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paper attempts to identify the determinants of yield spread of Government of India Bonds, controlling for various bond … finds that trades, trade interval, turnover, and coupon are the key determinants of yield spread in the Government of India …
Persistent link: https://www.econbiz.de/10012929987
Liquidity is one of the most important factors after credit risk that affects the bond yields. The paper uses various … measures of liquidity to understand their determinants in Indian sovereign bond market. The Liquidity measured by parameters … much deterioration in general market liquidity condition as RBI injected large amount of liquidity to the system within a …
Persistent link: https://www.econbiz.de/10013081819
bond per year for optimum trading volume in the Government of India (GoI) bond market. Implications: GoI publishes a … management with enhanced trading liquidity and lower cost of public debt. Originality & Value: Literature review provides no …
Persistent link: https://www.econbiz.de/10012941680
We use spatial panel data model analysis to study the international transmission of U.S. monetary policy shocks in the global equity and bond markets. Through this analysis, we decompose the overall effect of such a shock into 1) direct effects, 2) higher-order network effects transmitted...
Persistent link: https://www.econbiz.de/10012845434
are costly and basically characterized by low liquidity issues. Recently, various papers have started to analyze the … impact of liquidity on ILB yields. This paper summarizes studies concerning ILB liquidity at a glance and adds a new … estimation strategy of the liquidity premium based on Campbell & Shiller's (1996) hypothetical ILB yields. We calculate the …
Persistent link: https://www.econbiz.de/10010251196
credit spreads during 2002-2012: a liquidity regime and a default regime. Both regimes contribute to the patterns observed in … credit spreads. The liquidity regime seems to explain the predictive power of credit risk on the 2007-2009 NBER recession …
Persistent link: https://www.econbiz.de/10013077480
Diversification benefits depend on the correlation between assets. Unfortunately, asset correlation increases when it is most needed. We examine bond correlation using a broad sample of US corporate bonds. We find bond correlation to be higher during the financial crisis in 2008. Increased bond...
Persistent link: https://www.econbiz.de/10009777926
market liquidity over time, when dealer balance sheet utilization reaches sufficiently high levels, liquidity is much worse …
Persistent link: https://www.econbiz.de/10014393396
We analyze the impact of market frictions on trading volume and liquidity premia for finite maturity assets when … volume and maturity, ii) decreasing trading volume as assets age, iii) an increasing liquidity term structure when … considering ask prices, and iv) a liquidity term structure from bid prices that is decreasing or U-shaped. Empirical tests using …
Persistent link: https://www.econbiz.de/10009767309
We analyze the impact of market frictions on trading volume and liquidity premia of finite maturity assets when … volume and maturity, ii) lower trading volumes of older compared to younger assets, iii) an increasing liquidity term … structure when considering ask prices, and iv) a liquidity term structure from bid prices that is decreasing or U …
Persistent link: https://www.econbiz.de/10010248497