August 11, 2015 | Refinancing

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Archive for August 11th, 2015

Consumer Bankruptcy, Bank Mergers, and Information

August 11th, 2015

This article analyzes the relationship between consumer bankruptcy patterns and the destruction of soft information caused by mergers. Using a major Canadian bank merger as a source of exogenous variation in local banking conditions, we show that local markets affected by the merger exhibit an increase in consumer bankruptcy rates post-merger. The evidence is consistent with the most plausible mechanism being the disruption of consumer–bank relationships. Markets affected by the merger show a decrease in the merging institutions’ branch presence and market share, including those stemming from higher switching rates. We rule out alternative mechanisms such as changes in quantity of credit, loan rates, or observable borrower characteristics.

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The Performance of Market Timing Measures in a Simulated Environment

August 11th, 2015

Using simulations controlling for the ability to time the equity, bond, and money markets, we compare daily and monthly performance measures. Our main results highlight the joint importance of the fictitious timer’s trading frequency and the data sampling frequency for estimation. Specifically, daily timing measures are superior to those estimated monthly for daily timers, but inferior for occasional or monthly timers. Global measures show more robustness to differences in trading and data sampling frequencies. Finally, conditional measures do not improve upon unconditional ones, and results are similar for performance detection versus ranking.

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Price Pressures on UK Real Rates: An Empirical Investigation

August 11th, 2015

We assess the impact of institutional investors’ demand for gilts on UK real rates by structurally estimating the model of Vayanos and Vila (2009). We therefore include those investors believed to display inelastic demand for gilts and preferences for longer-term maturities. The estimated model fits the term structure of real rates well, and strongly supports our choice of institutional investors. These investors’ demand contributed to the decline in medium- to longer-term real rates by compressing bond risk premia. However, the price impact varied across investors and over time, and was only partly attenuated by increased supply.

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FAAIF Presents Islamic Finance Events Across Europe in August 2015

August 11th, 2015

FAAIF Events produces Islamic finance events in the Netherlands, the UK, and Italy.

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