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    Wyświetlanie 1-3 z 3
    Tytuł:
    Lies, Damned Lies, and Statistics? Examples From Finance and Economics
    Autorzy:
    Abadir, Karim M.
    Powiązania:
    https://bibliotekanauki.pl/articles/483313.pdf
    Data publikacji:
    2013
    Wydawca:
    Polska Akademia Nauk. Czytelnia Czasopism PAN
    Tematy:
    flexible density specification
    option pricing
    term structure of interest rates
    expectation hypothesis
    nonlinear long-memory
    macroeconomic dynamics
    Opis:
    Reliable data analysis is one of the hardest tasks in sciences and social sciences. Often misleading and sometimes puzzling results arise when the analysis is done without regard for the special features of the data. In this exposition, I will focus on designing new statistical tools to deal with some prominent questions in Finance and Economics. In particular, I will talk about the following. (1) How to characterize the randomness of variables, motivated by a problem in the pricing of financial options. (2) Uncovering the relation between interest rates on different maturities, now and in the future; the "term structure of interest rates". (3) Modelling the unconventional nonlinear long-memory dynamics that arise from a general-equilibrium economic model, and their implications for exchange rates, stock market indexes, and all macroeconomic variables; with recommendations for trading in financial markets, but also for the design of macroeconomic stabilization policies by governments.
    Źródło:
    Central European Journal of Economic Modelling and Econometrics; 2013, 5, 4; 231-248
    2080-0886
    2080-119X
    Pojawia się w:
    Central European Journal of Economic Modelling and Econometrics
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    Tytuł:
    Long-term sovereign interest rates in Czechia, Hungary and Poland: a comparative assessment with an affine term structure model
    Autorzy:
    Janus, Jakub
    Powiązania:
    https://bibliotekanauki.pl/articles/2034099.pdf
    Data publikacji:
    2022-03-15
    Wydawca:
    Główny Urząd Statystyczny
    Tematy:
    long-term interest rates
    affine term structure model
    term premium
    risk-neutral rates
    Central Europe
    Opis:
    This paper provides a comparative evaluation of the behaviour of long-term sovereign yields in Czechia, Hungary and Poland from 2001 to 2019. An affine term structure model developed by Adrian, Crump and Moench (2013) is used as an empirical framework for the decomposition of the bond yields into term premium and risk-neutral components. We document a substantial compression in term premia which started in Central European economies around 2013 and played a decisive role in the changes that occurred in 10-year sovereign yields. This pattern, however, was more prevalent in Czechia and Poland than in Hungary. We show that long-term rates in all three economies remained higher than in Germany due to relatively large risk-neutral components. Nevertheless, cross-country correlations became increasingly dependent on term premium dynamics, both among Central European economies and between each of them and Germany. These results are robust to bias-correction in the baseline models and interpreted in the light of the general interest rates decline in the global economy. Potential policy implications are also discussed.
    Źródło:
    Statistics in Transition new series; 2022, 23, 1; 153-171
    1234-7655
    Pojawia się w:
    Statistics in Transition new series
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    Tytuł:
    Negative Interest Rates, COVID-19, and the Finances of Listed Euro Firms
    Autorzy:
    von Eije, Henk
    Powiązania:
    https://bibliotekanauki.pl/articles/14108444.pdf
    Data publikacji:
    2021-12-28
    Wydawca:
    Wyższa Szkoła Bankowa we Wrocławiu
    Tematy:
    Negative interest rates
    European Central Bank
    German government bond yields
    short-term firm financing
    liquidity ratios
    debtor ratios
    creditor ratios
    dividends
    long-term borrowing cash flows
    non-liquid investments
    corona crisis
    COVID-19
    Opis:
    Aim: The paper measures the impact of negative interest rates on listed firms in the original euro zone countries. It also measures the impact of the first COVID-19 year. Design / research methods: The paper uses panel data to measure the influence of the short-term ECB deposit rate and the 10-years German bond yield on short-term and long-term firm variables. Cross section fixed effects are applied to first differences and dummy variables. For liquidity and non-liquid assets the effects are also measured for small and large companies, for sectors, and for countries. Conclusions / findings: Corporate liquidity ratios and creditor ratios decline when short-term ECB-rates fall. If ECB rates are negative, liquidity ratios are further reduced by 0.6 percentage points. Declining long-term German government bond yields increase non-liquid assets, while negative yields boost these assets by 4.5% extra. In the first COVID-19 year, the investments in non-liquid assets were 7.6% smaller, while liquidity ratios increased by 2.3 percentage points. Originality / value of the article: Papers on the influence of negative interest rates and of COVID-19 on European firms are unavailable. This makes the paper relevant for firm managers and policy makers and a benchmark for future research. Implications of the research: Because the issues addressed are new, further research is valuable. One may think of comparable studies for different countries. Many other suggestions for further research are given in the conclusions.
    Źródło:
    Central European Review of Economics and Management; 2021, 5, 4; 117-143
    2543-9472
    Pojawia się w:
    Central European Review of Economics and Management
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
      Wyświetlanie 1-3 z 3

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