Interest rate risk and the creation of the Monetary Policy Committee: Evidence from banks’ and life insurance companies’ stocks in the UK

Papadamou, Stephanos; Siriopoulos, Costas

doi:10.1016/j.jeconbus.2013.09.001

Cited by 30 publications

(18 citation statements)

References 63 publications

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“…Following asset pricing theories, the risk return tradeoff, and previous empirical research (see for instance, Elyasiani and Mansur 1998;Brewer et al 2007;Elyasiani et al 2007;Papadamou and Siriopoulos 2014), a GARCHin-mean model consisting of Eqs. (1)-(3) is estimated using maximum likelihood method:…”

Section: Methodsmentioning

confidence: 99%

Environmentally Responsible and Conventional Market Indices’ Reaction to Natural and Anthropogenic Adversity: A Comparative Analysis

Kollias

Papadamou

2015

J Bus Ethics

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It is widely claimed that climate change has increased the magnitude and the frequency of natural phenomena such as storms, droughts, and floods with the concomitant costs in terms of damages and victims. This paper using weekly data from global stock market indices in a Fama-French model, examines how and to what extent market agents and investors react to such events. As a yardstick for comparison purposes, the possible market impact of industrial accidents is also incorporated and examined in the empirical investigation. The study uses in a comparative approach the STOXX Global ESG Environmental Leaders index and the STOXX Global index diversified across 1800 top companies. Results reported herein seem to indicate that natural and anthropogenic adversity have no immediate impact on the stock indices, while wildfires have an immediate reduction impact on market risk in the case of the ESG Environmental Leaders index. Moreover, wildfires and industrial accidents appear to cause a significant reduction of systematic risk over the next week following the incident. However, the magnitude of the effect is higher in the case of the ESG Environmental Leaders stock index. Finally, the effect on systematic risk by industrial accidents is temporarily without any lasting imprint.

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Section: Methodsmentioning

confidence: 99%

Environmentally Responsible and Conventional Market Indices’ Reaction to Natural and Anthropogenic Adversity: A Comparative Analysis

Kollias

Papadamou

2015

J Bus Ethics

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“…In another study, Papadamou and Siriopoulos (2014) examined the sensitivity of the stock return of life insurance companies to interest rates in the UK on using the GARCH-M model. The result of the study indicated that while the sensitivity of insurance stock returns to change in the level and volatility of interest rates increased in the period before the Bank of England (BoE) was granted operational independence, it decreased after the establishment of the Monetary Policy Committee (MPC) in May 1997.…”

Section: Literature Reviewmentioning

confidence: 99%

“…Although there are various studies on the subject about the banking sector, the empirical studies on the impact of the exchange rate and interest rate on stock returns and volatility of insurance companies' stock prices are limited in number. Those studies examined the dynamic time-varying nature of insurance stock returns include Brewer, Carson, Elyasiani, Mansur, and Scott (2007), Jensen, Johnson, and McNamara (2009), Dikko, Asiribo, and Samson (2015), and Papadamou and Siriopoulos (2014). Although these studies analysed thoroughly the effects of exchange rate and interest rate exposure on stock returns of insurance companies, they overlooked the effects of exchange rate, interest rate, and the global financial crisis of 2008 on the volatility of stock returns in the insurance sector.…”

Section: Introductionmentioning

confidence: 99%

The Effects of Exchange Rate and Interest Rate Exposure on the Stock Returns and Volatility of Turkish Insurance Companies

Çelik¹

2020

ISTJECON

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This study examines the impact of exchange rate and interest changes on stock returns and volatility of Turkish insurance companies using the EGARCH model for the period of 01/01/2009 to 15/04/2020. The results show: (i) while interest rate has a negative and significant effect on the conditional stock return, its effect on the volatility of stock returns of insurance companies is limited; (ii) however, the exact opposite is true for the exchange rate risk. The exchange rate risk exerts an important impact on the volatility of insurance stock returns but it has no effect on the mean stock returns of insurance companies; (iii) the findings also indicate that the volatility of insurance stock returns are highly persistent over time and they are more sensitive to old news than recent surprises; (iv) positive and negative news have an asymmetric effect on volatility implying that positive innovations (good news such as a market) have a larger impact on current conditional variance (current volatility of returns) than negative innovations (bad news such as market stagnation) of the same magnitude; (v) finally, the volatility of insurance portfolio's and insurance companies' stock returns has risen significantly during the financial crisis of 2008 compared to the rest of the sample period.

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“…Recently, Papadamou and Siriopoulos (2014) hold the opinion that the development of developing countries' financial market is constrained because governments disobey natural economy laws, leading to breaks in market demand and supply, hence blocking economic development. Moreover, Papadamou and Siriopoulos propose to eliminate financial repression and release the control of interest rate, so that one would reach true financial liberalization.…”

Section: Literature Reviewmentioning

confidence: 99%

Duration gap analysis revisited method in order to improve risk management: the case of Chinese commercial bank interest rate risks after interest rate liberalization

Ausloos

Kaur³

et al. 2019

Soft Comput

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Modern theories attach much attention to interest rate-related problems. We discuss the impacts of the interest rate liberalization, in China, for ten commercial banks of three markedly different ownership types. The methodology is based on revisited interest rate sensitivity analysis, duration analysis and value-at-risk analysis. The situation is examined within both vertical (composition of operating income and interest rate sensitivity gap for the ten banks in the same year) and horizontal (one bank over a 7-year period) aspects. Thereafter, we discuss the present management of interest rate risks by such banks. We conclude with several suggestions on how such commercial banks risk management can be refocused and on how their cases can be used for comforting other banking cases. Keywords Risk management Á Commercial banks Á Different ownership types Á Interest rate sensitivity analysis Á Duration gap analysis Á Value-at-risk analysis Á Horizontal and vertical aspects Communicated by M. Squillante.

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Interest rate risk and the creation of the Monetary Policy Committee: Evidence from banks’ and life insurance companies’ stocks in the UK

Cited by 30 publications

References 63 publications

Environmentally Responsible and Conventional Market Indices’ Reaction to Natural and Anthropogenic Adversity: A Comparative Analysis

Environmentally Responsible and Conventional Market Indices’ Reaction to Natural and Anthropogenic Adversity: A Comparative Analysis

The Effects of Exchange Rate and Interest Rate Exposure on the Stock Returns and Volatility of Turkish Insurance Companies

Duration gap analysis revisited method in order to improve risk management: the case of Chinese commercial bank interest rate risks after interest rate liberalization

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