scholarly journals Monetary Policy in a Low Interest Rate Environment: Reversal Rate and Risk-Taking

2021 ◽  
Author(s):  
Florian Heider ◽  
Agnese Leonello
Keyword(s):  
Monetary Policy ◽  
Interest Rate ◽  
Risk Taking ◽  
Reversal Rate ◽  
Rate Environment

Riding the Yield Curve: Risk Taking Behavior in a Low Interest Rate Environment

2020 ◽  
Author(s):  
Ralph Chami ◽  
Thomas Cosimano ◽  
Céline Rochon ◽  
Julieta Yung
Keyword(s):  
Interest Rate ◽  
Risk Taking ◽  
Yield Curve ◽  
Rate Environment ◽  
Risk Taking Behavior

scholarly journals Riding the Yield Curve

2020 ◽  
Vol 20 (53) ◽  
Author(s):  
Ralph Chami ◽  
Thomas Cosimano ◽  
Celine Rochon ◽  
Julieta Yung
Keyword(s):  
Interest Rate ◽  
Interest Rates ◽  
Risk Taking ◽  
Yield Curve ◽  
Interest Rate Risk ◽  
Risk Capital ◽  
Hedging Strategies ◽  
Rate Risk ◽  
Rate Environment ◽  
Changes In Risk

Investors seek to hedge against interest rate risk by taking long or short positions on bonds of different maturities. We study changes in risk taking behavior in a low interest rate environment by estimating a market stochastic discount factor that is non-linear and therefore consistent with the empirical properties of cashflow valuations identified in the literature. We provide evidence that non-linearities arise from hedging strategies of investors exposed to interest rate risk. Capital losses are amplified when interest rates increase and risk averse investors have taken positions on instruments with longer maturity, expecting instead interest rates to revert back to their historical average.

scholarly journals Macroeconomic Reversal Rate in a Low Interest Rate Environment

2021 ◽  
Author(s):  
Jan Willem <!>van den End ◽  
Paul Konietschke ◽  
Anna Samarina ◽  
Irina Stanga
Keyword(s):  
Interest Rate ◽  
Reversal Rate ◽  
Rate Environment

Auswirkungen der anhaltenden Niedrigzinsen auf das Versicherungswesen

2015 ◽  
Vol 64 (2) ◽  
Author(s):  
Rolf Ketzler ◽  
Peter Schwark
Keyword(s):  
Monetary Policy ◽  
Interest Rate ◽  
Interest Rates ◽  
Capital Investment ◽  
Investment Strategy ◽  
Economic Point ◽  
Life Insurers ◽  
Low Interest Rates ◽  
Rate Environment

AbstractThe very accommodative monetary policy of the ECB and the related extremely low interest rates are involved with major challenges for the German insurance sector, in particular for life insurers. As long-term investors, insurers are not only affected in their capital investment strategy, but also by different households’ retirement saving patterns in response to the low interest rate environment. Several significant steps have already been taken in order to ensure the long-term viability of life insurance. These include changes in the product portfolio as well as new approaches in the investment strategy. In addition, new regulatory requirements have been established to strengthen the risk bearing capacity of life insurers. Given the substantial risks of low interest rates, from an economic point of view the question concerning an appropriate exit from the low interest rate environment needs more attention in the public debate. In this context, further progress regarding the economic reform policies in the euro zone is still necessary as a condition for the ECB to normalize its monetary policy as soon as possible.

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