With a unique dataset of euro area corporate bonds we study the role of large heterogeneous investors’ demand on currency pricing. We document that while insurance and pension funds exhibit strong preferences for holding assets issued by local firms and denominated in home currency; mutual...

Die Arbeit untersucht die Wiederherstellung der privaten deutschen Kreditwürdigkeit nach dem Zweiten Weltkrieg anhand eines Konstitutionsprozesses von Vertrauen im Zuge der Londoner Schuldenkonferenz. Im Mittelpunkt steht die These, dass die Bedeutung der deutschen Auslandsschuldenregelung...

We introduce safe asset demand for dollar-denominated bonds into a tractable incomplete-market model of exchange rates. The convenience yield on dollar bonds enters as a stochastic wedge in the Euler equations for exchange rate determination. This wedge reduces the pass-through from marginal...

Motivated by empirical evidence, we propose an open-economy New Keynesian model with financial integration that allows financial intermediaries to hold foreign long-term bonds. We find financial integration features an amplification for a domestic monetary policy shock and a negative spillover...

The paper tests whether there were events of contagion, and portfolio shift, in the sovereign bond markets of eleven emerging countries' between January 1995 and November 2001. From existing definitions, we narrow down the concept of contagion by focusing on pricing errors, after general market...

This paper analyzes the effects of including collective action clauses (CACs) and enhanced CACs in international (nondomestic law-governed) sovereign bonds on sovereigns’ borrowing costs, using secondary-market bond yield spreads. Our findings indicate that inclusion of enhanced CACs,...

Investments in international fixed income securities are exposed to significant currency risks. We collect novel data on mutual fund currency derivatives and document that around 90% of U.S. international fixed income funds use currency forwards to manage their foreign exchange exposure. Funds'...