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Can EU bonds serve as euro- denominated safe assets?
Bletzinger, Tilman; Greif, William; Schwaab, Bernd - 2022
A safe asset is of high credit quality, retains its value in bad times, and is traded in liquid markets. We show that bonds issued by the European Union (EU) are widely considered to be of high credit quality, and that their yield spread over German Bunds remained contained during the 2020...
Persistent link: https://www.econbiz.de/10013342231
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The impact of ECB corporate sector purchases on European green bonds
Bremus, Franziska; Schütze, Franziska; Zaklan, Aleksandar - 2021
bond market. We exploit these policy changes using a difference-in-differences strategy, with ineligible corporate green …
Persistent link: https://www.econbiz.de/10012498402
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Emotion in Euro Area Monetary Policy Communication and Bond Yields : The Draghi Era
Kanelis, Dimitrios; Siklos, Pierre L. - 2023
We combine modern methods from Speech Emotion Recognition and Natural Language Processing with high-frequency financial data to analyze how the vocal emotions and language of ECB President Mario Draghi affect the yield curve of major euro area economies. Vocal emotions significantly impact the...
Persistent link: https://www.econbiz.de/10014255461
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Quantitative easing and the supply of safe assets : evidence from international bond safety premia
Christensen, Jens H. E.; Mirkov, Nikola; Zhang, Xin - 2024
effects of the European Central Bank's bond purchases in the 2015-2021 period on an international panel of bond safety premia … effects for all four countries. This points to an important international spillover channel of QE programs to bond safety …
Persistent link: https://www.econbiz.de/10015062504
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Inflation-Linked Bonds, Nominal Bonds, and Countercyclical Monetary Policies
Westerhout, Ed - 2021
Although inflation-linked bonds have many advantages, nominal bonds are the most important instrument to finance public debts throughout the world. One explanation that the literature has offered is that nominal bonds make countercyclical monetary policies more effective. This paper reconsiders...
Persistent link: https://www.econbiz.de/10013243578
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The Capital-Protection Capacity of Emerging-Markets Inflation-Linked Bonds
de Jong, Marielle; Swinkels, Laurens - 2022
We investigate the capital-protection property of inflation-linked bonds in an international context over the period 2012 to 2022. Inflation-linked bonds compensate domestic investors for loss of local purchasing power. Whether the bonds protect foreign investors effectively depends on the...
Persistent link: https://www.econbiz.de/10013405694
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The impact of liquidity on in ation-linked bonds : a hypothetical indexed bonds approach
Auckenthaler, Julia; Kupfer, Alexander; Sendlhofer, Rupert - 2014
The sovereign's intention to issue inflation-linked bonds (ILB) is to save money. More than 15 years' experience with this financial instrument in the United States and in several other countries has led to the conclusion that these bonds are costly and basically characterized by low liquidity...
Persistent link: https://www.econbiz.de/10010251196
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Real Term Structure and Inflation Compensation in the Euro Area
Pericoli, Marcello - 2012
Estimates of the real term structure for the euro area implied by French index-linked bonds are obtained by means of a smoothing spline methodology. The real term structure allows computation of the constant-maturity inflation compensation, which is compared with the surveyed inflation...
Persistent link: https://www.econbiz.de/10013110056
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A European Safe Asset to Complement National Government Bonds
Giudice, Gabriele - 2019
national bond markets. The paper explores in particular the E-bonds model, whereby a supranational institution would raise …
Persistent link: https://www.econbiz.de/10012863654
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Is the ‘Euro Bond’ the Answer to the Euro Sovereign Debt Crisis? What Outcome Can Investors Expect Out of Europe?
Matziorinis, Kenneth N. - 2012
This paper analyzes the causes of the sovereign debt crisis in the eurozone and examines the policy alternatives … national lines into a single unified European government bond (EGB) market that can have the depth, breadth and liquidity to … investors and wealth managers to use euro bond instruments as a tool for payment or transactions needs as well as short …
Persistent link: https://www.econbiz.de/10013111171