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Mohammad Sharik Essa and Evangelos Giouvris
The study investigates the impact of financial distress (credit spread) and liquidity crises (TED spread) on size, value, profitability, investment and momentum premiums within the US Real Estate Investment Trust market. Using daily data from 2001 to 202...
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Takeshi Kobayashi
This study extracts the common factors from firm-based credit spreads of major Japanese corporate bonds and examines the predictive content of the credit spread on the real economy. Instead of employing single-maturity corporate bond spreads, we focus on...
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F. Dilvin Taskin
Pág. 428 - 442
This paper investigates the impact of financial crisis on the determinants of bank interest rate margin (NIM) in Turkey over the period 1995-2017. The sample period is divided into two sub-periods: Pre-crisis period (1995-2000) and post-crisis period (20...
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Gang Wang
This paper uses event study analysis to estimate the impact of the United States Federal Reserve Bank?s (Fed) quantitative easing (QE) announcements on the mortgage market during the zero lower bound (ZLB) period. A total of 35 QE announcements are ident...
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Kun Huang, Qiuge Yao and Chong Li
Given ongoing financial disintermediation and the need for central banks to establish interest rate corridors, commercial banks have increasingly enriched their asset allocation choices, forming an allocation pattern that combines traditional credit asse...
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Tingting Zhou,Dandan Hu
Pág. 211 - 230
Existing literature has confirmed the importance of science and technology innovation on its promoting sustainable, healthy and rapid growth of economy from the perspective of innovation forms, regional environment, and time phases, but the influence of ...
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Ani Qankova Stoykova, Mariya Georgieva Paskaleva, Dinko Zhulien Stoykov
Pág. 129 - 153
This paper examines the impact of sentiment indicators on the financial market dynamics and default probability. First, we use GARCH models and Granger Causality Test in order to test the relationship between sentiment indicators and capital market dynam...
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Guglielmo D?Amico, Philippe Regnault, Stefania Scocchera and Loriano Storchi
In this paper, we apply information theory measures and Markov processes in order to analyse the inequality in the distribution of the financial risk in a pool of countries. The considered financial variables are sovereign credit ratings and interest rat...
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Ishaq HACINI,Kkhadra DAHOU
Pág. 145 - 166
The study aims to shed light on Algerian Banking system through investigating its evolution?s stages starting from the independence (1962), wherein Algeria inherited the colonial banking system. For examining the evolution, the study focused on the criti...
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Adithi Ramesh,C.B Senthil Kumar
Pág. 609 - 612
Credit Risk modeling has been a subject of considerable research interest for finance and statistical researchers. The quantification of credit risk by assigning measurable and comparable numbers to the likelihood of default or spread risk is a major fro...
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