (xi, 111 Seiten), Illustrationen
    Notes:

    Enthält 3 Beiträge

    Dissertation, EPFL Lausanne, 2019
  7. Structural factor analysis of interest rate pass through in four large euro area economies
    Author: Banerjee, Anindya; Bystrov, Victor; Mizen, Paul
    Published: [2019]
    Publisher:  Faculty of Economics and Sociology, University of Lodz, [Lodz]

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    Source: Union catalogues
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    Other identifier:
    hdl: 11089/28236
    Series: Lodz economics working papers ; 2019, 1
    Subjects: monetary policy; dynamic factor models; interest rates; pass through
    Scope: 1 Online-Ressource (circa 42 Seiten), Illustrationen
  8. Interest rates
    Author: Monnet, Eric
    Published: 28 July 2019
    Publisher:  Centre for Economic Policy Research, London

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Array ; DP13896
    Subjects: interest rates; yield; central bank; usury law; market clearing (rationing)
    Scope: 1 Online-Ressource (circa 34 Seiten)
  9. Mortgage cash-flows and employment
    Author: Cumming, Fergus
    Published: December 13, 2019
    Publisher:  CFM, Centre for Macroeconomics, London

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    Media type: Book
    Format: Online
    Series: CFM discussion paper series ; CFM-DP 2019, 22
    Subjects: employment; interest rates; monetary policy; mortgages
    Scope: 1 Online-Ressource (circa 65 Seiten), Illustrationen
  10. Sovereign bonds since Waterloo
    Author: Meyer, Josefin; Reinhart, Carmen M.; Trebesch, Christoph
    Published: 2019
    Publisher:  Humboldt-Universität, Berlin

    This paper studies external sovereign bonds as an asset class. We compile a new database of 220,000 monthly prices of foreign-currency government bonds traded in London and New York between 1815 (the Battle of Waterloo) and 2016, covering 91... more

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    This paper studies external sovereign bonds as an asset class. We compile a new database of 220,000 monthly prices of foreign-currency government bonds traded in London and New York between 1815 (the Battle of Waterloo) and 2016, covering 91 countries. Our main insight is that, as in equity markets, the returns on external sovereign bonds have been sufficiently high to compensate for risk. Real ex-post returns averaged 7% annually across two centuries, including default episodes, major wars, and global crises. This represents an excess return of around 4% above US or UK government bonds, which is comparable to stocks and outperforms corporate bonds. The observed returns are hard to reconcile with canonical theoretical models and with the degree of credit risk in this market, as measured by historical default and recovery rates. Based on our archive of more than 300 sovereign debt restructurings since 1815, we show that full repudiation is rare; the median haircut is below 50%.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
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    hdl: 10419/223193
    Series: Working Papers of the Priority Programme 1859 ; no 12 (2019, October)
    Subjects: Öffentliche Anleihe; Internationale Staatsschulden; Rendite; Risikoprämie; Wirtschaftsgeschichte; USA; Großbritannien; sovereign debt; default; risk premiums; investor returns; interest rates; portfolio; yields; coupons; recovery
    Scope: 1 Online-Ressource (circa 79 Seiten), Illustrationen
  11. A two-tier system for remunerating banks’ excess liquidity in the euro area
    aims and possible side effects
    Author: Secchi, Alessandro
    Published: [2019]
    Publisher:  Banca d'Italia, [Rom]

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    Series: Questioni di economia e finanza / Banca d'Italia ; number 534 (December 2019)
    Subjects: interest rates; monetary policy implementation; unconventional monetary measures; liquidity management
    Scope: 1 Online-Ressource (circa 18 Seiten), Illustrationen
  12. Recent improvements to the public finance block of the OECD's long-term global model
    Author: Guillemette, Yvan
    Published: 2019
    Publisher:  OECD, Paris, France

    This paper documents recent extensions and revisions made to the model underlying the long-run global macroeconomic scenarios that are published every few years. First, a fiscal block is added for 11 countries that previously lacked one. Second,... more

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    This paper documents recent extensions and revisions made to the model underlying the long-run global macroeconomic scenarios that are published every few years. First, a fiscal block is added for 11 countries that previously lacked one. Second, public pension expenditure projections are made endogenous to the projected ratio of retirees to workers and to a hypothesis on the future evolution of benefit ratios. Cross-country differences in projected public pension expenditure thus reflect many factors, including the speed of population ageing, the evolution of employment rates for older people, especially females, and rules regarding the evolution of statutory retirement ages. Third, revised public health expenditure projections introduce a higher income elasticity in middle-income than high-income countries and makes the excess of health care inflation over GDP inflation (Baumol effect) endogenous to the projected labour productivity growth rate. And fourth, the determination of long-term interest rates is revised to associate the fiscal risk premium to net, as opposed to gross, government debt, and make its size conditional on euro area membership, the quality of public governance and the occurrence of systemic banking crises, while allowing a flight-to-safety effect during such crises to lower bond yields in countries that are providers of global safe assets.

     
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    Source: Staatsbibliothek zu Berlin
    Language: English
    Media type: Book
    Format: Online
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    Series: OECD Economics Department working papers ; no. 1581
    Subjects: Economics; Public pension expenditure; public health expenditure; interest rates; long-term scenarios
    Scope: 1 Online-Ressource (circa 27 Seiten), Illustrationen
  13. Interest rate dispersion in commercial loans
    Author: Moreno-Burbano, Stefany; Vargas-Vargas, Andrés; Vélez-Velásquez, Juan Sebastián
    Published: [2019]
    Publisher:  Banco de la Republica Colombia, Bogotá, Colombia

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    Source: Union catalogues
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    Series: Borradores de economía ; no. 1088 (2019)
    Subjects: interest rates; loans; price dispersion; mergers
    Scope: 1 Online-Ressource (circa 39 Seiten), Illustrationen
  14. Monetary policy and birth rates
    the effect of mortgage rate pass-through on fertility
    Author: Cumming, Fergus; Dettling, Lisa J.
    Published: December 2019
    Publisher:  Bank of England, London

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    Source: Union catalogues
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    Series: Staff working paper / Bank of England ; no. 835
    Subjects: Mortgages; monetary policy; birth rates; fertility; natality; interest rates
    Scope: 1 Online-Ressource (circa 48 Seiten), Illustrationen
  15. UK house prices and three decades of decline in the risk‑free real interest rate
    Author: Miles, David; Monro, Victoria
    Published: December 2019
    Publisher:  Bank of England, London

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    Source: Union catalogues
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    Series: Staff working paper / Bank of England ; no. 837
    Subjects: Immobilienpreis; Einkommen; Realzins; Großbritannien; Housing; house prices; financial stability; interest rates
    Scope: 1 Online-Ressource (circa 33 Seiten), Illustrationen
  16. Recent improvements to the public finance block of the OECD's long-term global model
    Author: Guillemette, Yvan
    Published: 2019
    Publisher:  OECD, Paris, France

    This paper documents recent extensions and revisions made to the model underlying the long-run global macroeconomic scenarios that are published every few years. First, a fiscal block is added for 11 countries that previously lacked one. Second,... more

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    This paper documents recent extensions and revisions made to the model underlying the long-run global macroeconomic scenarios that are published every few years. First, a fiscal block is added for 11 countries that previously lacked one. Second, public pension expenditure projections are made endogenous to the projected ratio of retirees to workers and to a hypothesis on the future evolution of benefit ratios. Cross-country differences in projected public pension expenditure thus reflect many factors, including the speed of population ageing, the evolution of employment rates for older people, especially females, and rules regarding the evolution of statutory retirement ages. Third, revised public health expenditure projections introduce a higher income elasticity in middle-income than high-income countries and makes the excess of health care inflation over GDP inflation (Baumol effect) endogenous to the projected labour productivity growth rate. And fourth, the determination of long-term interest rates is revised to associate the fiscal risk premium to net, as opposed to gross, government debt, and make its size conditional on euro area membership, the quality of public governance and the occurrence of systemic banking crises, while allowing a flight-to-safety effect during such crises to lower bond yields in countries that are providers of global safe assets.

     
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    Source: Staatsbibliothek zu Berlin
    Language: English
    Media type: Book
    Format: Online
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    Series: OECD Economics Department working papers ; no. 1581
    Subjects: Economics; Public pension expenditure; public health expenditure; interest rates; long-term scenarios
    Scope: 1 Online-Ressource (circa 27 Seiten), Illustrationen
  17. Monetary policy, credit institutions and the bank lending channel in the euro area
    Author: Altavilla, Carlo; Andreeva, Desislava Č.; Boucinha, Miguel; Holton, Sarah
    Published: Mai 2019
    Publisher:  European Central Bank, Frankfurt am Main, Germany

    As the euro area has a predominantly bank-based financial system, changes in the composition and strength of banks’ balance sheets can have very sizeable implications for the transmission of monetary policy. This paper provides an overview of... more

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    As the euro area has a predominantly bank-based financial system, changes in the composition and strength of banks’ balance sheets can have very sizeable implications for the transmission of monetary policy. This paper provides an overview of developments in banks’ balance sheets, profitability and risk-bearing capacity and analyses their relevance for monetary policy. We show that, while the transmission of standard policy interest rate cuts to firms and households was diminished during the crisis, in a context of financial market stress and weak bank balance sheets, unconventional monetary policy measures have helped to restore monetary policy transmission and pass-through to interest rates. We also document the extent to which these non-standard measures were successful in stimulating lending and which bank business models were more strongly affected. Finally, we show that the estimated impact of recent monetary policy measures on bank profitability does not appear to be particularly strong when all the effects on the macroeconomy and asset quality are taken into account.

     
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    Source: Staatsbibliothek zu Berlin
    Language: English
    Media type: Ebook
    Format: Online
    ISBN: 9789289936873
    Other identifier:
    hdl: 10419/207607
    Series: Occasional paper series / European Central Bank ; no 222 (May 2019)
    Subjects: monetary policy; interest rates; banks; credit
    Scope: 1 Online-Ressource (circa 47 Seiten), Illustrationen
  18. Unemployment surges in the EU
    the role of risk premium shocks
    Author: Bakker, Bas B.; Korczak, Marta; Krogulski, Krzysztof
    Published: 2019
    Publisher:  International Monetary Fund, [Washington, DC]

    In the last decade, over half of the EU countries in the euro area or with currencies pegged to the euro were hit by large risk premium shocks. Previous papers have focused on the impact of these shocks on demand. This paper, by contrast, focuses on... more

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    In the last decade, over half of the EU countries in the euro area or with currencies pegged to the euro were hit by large risk premium shocks. Previous papers have focused on the impact of these shocks on demand. This paper, by contrast, focuses on the impact on supply. We show that risk premium shocks reduce the output level that maximizes profit. They also lead to unemployment surges, as firms are forced to cut costs when financing becomes expensive or is no longer available. As a result, all countries with risk premium shocks saw unemployment surge, even as euro area core countries managed to contain unemployment as firms hoarded labor during the downturn. Most striking, wage bills in euro area crisis countries and the Baltics declined even faster than GDP, whereas in core euro area countries wage shares actually increased

     
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  19. Sovereign bonds since Waterloo
    Author: Meyer, Josefin; Reinhart, Carmen M.; Trebesch, Christoph
    Published: [2019]
    Publisher:  CESifo, Center for Economic Studies & Ifo Institute, Munich, Germany

    This paper studies external sovereign bonds as an asset class. We compile a new database of 220,000 monthly prices of foreign-currency government bonds traded in London and New York between 1815 (the Battle of Waterloo) and 2016, covering 91... more

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    This paper studies external sovereign bonds as an asset class. We compile a new database of 220,000 monthly prices of foreign-currency government bonds traded in London and New York between 1815 (the Battle of Waterloo) and 2016, covering 91 countries. Our main insight is that, as in equity markets, the returns on external sovereign bonds have been sufficiently high to compensate for risk. Real ex-post returns averaged 7% annually across two centuries, including default episodes, major wars, and global crises. This represents an excess return of around 4% above US or UK government bonds, which is comparable to stocks and outperforms corporate bonds. The observed returns are hard to reconcile with canonical theoretical models and with the degree of credit risk in this market, as measured by historical default and recovery rates. Based on our archive of more than 300 sovereign debt restructurings since 1815, we show that full repudiation is rare; the median haircut is below 50%.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/198866
    Series: Array ; no. 7506 (February 2019)
    Subjects: Öffentliche Anleihe; Internationale Staatsschulden; Rendite; Risikoprämie; Wirtschaftsgeschichte; USA; Großbritannien; sovereign debt; default; risk premiums; investor returns; interest rates; portfolio; yields; coupons; recovery
    Scope: 1 Online-Ressource (circa 79 Seiten), Illustrationen
  20. Housing markets, expectation formation and interest rates
    Author: Martin, Carolin; Schmitt, Noemi; Westerhoff, Frank H.
    Published: 2019
    Publisher:  Bamberg Economic Research Group, Bamberg University, Bamberg

    Based on a behavioral stock-flow housing market model in which the expectation formation behavior of boundedly rational and heterogeneous investors may generate endogenous boom-bust cycles, we explore whether central banks can stabilize housing... more

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    Based on a behavioral stock-flow housing market model in which the expectation formation behavior of boundedly rational and heterogeneous investors may generate endogenous boom-bust cycles, we explore whether central banks can stabilize housing markets via the interest rate. Using a mix of analytical and numerical tools, we find that the ability of central banks to tame housing markets by increasing the base (target) interest rate, thereby softening the demand pressure on house prices, is rather limited. However, central banks can greatly improve the stability of housing markets by following an interest rate rule that adjusts the interest rate with respect to mispricing in the housing market.

     
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    Source: Union catalogues
    Language: English
    Media type: Ebook
    Format: Online
    ISBN: 9783943153637
    Other identifier:
    hdl: 10419/191903
    Series: BERG working paper series ; no. 142 (January 2019)
    Subjects: Housing markets; heterogeneous expectations; variance beliefs; endogenous boom-bust cycles; interest rates; nonlinear dynamics
    Scope: 1 Online-Ressource (circa 48 Seiten), Illustrationen
  21. Sovereign bonds since Waterloo
    Author: Meyer, Josefin; Reinhart, Carmen M.; Trebesch, Christoph
    Published: 07 February 2019
    Publisher:  Centre for Economic Policy Research, London

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Array ; DP13514
    Subjects: Öffentliche Anleihe; Internationale Staatsschulden; Rendite; Risikoprämie; Wirtschaftsgeschichte; USA; Großbritannien; Sovereign debt; default; risk premiums; investor returns; interest rates; portfolio; yields; coupons; recovery
    Scope: 1 Online-Ressource (circa 80 Seiten), Illustrationen
  22. Why have interest rates fallen far below the return on capital?
    Author: Marx, Magali; Mojon, Benoît; Velde, François R.
    Published: July 2019
    Publisher:  Bank for International Settlements, Monetary and Economic Department, [Basel]

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: BIS working papers ; no 794
    Subjects: secular stagnation; interest rates; risk; return on capital
    Scope: 1 Online-Ressource (circa 39 Seiten), Illustrationen
  23. Effects of QE on sovereign bond spreads through the safe asset channel
    Author: End, Jan-Willem van den
    Published: [2019]
    Publisher:  De Nederlandsche Bank NV, Amsterdam, the Netherlands

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    Source: Union catalogues
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    Format: Online
    Series: Working paper / De Nederlandsche Bank NV ; no. 647 (August 2019)
    Subjects: interest rates; central banks and their policies; monetary policy
    Scope: 1 Online-Ressource (circa 31 Seiten), Illustrationen
  24. Monetary policy, credit institutions and the bank lending channel in the euro area
    Author: Altavilla, Carlo; Andreeva, Desislava Č.; Boucinha, Miguel; Holton, Sarah
    Published: Mai 2019
    Publisher:  European Central Bank, Frankfurt am Main, Germany

    As the euro area has a predominantly bank-based financial system, changes in the composition and strength of banks’ balance sheets can have very sizeable implications for the transmission of monetary policy. This paper provides an overview of... more

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    As the euro area has a predominantly bank-based financial system, changes in the composition and strength of banks’ balance sheets can have very sizeable implications for the transmission of monetary policy. This paper provides an overview of developments in banks’ balance sheets, profitability and risk-bearing capacity and analyses their relevance for monetary policy. We show that, while the transmission of standard policy interest rate cuts to firms and households was diminished during the crisis, in a context of financial market stress and weak bank balance sheets, unconventional monetary policy measures have helped to restore monetary policy transmission and pass-through to interest rates. We also document the extent to which these non-standard measures were successful in stimulating lending and which bank business models were more strongly affected. Finally, we show that the estimated impact of recent monetary policy measures on bank profitability does not appear to be particularly strong when all the effects on the macroeconomy and asset quality are taken into account.

     
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    Source: Staatsbibliothek zu Berlin
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    Format: Online
    ISBN: 9789289936873
    Other identifier:
    hdl: 10419/207607
    Series: Occasional paper series / European Central Bank ; no 222 (May 2019)
    Subjects: monetary policy; interest rates; banks; credit
    Scope: 1 Online-Ressource (circa 47 Seiten), Illustrationen
  25. Unemployment surges in the EU
    the role of risk premium shocks
    Author: Bakker, Bas B.; Korczak, Marta; Krogulski, Krzysztof
    Published: 2019
    Publisher:  International Monetary Fund, [Washington, DC]

    In the last decade, over half of the EU countries in the euro area or with currencies pegged to the euro were hit by large risk premium shocks. Previous papers have focused on the impact of these shocks on demand. This paper, by contrast, focuses on... more

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    In the last decade, over half of the EU countries in the euro area or with currencies pegged to the euro were hit by large risk premium shocks. Previous papers have focused on the impact of these shocks on demand. This paper, by contrast, focuses on the impact on supply. We show that risk premium shocks reduce the output level that maximizes profit. They also lead to unemployment surges, as firms are forced to cut costs when financing becomes expensive or is no longer available. As a result, all countries with risk premium shocks saw unemployment surge, even as euro area core countries managed to contain unemployment as firms hoarded labor during the downturn. Most striking, wage bills in euro area crisis countries and the Baltics declined even faster than GDP, whereas in core euro area countries wage shares actually increased

     
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