Search results for "interest"
showing 10 items of 624 documents
The social costs of bank market power: Evidence from Mexico
2008
This paper estimates the social costs of market power (Harberger's triangle) in the Mexican banking system over the period 1993–2005. It also tests the so-called “quiet life” hypothesis which postulates a negative effect of market power on bank management efficiency. The social cost attributable to market power in 2005 is 0.15% of GDP, while that deriving from the cost (profit) inefficiency of banking management is 0.021% (0.075%) of GDP. The results allow us to reject the quiet life hypothesis in the deposits market. However, market power in the setting of the interest rate on loans has a negative effect on cost efficiency. Journal of Comparative Economics 36 (3) (2008) 467–488.
The Challenges Faced by Life Insurance Companies in the Baltic States
2020
The Baltic life insurance market is a young steadily growing market. It began its development in the early 1990s when all three Baltic States, specifically Estonia, Latvia and Lithuania, have regained their independence. The Baltic life insurance market is limited due to a relatively small size with approximately six million inhabitants in all three countries. Additionally, the operations have deteriorated due to the low interest rates and the negative fluctuations in the financial market. The lessons learnt by the life insurers in the Baltic States are useful to other small countries in the European Union (EU) as well as to the larger States, to help bring to light the challenges of those …
Interest Rate Sensitivity of Spanish Industries: A Quantile Regression Approach
2015
This paper examines the degree of interest rate exposure of Spanish industries for the period 1993–2012 using the quantile regression methodology. The empirical results show that the Spanish stock market exhibits a significant level of interest rate sensitivity, although there are notable differences across industries and over time. In addition, the impact of changes in interest rates on industry equity returns tends to be more pronounced in extreme market conditions, i.e. during crises or bubbles in stock markets, than in normal periods. This finding may be related to herding behavior of stock investors during periods of market stress.
Interest rate changes and stock returns: A European multi-country study with wavelets
2016
Abstract This paper investigates the linkage between changes in 10-year government bond yields and stock returns for the major European countries in the time-frequency domain by using a number of cross-wavelet tools in the framework of the continuous wavelet transform, mainly the wavelet coherence and phase-difference. The results reveal that the degree of connection between 10-year bond rate movements and stock returns differs considerably among countries and also varies over time and depending on the time horizon considered. In particular, the UK shows the greatest interdependence between long-term interest rates and equity returns across time and frequencies, while the relationship is mu…
Does Shariah compliance make interest rate sensitivity of Islamic equities lower? An industry level analysis under different market states
2018
This paper examines the sensitivity of the Dow Jones Islamic market index and its corresponding industry equity indices to changes in the level, slope and curvature of the U.S. term structure of in...
Main driving factors of the interest rate-stock market Granger causality
2017
Abstract This paper investigates the causal relationship between changes in the 10-year Treasury bond yield and the S&P 500 stock return in the United Sates with emphasis on time variation, stress factors and smooth regime transition. First, the time-varying Granger causality test proposed by Lu et al. (2014) is applied. Then a two-regime multifactor smooth transition regression model with a single transition variable representing a wide range of macroeconomic and financial variables is estimated in order to identify the key explanatory factors governing the causal relationship. The results show a significant bidirectional causal relationship over most of the study period, mainly due to the…
- EL EFECTO FISHER Y LA PARIDAD DE INTERÉS REAL. EVIDENCIA PARA LA ECONOMÍA ESPAÑOLA
1999
This paper provides an empirical test of the Fisher effect and of the real interest parity. The objetive is to determinate the behavior of the ex-ante real interest that condicionate the intertemporal savings and investment decisions. The method used is the time series properties of the data, which allows to separate estimation of the long-run equilibrium relationship from the nuisance parameters that characterize the short-run dynamics. The results find support inthe long run for a tax-adjusted Fisher hypothesis but not for the real interest parity. En este trabajo se contrasta empíricamente el cumplimiento de la hipótesis de Fisher y de la paridad de interés real para el caso español. El …
Booms and busts in housing markets: determinants and implications
2009
This study looks at real estate price booms and busts in industrialised countries. It identifies major and persistent deviations from long term trends for 18 countries and estimates the probabilities of their occurrence using a Random Effects Panel Probit model over the period 1980-2007. It finds that 1) most recent housing booms have been very persistent and of a significant magnitude; 2) there appears to be a strong correlation between the persistence and magnitude of booms and subsequent busts; 3) economic costs (in terms of GDP losses during the post-boom phase) depend significantly on the magnitude and duration of the boom and money and credit developments during that period; 4) a numb…
ECONOMIC COMOVEMENTS IN EUROPEAN COUNTRIES
2005
This paper examines the existence of common movements in production, prices and interest rates in three countries: France, Germany and the United Kingdom. To analyse this issue, the usual approach of studying cross-correlations is extended. Though these European countries are closely linked to each other, the results obtained vary substantially over time, with the economic variables and in the countries under consideration. Este trabajo examina la existencia de movimientos comunes en la producción, en los precios y en los tipos de interés en tres países: Francia, Alemania y el Reino Unido. Para analizar este tema, se extiende el enfoque habitual del estudio de las correlaciones cruzadas. A …
Size, fungibility, and the strength of lobbying organizations
2017
Available online: 12 January 2017 How can a small special interest group successfully get an inefficient transfer at the expense of a much larger group with many more resources available for lobbying? We consider a simple model of agenda setting where two groups of different size lobby a politician over a transfer from one group to the other, and the group which sets the agenda can choose the size of the proposed transfer. The groups have resources which are used to pay the politician and to overcome the public goods problem within the group. Our key result is that which group prevails in the agenda setting game depends crucially on whether the transfers can also be used to pay the politici…