Bond Market Evidence of Time Variation in Exposures to Global Risk Factors and the Role of US Monetary Policy

2016 ◽  
Author(s):  
Thomas Nitschka
Keyword(s):  
Risk Factors ◽  
Monetary Policy ◽  
Time Variation ◽  
Bond Market ◽  
Global Risk ◽  
Us Monetary Policy

Time variation paths of risk sensitivities of bank stocks in the past two decades

2016 ◽  
Vol 17 (4) ◽  
pp. 446-455
Author(s):  
Kaiyi Chen ◽  
Ling T. He ◽  
R.B. Lenin
Keyword(s):  
Monetary Policy ◽  
Financial Crisis ◽  
Least Squares ◽  
Stock Returns ◽  
Time Variation ◽  
Bond Market ◽  
Content Type ◽  
Study Programs ◽  
Bank Stock Returns ◽  
Bank Stock

Purpose The purpose of this study is to trace time variation paths in risk sensitivities of bank stock returns over the period of 1990-2014, which covers one of most serious financial crises in the history of the USA. Design/methodology/approach This study programs the flexible least squares (FLS) approach (Kalaba and Testfatsion, 1988, 1989 and 1990) with R, a free statistical computing and graphics software, to estimate the three-factor model developed by He and Reichert (2003) to examine changes in risk sensitivities of bank stocks to the stock market, bond market and real estate market. Findings Both FLS and ordinary least squares (OLS) results indicate that the bond market (interest rate) sensitivity of bank stock returns experiences dramatic changes. It is significantly positive before the 2006 subprime mortgage crisis (11/1990 to 5/2006), reduces to insignificant in a short period of 11/2006 to 10/2008 and turns into significantly negative during the period of 11/2008-11/2014. Further, results of this study indicate that bank stocks negatively respond to changes in housing prices in the period of 11/1990-1/1994 and after that the sensitivity turns into significantly positive. The significant shifts in risk sensitivities of banks stock returns coincide with alterations in long-term interest rates and monetary policy, especially the enormously stimulative monetary policy after the financial crisis in 2008. Originality/value This study programs the FLS approach with R and uses the FLS approach to demonstrate the time variation paths of risk sensitivities of bank stocks over a period that covers the 2008 financial crisis. The OLS results verify the significant shifts in risk sensitivities suggested by the FLS estimates.

scholarly journals The cash-cds basis for sovereign countries: Market strategy, price discovery and determinants

2012 ◽  
Vol 1 (2) ◽  
pp. 49-71 ◽  
Author(s):  
Alessandro Carboni ◽  
Andrea Carboni
Keyword(s):  
Banking Sector ◽  
Price Discovery ◽  
Bond Market ◽  
Net Income ◽  
Global Risk ◽  
Negative Contribution ◽  
Market Strategy ◽  
Arbitrage Opportunity ◽  
Market Strategies

We study the cash-CDS basis and its implication for market strategies and price discovery, together with the role of credit risk common factors. A positive net income is derived with a negative basis, once funding costs are considered. There exists an arbitrage opportunity for Greece in 2010, with a negative basis of more than 100 bp. Our comparison with three different basis shows that while converging markets seem adopt the same strategy, in particular for Portugal, Ireland and Greece. Results for price discovery show that the CDS market moves ahead the bond market. Finally, our empirical analysis shows that the global risk factor contributes to increase the basis, while the banking sector vulnerability proxy offers a negative contribution.

scholarly journals The Role of US Monetary Policy in Banking Crises Across the World

2020 ◽  
Vol 68 (1) ◽  
pp. 66-107
Author(s):  
C. Bora Durdu ◽  
Alex Martin ◽  
Ilknur Zer
Keyword(s):  
Monetary Policy ◽  
Banking Crises ◽  
The World ◽  
Us Monetary Policy

scholarly journals On the informational role of term structure in the US monetary policy rule

2013 ◽  
Vol 37 (9) ◽  
pp. 1852-1871 ◽  
Author(s):  
Jesús Vázquez ◽  
Ramón María-Dolores ◽  
Juan-Miguel Londoño
Keyword(s):  
Monetary Policy ◽  
Term Structure ◽  
Policy Rule ◽  
The Us ◽  
Monetary Policy Rule ◽  
Us Monetary Policy

Role of acquired and hereditary thrombotic risk factors in patients with ischemic colitis

2001 ◽  
Vol 120 (5) ◽  
pp. A282-A282
Author(s):  
I KOUTROUBAKIS ◽  
A SFIRIDAKI ◽  
A THEODOROPOULOU ◽  
A LIVADIOTAKI ◽  
P DIMOULIOS ◽  
...  
Keyword(s):  
Risk Factors ◽  
Ischemic Colitis ◽  
Thrombotic Risk

Psychological Resilience Provides No Independent Protection From Suicidal Risk

Crisis ◽  
2016 ◽  
Vol 37 (2) ◽  
pp. 130-139 ◽  
Author(s):  
Danica W. Y. Liu ◽  
A. Kate Fairweather-Schmidt ◽  
Richard Burns ◽  
Rachel M. Roberts ◽  
Kaarin J. Anstey
Keyword(s):  
Risk Factors ◽  
Well Being ◽  
Current Status ◽  
Psychological Resilience ◽  
Cross Sectional ◽  
Life Project ◽  
Resilience Factors ◽  
First Time

Abstract. Background: Little is known about the role of resilience in the likelihood of suicidal ideation (SI) over time. Aims: We examined the association between resilience and SI in a young-adult cohort over 4 years. Our objectives were to determine whether resilience was associated with SI at follow-up or, conversely, whether SI was associated with lowered resilience at follow-up. Method: Participants were selected from the Personality and Total Health (PATH) Through Life Project from Canberra and Queanbeyan, Australia, aged 28–32 years at the first time point and 32–36 at the second. Multinomial, linear, and binary regression analyses explored the association between resilience and SI over two time points. Models were adjusted for suicidality risk factors. Results: While unadjusted analyses identified associations between resilience and SI, these effects were fully explained by the inclusion of other suicidality risk factors. Conclusion: Despite strong cross-sectional associations, resilience and SI appear to be unrelated in a longitudinal context, once risk/resilience factors are controlled for. As independent indicators of psychological well-being, suicidality and resilience are essential if current status is to be captured. However, the addition of other factors (e.g., support, mastery) makes this association tenuous. Consequently, resilience per se may not be protective of SI.

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