scholarly journals Analysis of transmission of conditional volatility from market risk factors

2021 ◽  
Vol 4 (2) ◽  
pp. 345-359
Author(s):  
Antonio Ruben Santillan Pashma
Keyword(s):  
Risk Factors ◽  
Interest Rates ◽  
Central Banks ◽  
Fixed Income ◽  
Exogenous Variables ◽  
Point Change ◽  
European Central ◽  
One Year ◽  
Market Strategies ◽  
Correlation Level

This article aims to understand the transmission of volatility from the main market indicators of the European financial system, towards market interest rates, focusing on the prices of the swap with maturity of one year and payments of three months as endogen variable and the three main indexes of the European market as CAD, DAX3, and IBEX35, as an exogenous variable. The exogenous will absorb all the necessary information from the market agents as companies, banks, investments funds, or from externals disturbances as European Central Banks and will affect the levels and the slope of the swap prices.  Introduction. SWAP is the financial instrument that will be employed to analyze the changes of the volatility in the market because it is the bigger derivative inside of the group of Fixed Income Assets. It is with the greatest depth and liquidity being one of the best instruments for developing market strategies of investment. Aim. Analyst the transmission of volatility from the systematic risk, represented by indices of the market, through the swap prices. Results. DAX30 and CAD transference of volatility are positive, in the particular case of the CAD the effect of transference is significantly positive and extended because the coefficient is greater than 1. IBEX35 provides an extended negative correction. Meaning for every one percentage point change in the IBEX35, It can be expected on average that the volatility of the swap will move in -4.19 percentage point. Conclusion: The slope of the curve o the endogen variables will be determined by the transmission of the volatility from the exogenous variables and the correlation level of the endogenous will adopt with each index

scholarly journals The Taylor Rule and Financial Stability – A Literature Review with Application for the Eurozone

2014 ◽  
Vol 65 (2) ◽  
Author(s):  
Benjamin Käfer
Keyword(s):  
Interest Rates ◽  
Financial Stability ◽  
European Central Bank ◽  
Taylor Rule ◽  
Central Banks ◽  
Taylor Rules ◽  
European Central ◽  
The Core ◽  
High Degree ◽  
Degree Of Heterogeneity

AbstractThe question whether central banks should bear responsibility for financial stability remains unanswered. In connection with the use of interest rates, it is therefore not clear whether and how the Taylor rule should be augmented by an additional financial stability term. This paper reviews the normative and positive literature on Taylor rules augmented with exchange rates, asset prices, credit, and spreads. These measures have evolved as common indicators of financial (in)stability in the Taylor rule literature. In addition, our own analysis describes the development of these indicators for the core and the periphery of the Eurozone. Given the high degree of heterogeneity between euro area countries, the conclusion here is that an interest rate reaction to instability by the European Central Bank would be inappropriate in times of crisis. However, this conclusion is somewhat weakened if there is no crisis.

scholarly journals Steadiness of expectation theory measured by swaption curve

2021 ◽  
Vol 3 (2.1) ◽  
pp. 6-26
Author(s):  
Antonio Ruben Santillan Pashma
Keyword(s):  
Interest Rate ◽  
Financial Crisis ◽  
Interest Rates ◽  
Banking Sector ◽  
Fixed Income ◽  
Short Term ◽  
High Volatility ◽  
Expectation Theory ◽  
One Year ◽  
Premium Risk

The financial crisis that broke out in mid-2007 has spread in the existing financial system with great instability favoring the devaluation of currencies with the fall in market interest rates. This has caused potential investors to become more risk-averse and therefore, look for financial products, although lower profitability, also poses less risk. Following this line, it is the Fixed Income assets that have acquired greater prominence in these times of crisis.  This article highlights the strength of the expectation theory in different tranches, using EURIBOR rate to determine implicit forwards, and estimate the price of a one-year swap contract with 3 months of maturity,  and comparing in every moment with the real prices of swap as a benchmark. SWAP is the bigger derivative inside of the group of Fixed Income Assets.  After the quantitative analyst, it has been observed how the theory prevails of sceneries of low volatility but falls on sceneries when the volatility starts to increase. Introduction.  One of the basic assumptions about financial theory is talking about the expectations theory. Since the middle of the eighties, this theory has been used as the unbiased estimator to calculate the swap interest rate in the base of the spot bank interest rate. Aim. Quantitativa analyst of the steadiness of expectations theory in differents economical cycles, using the European Central bank as the source to get hold of the EURIBOR spot rates for 3 months, 6 months, 9 months, and 12months from 2004 to 2016. Results. During the periods before the crisis 2007, the prices of the IRSWAP are almost adjusted between the market and what the financial theory says. The situation starts to change after the financial crisis when the volatility of the market starts to increase due to the instability of the banking sector and traders started with speculations strategies forgetting the aim of hedging, operating, new positions the majority in the short term. Conclusion. Whether for speculative reason or interventions actions of the monetary authority, the theory e “EXPECTATIONS THEORY”, it is not an efficient predictor with out using a premium risk, during the periods of high volatility.

scholarly journals The Normalization of the European Central Bank’s Monetary Policy from an Austrian Perspective

2018 ◽  
pp. 359-371
Author(s):  
Leef H. Dierks
Keyword(s):  
Monetary Policy ◽  
Interest Rates ◽  
Euro Area ◽  
Quantitative Easing ◽  
Fixed Income ◽  
Fixed Income Securities ◽  
Market Prices ◽  
European Central ◽  
The Us ◽  
Low Interest Rates

After several years of historically low interest rates and quantitative easing, the European Central Bank (ECB) has finally started wind-ing down its ultra-accommodative monetary policy in late 2018. Among the first steps tapering its asset purchase programme (APP), which foresees monthly purchases of up to €30bn per month until September 2018 — «or beyond, if necessary, and in any case until the Governing Council sees a sustained adjustment in the path of infla-tion consistent with its inflation aim» (ECB, 2018a). By then, pur-chases of euro area fixed income securities on behalf of the ECB will have mounted to as much as €2,550bn or almost 90% of euro area GDP (€2,834bn in market prices in Q4 2017, the latest date for which data were available (ECB, 2018b)). Further, according to market esti-mates, the first hike of the main refinancing rate, which was slashed to 0% in March 2016, could emerge in Q1 2019, thereby following a tightening of the monetary policy the US Federal Reserve (FED) had already started in December 2015 (FED, 2015).

scholarly journals MUTUAL ADAPTATION OF INTEREST RATES ON THE MONEY MARKET // MEĐUSOBNA PRILAGOĐAVANJA KAMATNIH STOPA NA TRŽIŠTU NOVCA

2017 ◽  
Vol 14 (2) ◽  
Author(s):  
Bogdana Vujnović-Gligorić ◽  
Nina Uremović ◽  
Zumreta Galijašević
Keyword(s):  
Central Bank ◽  
Financial Markets ◽  
Interest Rates ◽  
Bosnia And Herzegovina ◽  
Central Banks ◽  
Money Market ◽  
Currency Board ◽  
European Central ◽  
Mutual Adaptation ◽  
Monetary Authorities

Along with the process of globalization, interest rates have become a significant benchmark for the effectiveness of banking policies in the money market. In this regard, the focus of the research is the interdependence of central bank interest rates and interest rates on the interbank money market (EONIA, EURIBOR, LIBOR SONIA and OIS). The paper analyzes the movement of reference interest rates and their variability over time, depending on the effect that the monetary authorities want to achieve. Interest rates on interbank money market and interdependence in the movements of interest rates in the period from 2006 till 2016 have been examined and a positive correlation between them was found. In contrast, the reference interest rates of the leading central banks were moving in line with the monetary authorities’ objectives, so the movements had different directions.During the observed period, the Central Bank of Bosnia and Herzegovina adjusted the interest rates on the financial markets of euro denominated instruments and yields. The correlation between the interest rates of the European Central Bank for the main refinancing operations and the average weighted interest rate of the Central Bank of Bosnia and Herzegovina is justified by the use of the currency board in Bosnia and Herzegovina.

scholarly journals Real Shock, Monetary Aftershock: The 1906 San Francisco Earthquake and the Panic of 1907

2004 ◽  
Vol 64 (4) ◽  
pp. 1002-1027 ◽  
Author(s):  
KERRY A. ODELL ◽  
MARC D. WEIDENMIER
Keyword(s):  
Financial Markets ◽  
Interest Rates ◽  
San Francisco ◽  
The United States ◽  
Central Banks ◽  
Financial Impact ◽  
European Central ◽  
Bank Of England ◽  
To Come ◽  
Paid Claims

In April 1906 the San Francisco earthquake and fire caused damage equal to more than 1 percent of GNP. Although the real effect of this shock was localized, it had an international financial impact: large amounts of gold flowed into the country in autumn 1906 as foreign insurers paid claims on their San Francisco policies out of home funds. This outflow prompted the Bank of England to discriminate against American finance bills and, along with other European central banks, to raise interest rates. These policies pushed the United States into recession and set the stage for the Panic of 1907.San Francisco's $200,000,000 “ash heap” involves complications which will be felt on all financial markets for many months to come [and] the payment of losses sustained … represents a financial undertaking of far-reaching magnitude….The Financial Times [London], 6 July 1906

Eight European Central Banks.

1964 ◽  
Vol 72 (4) ◽  
pp. 425-425
Author(s):  
Donald Mead
Keyword(s):  
Central Banks ◽  
European Central

scholarly journals THU0254 Risk factors for back pain in a cross sectional and in a one-year follow up study in nurses

2001 ◽  
Author(s):  
M Brzosko ◽  
I Fiedorowicz-Fabrycy ◽  
J Fliciñski ◽  
H Przepiera-Bêdzak ◽  
K Prajs
Keyword(s):  
Risk Factors ◽  
Back Pain ◽  
Cross Sectional ◽  
Follow Up Study ◽  
One Year

Long-term effects of an intensive prevention program (IPP) after acute myocardial infarction – the IPP Follow-up and Prevention Boost Trial

2020 ◽  
Vol 41 (Supplement_2) ◽  
Author(s):  
H Wienbergen ◽  
A Fach ◽  
S Meyer ◽  
J Schmucker ◽  
R Osteresch ◽  
...  
Keyword(s):  
Risk Factors ◽  
Myocardial Infarction ◽  
Risk Factor ◽  
Prevention Program ◽  
Study Endpoint ◽  
Funding Source ◽  
Risk Factor Control ◽  
One Year

Abstract Background The effects of an intensive prevention program (IPP) for 12 months following 3-week rehabilitation after myocardial infarction (MI) have been proven by the randomized IPP trial. The present study investigates if the effects of IPP persist one year after termination of the program and if a reintervention after >24 months (“prevention boost”) is effective. Methods In the IPP trial patients were recruited during hospitalization for acute MI and randomly assigned to IPP versus usual care (UC) one month after discharge (after 3-week rehabilitation). IPP was coordinated by non-physician prevention assistants and included intensive group education sessions, telephone calls, telemetric and clinical control of risk factors. Primary study endpoint was the IPP Prevention Score, a sum score evaluating six major risk factors. The score ranges from 0 to 15 points, with a score of 15 points indicating best risk factor control. In the present study the effects of IPP were investigated after 24 months – one year after termination of the program. Thereafter, patients of the IPP study arm with at least one insufficiently controlled risk factor were randomly assigned to a 2-months reintervention (“prevention boost”) vs. no reintervention. Results At long-term follow-up after 24 months, 129 patients of the IPP study arm were compared to 136 patients of the UC study arm. IPP was associated with a significantly better risk factor control compared to UC at 24 months (IPP Prevention Score 10.9±2.3 points in the IPP group vs. 9.4±2.3 points in the UC group, p<0.01). However, in the IPP group a decrease of risk factor control was observed at the 24-months visit compared to the 12-months visit at the end of the prevention program (IPP Prevention Score 10.9±2.3 points at 24 months vs. 11.6±2.2 points at 12 months, p<0.05, Figure 1). A 2-months reintervention (“prevention boost”) was effective to improve risk factor control during long-term course: IPP Prevention Score increased from 10.5±2.1 points to 10.7±1.9 points in the reintervention group, while it decreased from 10.5±2.1 points to 9.7±2.1 points in the group without reintervention (p<0.05 between the groups, Figure 1). Conclusions IPP was associated with a better risk factor control compared to UC during 24 months; however, a deterioration of risk factors after termination of IPP suggests that even a 12-months prevention program is not long enough. The effects of a short reintervention after >24 months (“prevention boost”) indicate the need for prevention concepts that are based on repetitive personal contacts during long-term course after coronary events. Figure 1 Funding Acknowledgement Type of funding source: Foundation. Main funding source(s): Stiftung Bremer Herzen (Bremen Heart Foundation)

Predicting recidivism for offenders in UK substance dependence treatment: do mental health symptoms matter?

2014 ◽  
Vol 4 (2) ◽  
pp. 102-115 ◽  
Author(s):  
Josefien J.F. Breedvelt ◽  
Lucy V. Dean ◽  
Gail Y. Jones ◽  
Caroline Cole ◽  
Hattie C.A. Moyes
Keyword(s):  
Mental Health ◽  
Risk Factors ◽  
Substance Dependence ◽  
Mental Health Symptoms ◽  
Health Symptoms ◽  
Content Type ◽  
Health Factors ◽  
Substance Dependence Treatment ◽  
One Year ◽  
Mental Health Factors

Purpose – The purpose of this paper is to assess whether mental health symptoms affect one-year reoffending rates upon release from prison for participants engaging in substance dependence treatment in the UK. Design/methodology/approach – A retrospective cohort study was used to assess reconviction outcomes upon release. The Comprehensive Addiction and Psychological Evaluation (CAAPE) was administered to 667 inmates admitted to the programme. The effect of mental health, drug use, and static risk factors on reoffending was assessed at one-year post release. Findings – Logistic regression analysis showed that symptoms of Major Depressive Disorder at the start of substance dependence treatment increased the likelihood to reoffend, whilst Obsessive Compulsive Disorder symptoms and length of sentence decreased the likelihood to reoffend. Antisocial Personality Disorder symptoms show a trend towards increasing the likelihood to reoffend. In addition, previously established risk factors for reoffending, including dependence on heroin, crack/cocaine, and poly drug use significantly increased the likelihood of reconviction. Practical implications – Depressive symptomatology pre-treatment could affect reoffending outcomes for participants in substance dependence treatment in prison. An integrative approach addressing both substance misuse and mental health factors is pivotal. Future efforts to address both simultaneously can be made to improve assessment, training, treatment, and through care for prisoners in substance dependence treatment. Originality/value – Few studies have assessed the effect of mental health factors on reoffending outcomes for offenders in substance dependence treatment. A large sample was studied in an understudied population of UK prisoners in substance dependence treatment. The results have implications for clinical settings where mental health symptoms are not addressed concurrently with substance dependence. This finding can inform policy makers and practitioners who provide substance dependence treatment in prison.

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