Studies on the interest rate markets after the financial crisis
Abstract: In this thesis, we construct two interest rate models that offer insights into the transformation of the interest rate scenario, after the 2007/2008 financial crisis, the following Euro debt crisis, and the introduction of negative interest rates. Our first model, an affine term structure model, dissects both interbank and credit default swap (CDS) spreads into default, non-default, and correlation components. Our findings highlight the non-default spread as a major explanatory variable for the variance in the interbank market during the crisis period. Similarly, the non-default spread in the CDS market gained increased importance post-financial crisis. Utilizing principal component analysis, we isolated the level and slope effects of each spread and investigated their interaction with macroeconomic and financial variables. Our findings reveal that financial variables, particularly stock prices and volatility, have a considerable influence on the default spreads. Interestingly, even though the influence of the slope of the non-default spread in the interbank market on financial variables is not large in magnitude, its significance is evident. Our second model, also an affine factor model, simultaneously investigates the effects of interest and exchange rate fluctuations on mortgage decisions. It provides a novel perspective on cross-border mortgage selection, focusing on the optimal split between domestic fixed-rate mortgages (FRMs) and foreign adjustable-rate mortgages (ARMs). This model accounts for a variety of factors, including the disposable income, the total mortgage amount, the level of interest rates, and risk attitudes. We applied this model in a case study involving Germany and Switzerland to demonstrate its practical implications
- Standort
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Deutsche Nationalbibliothek Frankfurt am Main
- Umfang
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Online-Ressource
- Sprache
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Englisch
- Anmerkungen
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Universität Freiburg, Dissertation, 2023
- Klassifikation
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Wirtschaft
- Schlagwort
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Kreditmarkt
Finanzkrise
Risikomanagement
Interbankgeschäft
Notenbank
Liquiditätsrisiko
- Ereignis
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Veröffentlichung
- (wo)
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Freiburg
- (wer)
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Universität
- (wann)
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2023
- Urheber
- Beteiligte Personen und Organisationen
- DOI
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10.6094/UNIFR/240055
- URN
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urn:nbn:de:bsz:25-freidok-2400559
- Rechteinformation
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Open Access; Der Zugriff auf das Objekt ist unbeschränkt möglich.
- Letzte Aktualisierung
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14.08.2025, 10:49 MESZ
Datenpartner
Deutsche Nationalbibliothek. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Beteiligte
Entstanden
- 2023
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