...Maria de la O Gonzalez; Francisco Jareño; María Caridad Sevillano Purpose This study aims to examine how cryptocurrency returns – specifically Bitcoin, Cardano and Tether – respond to unexpected shocks in inflation and interest rates and assess their potential as hedge, safe-haven or diversifier...

...Joel R. Barber Purpose This paper determines a simple transformation that nearly linearizes the bond price formula. The transformed price can be used to derive a highly accurate approximation of the change in a bond price resulting from a change in interest rates. Design/methodology/approach...

...Giuseppe Orlando; Rosa Maria Mininni; Michele Bufalo Purpose The purpose of this paper is to model interest rates from observed financial market data through a new approach to the Cox–Ingersoll–Ross (CIR) model. This model is popular among financial institutions mainly because it is a rather...

... announcements affect insurance firms. Jannes Rauch can be contacted at: jrauch@uni-koeln.de 13 02 2017 26 03 2017 29 04 2017 © Emerald Publishing Limited 2017 Emerald Publishing Limited Licensed re-use rights only Interest rates Monetary policy FED Event study...

...Abdul Rashid; Farooq Ahmad; Ammara Yasmin Purpose This paper aims to empirically examine the long- and short-run relationship between macroeconomic indicators (exchange rates, interest rates, exports, imports, foreign reserves and the rate of inflation) and sovereign credit default swap (SCDS...

...Alexander Bogin; William Doerner Purpose – This paper aims to describe a robust empirical approach to generating plausible historically based interest rate shocks, which can be applied to any market environment. These interest rate shocks can be readily linked to movements in other key risk...

...Michael Martin Purpose Interest rate risk, i.e. the risk of changes in the interest rate term structure, is of high relevance in insurers' risk management. Due to large capital investments in interest rate sensitive assets such as bonds, interest rate risk plays a considerable role for deriving...

... relationship is presented among the economic growth, FDI, real‐interest rate (RIR), labor force and capital. But FDI negatively associated with economic growth in the case of long‐ and short‐run and RIR also negatively determine the economic growth only in the long run. The rolling regression result confirms...

..., maturity) of bonds that when combined with MSR create a portfolio that is dynamically hedged against interest rate risk and prepayment risk, and therefore eliminates the need of periodic rebalancing of a portfolio of MSR, which is costly. Servicing income is derived from three sources, the periodic...

...Jacques A. Schnabel Purpose The purpose of this paper is to examine the nexus between interest rate changes and commodity spot prices. Design/methodology/approach The cost‐of‐carry model of simultaneous equilibrium in commodity spot and futures prices is employed to gauge the effects induced...

... be contacted at: linghe@uca.edu © Emerald Group Publishing Limited 2009 Financial forecasting Loans Interest rates United States of America Changes in mortgage rates can significantly affect the residential real estate market, which is a considerable part of the US economy...

... in interest rates. Re‐balancing a portfolio on a periodic basis is necessary, but also very costly. The model presented in this paper minimizes the necessity of rebalancing a portfolio, by choosing the optimal δ‐hedge ratios when constructing the initial portfolio to be hedged against interest rate...

...Rashid Ameer Purpose This paper aims to examine the state of risk management practices among Malaysian listed firms and evaluates the value‐relevance of the notional amount of foreign‐exchange and interest‐rate derivatives (FCDs) used by listed firms over the period 2003‐2007. Design...

...Eva C. Yen Purpose The purpose of this paper is to show that the duration‐based hedge ratio has many serious defects: first, the yield‐to‐maturity is not the market interest rate, and it cannot even serve as a proxy for the market interest rate. Second, it is difficult to choose an appropriate...

...Leonard Tchuindjo Purpose The purpose of this paper is to derive an easy‐to‐implement and highly accurate formula to approximate the change in the bond price resulting from a change in interest rates. Design/methodology/approach The bond price is raised to an infinitesimal power and the Taylor...

...Miguel Ángel Martín Mato Purpose Interest rate risk immunization is one of the key concerns for fixed income portfolio management. In recent years, the affluence of new risk measures has emphasized the importance of comparing them with the classic approaches. As a result, one question arises: what...