Search results for " RATES"
showing 10 items of 233 documents
World Interest Rates and Inequality: Insight from the Galor - Zeira Model
2018
In this paper, we study the relationship between changes in the world interest rate and within-country inequality during the 1985–2005 period in which the world interest rate sharply declined. In line with the predictions of the seminal model of Galor and Zeira [Income distribution and macroeconomics. Review of Economic Studies 60, 35–52], the analysis suggests that the decrease in the world interest rate is associated with a decrease in inequality in poor countries and an increase in inequality in rich ones.
Dynamic Asset Allocation Strategies Basedon Unexpected Volatility
2014
The author documents that at the aggregate stock market level, unexpected volatility is negatively related to expected future returns, and positively related to future volatility. The author demonstrates how the predictive ability of unexpected volatility can be utilized in dynamic asset allocation strategies that deliver a substantial improvement in terms of risk-adjusted performance as compared to traditional buy-and-hold strategies. In addition, the author shows that active strategies based on unexpected volatility outperform the popular active strategy with a volatility target mechanism, and have some edge over the popular market timing strategy with a 10-month simple moving average rul…
Causal flows between oil and forex markets using high-frequency data: Asymmetries from good and bad volatility
2019
The file attached to this record is the author's final peer reviewed version. The Publisher's final version can be found by following the DOI link. This paper investigates the causal linkages in volatility between crude oil prices and six major bilateral exchange rates against the U.S. dollar in the time-frequency space using high-frequency intraday data. Special attention is paid to the potential asymmetries in the causal effects between oil and forex markets. The wavelet-based Granger causality method proposed by Olayeni (2016) is applied to quantify the causal relations in the time and frequency domains simultaneously. Moreover, the realized semivariance approach of Barndoff-Nielsen et a…
Primary commodity prices: co-movements, common factors and fundamentals
2011
The behavior of commodities is critical for developing and developed countries alike. This paper contributes to the empirical evidence on the co-movement and determinants of commodity prices. Using nonstationary panel methods, the authors document a statistically significant degree of co-movement due to a common factor. Within a Factor Augmented VAR approach, real interest rate and uncertainty, as postulated by a simple asset pricing model, are both found to be negatively related to this common factor. This evidence is robust to the inclusion of demand and supply shocks, which both positively impact on co-movement of commodity prices.
The effects of fiscal policy shocks on the business environment
2021
Fiscal policy influences economic conditions through public spending and taxes, generating positive or negative impulses, both on short and long term. The present research focuses on analysing the effects of the discretionary changes in the fiscal policy in seven post-communist countries of the European Union during the period 2000–2018. The autoregressive distributed lag model (ARDL) has been applied in order to obtain the convergence rates to equilibrium with a clear analysis of the periods needed to achieve the long-run fiscal sustainability. Also, the error correction vector model (VECM), which is based on the autoregressive vector (VAR) model, has been used in the second part of the an…
Impacts of sovereign risk premium on bank profitability: Evidence from euro area
2021
We analyse the effects of low and negative interest rates and sovereign risk premium on bank profitability among 154 Eurozone banks during the period 2005–2019. In contrast to some of the results in the previous literature, we find that the euro area banks have not suffered too much from the extremely low and negative interest rate era regarding their net interest margins. However, the overall profitability has lowered clearly during the sample period, and the sovereign risk premium has a robust negative effect on all the overall profitability measures, both with risk-adjustment and without it, but it seems to have an increasing effect on the degree of wholesale funding and loan loss provis…
Keep the faith in banking : New evidence for the effects of negative interest rates based on the case of Finnish cooperative banks
2021
This paper analyses the profitability of Finnish cooperative banks during the period of negative nominal interest rates. Contrary to expectations, the continuous decline in money market interest rates between 2009 and 2014, and the following negative rate era, did not have adverse effects on the profitability of banks at the beginning of negative interest rate period. Based on especially using a risk-adjusted measure for bank profitability, these results contrast with previous findings. In our findings, the increasing wholesale funding (WSF) ratio seems to be an important factor. However, after 2017 the banks have not been able to improve especially their risk-adjusted profitability so stro…
Stock market information and the relationship between real exchange rate and real interest rates
2013
In this paper we propose to augment the traditional relationship between real exchange rates and real interest rates (RERI) by adding the stock market equilibrium condition to it. We introduce the relative dividend yield as the new information variable. In the empirical analysis we use recent monthly observations from the U.K., Japan, Canada and Eurozone, all relative to the U.S. We show that the introduction of stock market information is highly relevant for the functioning of the RERI hypothesis. Based on the results from the cointegration analysis the role of relative stock market performance is especially important in the short- term (3 month) horizon, where the augmented RERI represent…
Stock Returns and Exchange Rate Volatility Spillovers in the MENA Region
2010
In this article, we examine the presence of volatility spillovers between nominal exchange rates and stock returns in three MENA countries: Egypt, Morocco and Turkey. The multivariate GARCH model we use does not produce evidence of cross-market effects for the general stock indices returns. Nevertheless, bidirectional shock and volatility spillovers between exchange rates and stock returns exist at the industry sector level. These findings are more pronounced in Egypt and Turkey. The different results are due to the different exchange rate regimes/policies adopted by the three countries. While exchange rates in Egypt and Turkey were allowed to float, Morocco followed a more tightly managed…
Microscopic calculation of the LSP detection rates for the 71Ga, 73Ge and 127I dark-matter detectors
2004
Abstract We have investigated the nuclear-structure details of the cross sections for the elastic scattering of Lightest Supersymmetric Particles (LSPs) from the promising dark-matter detectors 71 Ga, 73 Ge and 127 I. The associated LSP detection sensitivities have been obtained by a folding procedure for several recently proposed SUSY models with different scalar and axial-vector characteristics. For the nuclear problem, a realistic microscopic Hamiltonian has been used within realistic model spaces. The diagonalization of this Hamiltonian has been done by using the Microscopic Quasiparticle–Phonon Model (MQPM), suitable for description of spectroscopic properties of medium-heavy and heavy…