Contagion effects and risk transmission channels in the housing, stock, interest rate and currency markets: An Empirical Study in China and the U.S.

2020 ◽  
Vol 54 ◽  
pp. 101113 ◽  
Author(s):  
Peiwan Wang ◽  
Lu Zong
Keyword(s):  
Interest Rate ◽  
Empirical Study ◽  
Housing Stock ◽  
Currency Markets ◽  
Transmission Channels ◽  
Contagion Effects ◽  
The U.S

Electric End-Use Energy Efficiency Potential in the U.S. Single-Family Housing Stock

2017 ◽  
Author(s):  
Eric Wilson ◽  
Craig Christensen ◽  
Scott Horowitz ◽  
Joseph Robertson ◽  
Jeff Maguire
Keyword(s):  
Energy Efficiency ◽  
Housing Stock ◽  
Single Family ◽  
Family Housing ◽  
End Use ◽  
Energy Efficiency Potential ◽  
The U.S

What Influences the Market Outcome of Online P2P Lending Marketplace?

2015 ◽  
Vol 23 (3) ◽  
pp. 23-40 ◽  
Author(s):  
Yun Xu ◽  
Chuan Luo ◽  
Dongyu Chen ◽  
Haichao Zheng
Keyword(s):  
Social Capital ◽  
Interest Rate ◽  
Online Communities ◽  
Global Perspective ◽  
Archival Data ◽  
Bank Institution ◽  
Creditor Bank ◽  
Prior Literature ◽  
P2p Lending ◽  
The U.S

Online Peer-to-Peer (P2P) lending marketplaces allow individuals to lend and borrow directly among each other without the mediation of a creditor bank institution. Prior literature has examined online P2P, but has largely been limited to the Western context. This paper thus explores how social capital and other factors influences online P2P lending in the U.S. and China. Based on the archival data of Prosper and PPDai, we compare market outcome of two online P2P lending marketplaces in the U.S. and China. The empirical results show that social capital is not equally important in different online communities. Social capital seems to be more influential for likelihood of getting funded in China than in the U.S. In contrast, social capital has influence on interest rate in the U.S. only. The authors' study thus extends current understanding about how social capital influences online communities to a global perspective.

Yield Curves, Swap Curves, and Term Structure of Interest Rates

2019 ◽  
pp. 203-228
Author(s):  
Tom P. Davis ◽  
Dmitri Mossessian
Keyword(s):  
Interest Rate ◽  
Interest Rates ◽  
Term Structure ◽  
Yield Curve ◽  
Yield Curves ◽  
No Arbitrage ◽  
Interest Rate Swap ◽  
The Interest Rate ◽  
Rate Swap ◽  
The U.S

This chapter discusses multiple definitions of the yield curve and provides a conceptual understanding on the construction of yield curves for several markets. It reviews several definitions of the yield curve and examines the basic principles of the arbitrage-free pricing as they apply to yield curve construction. The chapter also reviews cases in which the no-arbitrage assumption is dropped from the yield curve, and then moves to specifics of the arbitrage-free curve construction for bond and swap markets. The concepts of equilibrium and market curves are introduced. The details of construction of both types of the curve are illustrated with examples from the U.S. Treasury market and the U.S. interest rate swap market. The chapter concludes by examining the major changes to the swap curve construction process caused by the financial crisis of 2007–2008 that made a profound impact on the interest rate swap markets.

scholarly journals Crash Risk in Currency Returns

2018 ◽  
Vol 53 (1) ◽  
pp. 137-170 ◽  
Author(s):  
Mikhail Chernov ◽  
Jeremy Graveline ◽  
Irina Zviadadze
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Exchange Rates ◽  
Empirical Model ◽  
Crash Risk ◽  
Currency Risk ◽  
Jump Risk ◽  
Bilateral Exchange ◽  
The U.S

We develop an empirical model of bilateral exchange rates. It includes normal shocks with stochastic variance and jumps in an exchange rate and in its variance. The probability of a jump in an exchange rate corresponding to depreciation (appreciation) of the U.S. dollar is increasing in the domestic (foreign) interest rate. The probability of a jump in variance is increasing in the variance only. Jumps in exchange rates are associated with announcements; jumps in variance are not. On average, jumps account for 25% of currency risk. The dollar carry index retains these features. Options suggest that jump risk is priced.

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