Global Variance Term Premia and Intermediary Risk Appetite
Title | Global Variance Term Premia and Intermediary Risk Appetite PDF eBook |
Author | Peter Van Tassel |
Publisher | |
Pages | 70 |
Release | 2017 |
Genre | |
ISBN |
Sellers of variance swaps earn time-varying risk premia for their exposure to realized variance, the level of variance swap rates, and the slope of the variance swap curve. To measure risk premia, we estimate a dynamic term structure model that decomposes variance swap rates into expected variances and term premia. Empirically, we document a strong global factor structure in variance term premia across the U.S., U.K., Europe, and Japan. We further show that variance term premia are negatively correlated with the risk appetite of hedge funds, broker-dealers, and mutual funds. Our results support the hypothesis that financial intermediaries are marginal investors in the variance swap market.
International Convergence of Capital Measurement and Capital Standards
Title | International Convergence of Capital Measurement and Capital Standards PDF eBook |
Author | |
Publisher | Lulu.com |
Pages | 294 |
Release | 2004 |
Genre | Bank capital |
ISBN | 9291316695 |
Covered Interest Parity Deviations: Macrofinancial Determinants
Title | Covered Interest Parity Deviations: Macrofinancial Determinants PDF eBook |
Author | Mr.Eugenio M Cerutti |
Publisher | International Monetary Fund |
Pages | 36 |
Release | 2019-01-16 |
Genre | Business & Economics |
ISBN | 1484395212 |
For about three decades until the Global Financial Crisis (GFC), Covered Interest Parity (CIP) appeared to hold quite closely—even as a broad macroeconomic relationship applying to daily or weekly data. Not only have CIP deviations significantly increased since the GFC, but potential macrofinancial drivers of the variation in CIP deviations have also become significant. The variation in CIP deviations seems to be associated with multiple factors, not only regulatory changes. Most of these do not display a uniform importance across currency pairs and time, and some are associated with possible temporary considerations (such as asynchronous monetary policy cycles).
The Yield Curve and Financial Risk Premia
Title | The Yield Curve and Financial Risk Premia PDF eBook |
Author | Felix Geiger |
Publisher | Springer Science & Business Media |
Pages | 320 |
Release | 2011-08-17 |
Genre | Business & Economics |
ISBN | 3642215750 |
The determinants of yield curve dynamics have been thoroughly discussed in finance models. However, little can be said about the macroeconomic factors behind the movements of short- and long-term interest rates as well as the risk compensation demanded by financial investors. By taking on a macro-finance perspective, the book’s approach explicitly acknowledges the close feedback between monetary policy, the macroeconomy and financial conditions. Both theoretical and empirical models are applied in order to get a profound understanding of the interlinkages between economic activity, the conduct of monetary policy and the underlying macroeconomic factors of bond price movements. Moreover, the book identifies a broad risk-taking channel of monetary transmission which allows a reassessment of the role of financial constraints; it enables policy makers to develop new guidelines for monetary policy and for financial supervision of how to cope with evolving financial imbalances.
Global Financial Stability Report, April 2013
Title | Global Financial Stability Report, April 2013 PDF eBook |
Author | International Monetary Fund. Monetary and Capital Markets Department |
Publisher | International Monetary Fund |
Pages | 160 |
Release | 2013-04-17 |
Genre | Business & Economics |
ISBN | 1475589581 |
The Global Financial Stability Report examines current risks facing the global financial system and policy actions that may mitigate these. It analyzes the key challenges facing financial and nonfinancial firms as they continue to repair their balance sheets. Chapter 2 takes a closer look at whether sovereign credit default swaps markets are good indicators of sovereign credit risk. Chapter 3 examines unconventional monetary policy in some depth, including the policies pursued by the Federal Reserve, the Bank of England, the Bank of Japan, the European Central Bank, and the U.S. Federal Reserve.
The Determinants of Financing Obstacles
Title | The Determinants of Financing Obstacles PDF eBook |
Author | |
Publisher | World Bank Publications |
Pages | 36 |
Release | 2004 |
Genre | Corporations |
ISBN |
Financial Stability Monitoring
Title | Financial Stability Monitoring PDF eBook |
Author | Tobias Adrian |
Publisher | |
Pages | 0 |
Release | 2020 |
Genre | |
ISBN |
In a recently released New York Fed staff report, we present a forward-looking monitoring program to identify and track time-varying sources of systemic risk.