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Full-Text Articles in Business
Evaluating Volatility Forecasts In Various Equity Market Regimes, John P. Felletter
Evaluating Volatility Forecasts In Various Equity Market Regimes, John P. Felletter
Doctoral Dissertations (DBA)
Forecasting volatility is a critical component of asset allocation, risk management, and option pricing. Many different methods and models are used to predict volatility, and many studies have examined the efficacy of one method or another. This study investigates whether the abilities of historical volatility, GARCH models, and VIX to forecast volatility vary in different market conditions, as distinguished by levels of volatility and returns. It is found that market conditions do impact the abilities of the variables to forecast volatility. Overall, the forecasts implied by the GARCH models perform best according to the various metrics, while the VIX forecast …
Effects Of The Basel Iii Liquidity Risk Metrics On U.S. Bank Performance And Stability, Cecelia Mundt
Effects Of The Basel Iii Liquidity Risk Metrics On U.S. Bank Performance And Stability, Cecelia Mundt
Doctoral Dissertations (DBA)
This paper investigates the effects of Basel III’s liquidity metrics on profitability and stability on a subset of U.S banks from 2002 to 2014. The profitability and stability of each of these banks were calculated under the scenario of shifting 1% of its overall assets from illiquid to liquid. The empirical findings demonstrate a negative relationship between holding higher liquidity and bank profitability. It finds that this negative relationship is disproportionate across the bank classes with savings banks losing profitability at almost twice the rate as national banks. Additionally, stability of savings banks is more adversely affected than of national …
Essays In Financial Economics, Johnson Owusu-Amoako
Essays In Financial Economics, Johnson Owusu-Amoako
Doctoral Dissertations (DBA)
In this study, we empirically investigate the impact of credit default swap rates on short-term interest rates. We find that CDS rates significantly impact short-term interest rates. The impact remains significant after controlling for inflation and unemployment. Applying co-integration test and vector error correction modeling, the study also finds a causal relationship between CDS rates and short-term interest rates. These relationships are confirmed through autoregressive conditional heteroscedasticity (ARCH), exponential generalized ARCH [EGARCH] and vector auto-regression (VAR) analyses. The empirical results have important implications in setting short-term interest rates. A regular revision of policy targeting to capture the continual changes in …
Wavering Interactions Between Commodity Futures Prices And Usd Exchange Rates, Monika Sywak
Wavering Interactions Between Commodity Futures Prices And Usd Exchange Rates, Monika Sywak
Doctoral Dissertations (DBA)
This paper examines the intricate impact of commodity futures prices on US dollar exchange rates. The daily data on returns on futures and on USD are tested with Bayesian VAR, multiple breakpoint regression and two-state Markov switching. The tested commodity futures include West Texas Intermediate and Brent crude oil, as well as copper and gold. The tests imply that changes in commodity returns inversely affect USD exchange rates. This relationship is not uniform across the tested commodity futures and is affected by market risk. The relationships between crude oil futures prices and USD exchange rates are normally negative but they …
Vix And Market-Implied Inflation Expectations, Carolyne Cebrian Soper
Vix And Market-Implied Inflation Expectations, Carolyne Cebrian Soper
Doctoral Dissertations (DBA)
Our study shows that market-implied inflation expectations proxied by the breakeven inflation are directly related to market risk in high inflation environments and inversely during the periods of declining inflation or deflationary expectations. We use daily data series of percent changes in VIX as a proxy of market risk and changes in 5-year and 10-year breakeven inflation reflecting expectations of bond market participants. We employ Bayesian VAR, multiple breakpoint and Markov switching tests to examine the functional relationship between VIX and breakeven inflation for the January 3, 2003 – April 5, 2016 sample period. Our tests indicate a significant inverse …