scholarly journals Macro Risk Premium and Intermediary Balance Sheet Quantities

2010 ◽  
Vol 58 (1) ◽  
pp. 179-207 ◽  
Author(s):  
Tobias Adrian ◽  
Emanuel Moench ◽  
Hyun Song Shin
Keyword(s):  
Risk Premium ◽  
Balance Sheet

scholarly journals Macroeconomic Models for Monetary Policy: A Critical Review from a Finance Perspective

2020 ◽  
Vol 12 (1) ◽  
pp. 95-140
Author(s):  
Winston W. Dou ◽  
Andrew W. Lo ◽  
Ameya Muley ◽  
Harald Uhlig
Keyword(s):  
Monetary Policy ◽  
Risk Premium ◽  
Critical Review ◽  
Balance Sheet ◽  
Financial Sector ◽  
Central Banks ◽  
Response Analysis ◽  
Parameter Estimates ◽  
Macroeconomic Models ◽  
The Government

We provide a critical review of macroeconomic models used for monetary policy at central banks from a finance perspective. We review the history of monetary policy modeling, survey the core monetary models used by major central banks, and construct an illustrative model for those readers who are unfamiliar with the literature. Within this framework, we highlight several important limitations of current models and methods, including the fact that local-linearization approximations omit important nonlinear dynamics, yielding biased impulse-response analysis and parameter estimates. We also propose new features for the next generation of macrofinancial policy models, including a substantial role for the financial sector, the government balance sheet, and unconventional monetary policies; heterogeneity, reallocation, and redistribution effects;the macroeconomic impact of large nonlinear risk premium dynamics; time-varying uncertainty; financial sector and systemic risks; imperfect product market and markups; and further advances in solution, estimation, and evaluation methods for dynamic quantitative structural models.

The risk of real estate ownership: evidence from German equities

2015 ◽  
Vol 8 (2) ◽  
pp. 107-129 ◽  
Author(s):  
Karim Rochdi
Keyword(s):  
Risk Factors ◽  
Real Estate ◽  
Risk Premium ◽  
Balance Sheet ◽  
Systematic Risk ◽  
Considerable Proportion ◽  
Content Type ◽  
Corporate Real Estate ◽  
Systematic Risk Factors ◽  
Estate Ownership

Purpose – This paper aims to investigate the repercussions and impact of corporate real estate on the returns of non-real-estate equities in a time-series setting. While the ownership of real estate constitutes a considerable proportion of most listed firms’ balance sheet, in the existing literature, whether or not the benefits outweigh the risks associated with corporate real estate, is the subject of controversy. Design/methodology/approach – The role of corporate real estate ownership in the pricing of returns is examined, after taking well-documented systematic risk factors into account. Employing a data sample from 1999 to 2014, the conditions and characteristics faced by firms with distinct levels of corporate real estate holdings are identified and analyzed. Findings – The findings reveal that corporate real estate intensity indeed serves as a priced determinant in the German stock market. Among other results, the real-estate-specific risk factor shows countercyclical patterns and is particularly relevant for companies within the manufacturing sector. Practical implications – The findings provide new insights into the interpretation of corporate real estate and expected general equity returns. Thus, the present analysis is of particular interest for investors, as well as the management boards of listed companies. Originality/value – To the best of the author’s knowledge, this is the first paper to investigate the ownership of corporate real estate as a priced factor for German equities, after accounting for the well-documented systematic risk factors, namely, market (market risk premium), size (small minus big) and book-to-market-ratio (BE/ME) (high minus low).

Exchange Rate Dynamics, Endogenous Risk Premium and the Balance Sheet Effect: An Effective Demand Model

2018 ◽  
Vol 7 (2) ◽  
pp. 212-239
Author(s):  
Moumita Basu ◽  
Jonaki Sengupta ◽  
Ranjanendra Narayan Nag
Keyword(s):  
Exchange Rate ◽  
Fiscal Policy ◽  
Interest Rate ◽  
Risk Premium ◽  
Balance Sheet ◽  
Endogenous Risk ◽  
Exchange Rate Dynamics ◽  
Tariff Liberalization ◽  
Foreign Bonds ◽  
Exchange Rate Depreciation

This article describes a macroeconomic framework for analysing the interaction between output, domestic interest rate and exchange rate in the presence of the endogenous risk premium and balance sheet effect of exchange rate depreciation on investment demand. Output is demand determined. There are three assets: money, domestic bonds and foreign bonds. Domestic bonds and foreign bonds are not perfect substitutes due to the presence of risk premium. The endogenous risk premium depends on certain macroeconomic fundamentals, namely budget deficit and current account balance. Using this framework, we will examine implications of monetary policy, fiscal policy, tariff liberalization and global interest rate hike for exchange rate dynamics and output. The balance sheet effect and the risk premium together explain how an expansionary fiscal policy may generate recession, while tariff liberalization may produce favourable macroeconomic outcomes. Moreover, the model shows that an increase in world interest rate may have contractionary effect on the domestic output level due to the presence of the balance sheet effect of exchange rate depreciation. JEL Classification: E27, E63, F13, F32

scholarly journals Balance sheet effects and the country risk premium: An empirical investigation

2004 ◽  
Vol 140 (4) ◽  
pp. 592-612 ◽  
Author(s):  
Juan Carlos Berganza ◽  
Roberto Chang ◽  
Alicia García Herrero
Keyword(s):  
Risk Premium ◽  
Empirical Investigation ◽  
Balance Sheet ◽  
Country Risk ◽  
Balance Sheet Effects ◽  
Country Risk Premium

Where to Find Value on the Balance Sheet

2021 ◽  
Vol 24 (01) ◽  
pp. 2150009
Author(s):  
Peter Chinloy ◽  
Matthew Imes ◽  
Tilan Tang
Keyword(s):  
Risk Premium ◽  
Balance Sheet ◽  
Value Premium ◽  
Market Capitalization

Firms with higher book equity relative to market capitalization earn a premium, leading to sorting into value and growth. This sorting implies that any balance sheet additions are risky. This paper provides evidence that what a firm holds on its balance sheet matters, and value occurs with high book-to-market ratios. Each holding relative to firm market capitalization has a risk premium, varying across holdings. Among US firms quarterly for 1980–2016, doubling holdings of cash and receivables relative to market capitalization earn premiums of at least 1%, as does taking on debt. These account for the entire value premium, since physicals, intangibles and payables are not risky. The value premium derives from the composition of the firm’s assets.

scholarly journals Assessment of enterprises liabilities in application conditions of international financial reporting standards

2020 ◽  
pp. 45-56
Author(s):  
Valentina Kubik ◽  
Ruslan Volchek
Keyword(s):  
Discount Rate ◽  
Financial Reporting ◽  
Risk Premium ◽  
Balance Sheet ◽  
Fair Value ◽  
International Financial Reporting Standards ◽  
Reporting Standards ◽  
Financial Reporting Standards ◽  
Different Types

The article considers the peculiarities of accounting assessment of short-term and long-term liabilities of enterprises based on different types of current value. It is established that the IAS and Ukrainian Accounting Standards don’t quite clearly formulate the provisions regarding the assessment at which accounting items should be evaluated when recognized and reflected in the balance sheet. This negatively affects to the quality of the reports provided by enterprises and requires the development of methodologies that specify the application of different types of assessment of enterprises liabilities, depending on the purpose of assessment. The subject of research is the procedures for evaluation the value of the enterprise’s liabilities. The purpose of the article is to solve the problem of enterprises liabilities evaluation at the present stage of accounting development in the context of international financial reporting standards application in Ukraine. The research methods are general scientific, namely: abstraction and concretization – for providing recommendations regarding the correct determination of the fair value of enterprises’ liabilities. It is proved, that the choice of the evaluation type of liabilities depends on the time of their implementation and the results of business negotiations. Recommendations for the correct evaluation of liabilities and disclosure information about them in the financial statements are formulated. It is recommended to reflect in the order of enterprise accounting policy the criteria according to which the discount rate is selected for determining the present value of various types of long-term liabilities. It is expedient to substantiate the materiality of the rate deviation on long-term interest loans in accordance with the terms of the agreements and the market interest rate. Indicators that can be used to determine the risk premium when choosing the discount rate are specified.

scholarly journals Flottement Du Taux De Change Et Incomplétude De La Transmission De La Politique Monétaire Au Taux Débiteur

2017 ◽  
Vol 13 (7) ◽  
pp. 124
Author(s):  
Hassan Hachimi Alaoui
Keyword(s):  
Exchange Rate ◽  
Risk Premium ◽  
Exchange Rate Regime ◽  
Balance Sheet ◽  
Nominal Exchange Rate ◽  
Monetary Shocks ◽  
Partial Equilibrium Model ◽  
Floating Exchange Rate ◽  
Pass Through ◽  
Credit Channels

This paper presents a partial equilibrium model of the credit market where the interference between nominal exchange rate, banks' balance sheet and credit channels of monetary policy transmission give rise to an incomplete pass through to the lending rate. The model shows that the overlapping of these three channels under floating exchange rate regime and external debt with endogenous risk premium is the cause of a conflictual effect of monetary shocks on banks behavior. This is in line with research highlighting externalities of floating exchange rate regime.

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