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Article
Publication date: 21 August 2017

Miguel Rodriguez Gonzalez, Frederik Kunze, Christoph Schwarzbach and Christoph Dieng

This paper aims to investigate the long-term relationships of long-term European Monetary Union (EMU) government bond yields. From an asset managersā€™ or risk managersā€…

Abstract

Purpose

This paper aims to investigate the long-term relationships of long-term European Monetary Union (EMU) government bond yields. From an asset managersā€™ or risk managersā€™ perspective during the euro crisis, the relevance of sovereign credit and redenomination risk became a major issue. Furthermore, it has to be differentiated between core and non-core EMU member countries.

Design/methodology/approach

Methods of applied time series analysis are used to investigate EMU government bond yields and EMU government bond yield spreads for Spain, Italy, The Netherlands, Austria and Germany. Both standard unit root testing procedures and breakpoint unit root tests are used to examine cointegrating relationships and structural changes in these relationships.

Findings

The empirical results deliver clear evidence for structural shifts in the long-term relationship between German and the two non-core EMU countries (Italy and Spain). The timing of the breaks coincides with the timing of the euro crisis. On the contrary, the results for Austria and The Netherlands are different from the findings for the two non-core countries.

Research limitations/implications

One major limitation of the study is the limited availability of data regarding to the reaction of asset managers or risk managers to the euro crisis. Especially in the context of the discussion with regard to the relevant risk-free rate for investors, this strand of research is relatively new.

Practical implications

A deeper understanding of changes in the long-term relationship between government bond yields and the re-emergence of redenomination risk is important for asset managers and risk managers in the financial services industry. This is especially true for German life insurers.

Originality/value

The study provides various empirical contributions to the literature on the euro crisis and sovereign credit risk. First, previous results with regard to the structural changes in the long-term relationship between German and Spanish, German and Italian, German and Austrian as well as Germany and Dutch government bond yields are confirmed using unit root breakpoint tests. Second, investigating the autoregressive coefficient and the timing of the breaks delivers evidence that non-core countries have been more exposed to the fear of redenomination risk. Third, we raise the question which risk free interest rate is relevant for the affected countries.

Details

The Journal of Risk Finance, vol. 18 no. 4
Type: Research Article
ISSN: 1526-5943

Keywords

Article
Publication date: 21 September 2020

Frederik Kunze, Tobias Basse, Miguel Rodriguez Gonzalez and Günter Vornholz

In the current low-interest market environment, more and more asset managers have started to consider to invest in property markets. To implement adequate and…

Abstract

Purpose

In the current low-interest market environment, more and more asset managers have started to consider to invest in property markets. To implement adequate and forward-looking risk management procedures, this market should be analyzed in more detail. Therefore, this study aims to examine the housing market data from the UK. More specifically, sentiment data and house prices are examined, using techniques of time-series econometrics suggested by Toda and Yamamoto (1995). The monthly data used in this study is the RICS Housing Market Survey and the Nationwide House Price Index ā€“ covering the period from January 2000 to December 2018. Furthermore, the authors also analyze the stability of the implemented Granger causality tests. In sum, the authors found clear empirical evidence for unidirectional Granger causality from sentiment indicator to the house prices index. Consequently, the sentiment indicator can help to forecast property prices in the UK.

Design/methodology/approach

By investigating sentiment data for house prices using techniques of time-series econometrics (more specifically the procedure suggested by Toda and Yamamoto, 1995), the research question whether sentiment indicators can be helpful to predict property prices in the UK is analyzed empirically.

Findings

The empirical results show that the RICS Housing Market Survey can help to predict the house prices in the UK.

Practical implications

Given these findings, the information provided by property market sentiment indicators certainly should be used in a forward-looking early warning system for house prices in the UK.

Originality/value

To authorsā€™ knowledge, this is the first paper that uses the procedure suggested by Toda and Yamaoto to search for suitable early warning indicators for investors in UK real estate assets.

Details

The Journal of Risk Finance, vol. 21 no. 5
Type: Research Article
ISSN: 1526-5943

Keywords

Article
Publication date: 26 July 2013

Abubakr Suliman and Bader Al Harethi

The purpose of this paper is to examine the potential relationships between perceived work climate and work performance in security organizations. Furthermore, the…

1508

Abstract

Purpose

The purpose of this paper is to examine the potential relationships between perceived work climate and work performance in security organizations. Furthermore, the relationship of various factors related to work climate and work performance are studied and investigated.

Design/methodology/approach

The data was collected from a public security organization in the UAE. Using a selfā€managed questionnaire, a sample of 500 fullā€time employees was surveyed ā€“ randomly selected from top, middle and lower level of management.

Findings

The results show that organizational climate and its components significantly predict work performance and its factors.

Practical implications

The theoretical and managerial implications of the findings are discussed in the paper, together with some recommendations for managing work climate and performance in security organizations.

Originality/value

The paper examines the links between climate and performance for the first time in public security organizations in the UAE and the Arabic context.

Details

Transforming Government: People, Process and Policy, vol. 7 no. 3
Type: Research Article
ISSN: 1750-6166

Keywords

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