Financial incentive to prepay in fixed-rate mortgages

2004

The borrower's financial incentive to prepay is a crucial determinant in estimating prepayment in mortgage pools and, consequently, in valuing mortgage-backed securities. In mortgage prepayment literature, this incentive to prepay has been proxied by both the ratio of the loan rate to the refinancing rate and by the arithmetic spread between the two rates; however, the former is considered to be a better proxy of the refinancing incentive than the latter by a section of the literature. In this paper, the authors check the accuracy of that statement and subsequently estimate two prepayment functions using, alternatively, the two proxies. The results indicate that the use of the ratio does no…

Linear and Nonlinear Interest Rate Exposure of Spanish Firms

2006

This paper carries out a comprehensive analysis of the interest rate risk borne by the Spanish firms on a sector basis. The traditional linear interest rate exposure model has been extended to allow for the possibility of a nonlinear exposure component as well as the presence of asymmetric behaviour in the exposure pattern. The obtained results show a significant interest rate exposure for some sectors, especially with regard to changes in the long-term interest rates. Moreover, it is documented that the linear exposure profile prevails over the asymmetric and nonlinear exposure patterns. In particular, the Construction sector is the sector that shows the highest incidence of interest rate …

Linear and nonlinear interest rate sensitivity of Spanish banks

2011

Abstract Interest rate risk is one of the major financial risks faced by banks due to the very nature of the banking business. The most common approach in the literature has been to estimate the impact of interest rate risk on banks using a simple linear regression model. However, the relationship between interest rate changes and bank stock returns does not need to be exclusively linear. This article provides a comprehensive analysis of the interest rate exposure of the Spanish banking industry employing both parametric and non-parametric estimation methods. Its main contribution is to use, for the first time in the context of banks’ interest rate risk, a nonparametric regression technique…

A Mönch type fixed point theorem under the interior condition

2009

Abstract In this paper we show that the well-known Monch fixed point theorem for non-self mappings remains valid if we replace the Leray–Schauder boundary condition by the interior condition. As a consequence, we obtain a partial generalization of Petryshyn's result for nonexpansive mappings.

Integration of Mortgage and Capital Markets: Evidence in the Spanish Case

2006

The spectacular development of the Spanish mortgage market during the last decade has increased the concern about its financial integration with other capital markets. This paper examines the degree of integration between the mortgage market and two broader capital markets such as the public debt market and the money market in the Spanish case. With this purpose, different time series techniques in a context of cointegration have been used. The results obtained reveal that there exists an important degree of integration between the mortgage market and the general capital markets in Spain. In particular, the public debt market and, especially, the money market have turned into essential refe…

Linear and nonlinear interest rate exposure in Spain

2010

PurposeThis paper aims to carry out a comprehensive analysis of the influence of interest rate risk on Spanish firms at the industry level.Design/methodology/approachThe methodology employed has its origin in the two‐index linear regression model proposed by Stone. This traditional interest rate exposure model has been extended in this paper to allow for a nonlinear exposure component as well as the presence of asymmetric behaviour in the exposure pattern.FindingsInterest rate exposure is not homogeneous for all the Spanish industries. In line with other markets, highly leveraged industries (construction and real estate), regulated industries (electrical and utilities), and banking industry…

Impacto del riesgo de interés sobre las acciones del sector bancario español

2009

RESUMENEste trabajo examina la exposicion del sector bancario espanol al riesgo de interes en el ambito de la metodologia GARCH, prestando atencion no solo al impacto de los cambios en el nivel de los tipos de interes sino tambien al efecto de su volatilidad sobre la distribucion de los rendimientos de las acciones bancarias. Los resultados obtenidos muestran que tanto las variaciones como la volatilidad de los tipos de interes tienen un impacto negativo y significativo sobre el rendimiento de las acciones de las entidades financieras, existiendo una relacion directa entre el tamano de las entidades y su grado de sensibilidad ante los movimientos y volatilidad de los tipos de interes.

Ladrón y verdugo : comedia en un acto

A la port.: Estrenada con aplauso en el Teatro del Circo, en la noche del 14 de noviembre de 1857, a beneficio de la primera actriz doña Teodora Lamadrid Grav. a la port Text a 1 col