Monetary policy shocks and stock market volatility in emerging markets Page 1 Risk
Governance & Control: Financial Markets & Institutions / Volume 10, Issue 3, 2020 50 …

Recently, machine-learning algorithms and existing financial data-analysis methods have
been actively studied. Although the term structure of government bonds has been well …

A Poisson process with stochastic intensity is utilized to model changes of a benchmark
interest rate set by a Central Bank. We propose explicit formulas for estimators of parameters …

We study the impact of changes in US monetary policy on the equity returns of real estate–
related industries. We find that, over the 1989–2005 sample period covered in our study, a …

This article examines how the US monetary policy surprises impact the mortgage rates in the
nation and across five regions from 1990 to 2008. Regression analysis based on …

Taking an event-study approach, this article examines the impact of the interest rate on the
insurance industry and its subindustries in contrast with other financials industries through …

On the basis of 100 monetary policy announcements made by the US Federal Reserve
between 1994 and 2005, we estimate the reaction of the hotel and restaurant industry stock …

Using the high-frequency identification from Piazzesi (2005), this study estimates a
Gaussian term structure model on daily US interest rates data to explore the reaction of the …

Against the backdrop of interest rate risk in the fixed income portfolios of the financial
institutions in India that arose since the first quarter of the current financial year 2008-09 the …

This paper investigates the sensitivity of the dynamic Nelson-Siegel factor loadings to the
value of the shape parameter, λ. It also analyses the multicollinearity problem and …