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The German sub-national government bond market: evolution, yields and liquidity

Schulz, Alexander; Wolff, Guntram B. - Deutsche Bundesbank - 2008

The paper presents a comprehensive data set of all bonds issued by the sixteen German states (L¨ander) since 1992. It thus provides a complete picture of a capital market comparable in size to funds raised in the German fixed income market for corporations. The quantitative analysis reveals...

Persistent link: https://www.econbiz.de/10005083318

Market conditions, default risk and credit spreads

Tang, Dragon Yongjun; Yan, Hong - Deutsche Bundesbank - 2008

Zeitverlauf bei wirtschaftlicher Expansion niedriger und bei wirtschaftlicher Rezession höher sind. Wenn das Wirtschaftswachstum …

Persistent link: https://www.econbiz.de/10005082769

Banking and sovereign risk in the euro area

Gerlach, Stefan; Schulz, Alexander; Wolff, Guntram B. - Deutsche Bundesbank - 2010

We study the determinants of sovereign bond spreads in the euro area since the introduction of the euro. We show that …

Persistent link: https://www.econbiz.de/10008564415

The term structure of interest rates and the macroeconomy: Learning about economic dynamics from a FAVAR

Halberstadt, Arne - Deutsche Bundesbank - 2015

Expectations about macroeconomic developments are important determinants of long term interest rates. In this paper, I compare two different assumptions on how agents may form their expectations about the economy and yields in a pseudo real time exercise. Based on the no-arbitrage...

Persistent link: https://www.econbiz.de/10011161229

Monetary policy, housing booms and financial (im)balances

Eickmeier, Sandra; Hofmann, Boris - Deutsche Bundesbank - 2010

house price inflation, strong private debt growth and low credit risk spreads. The results suggest that (i) monetary policy …

Persistent link: https://www.econbiz.de/10008595899

Financial conditions, macroeconomic factors and (un)expected bond excess returns

Fricke, Christoph; Menkhoff, Lukas - Deutsche Bundesbank - 2014

Bond excess returns can be predicted by macro factors, however, large parts remain still unexplained. We apply a novel … term structure model to decompose bond excess returns into expected excess returns (risk premia) and the unexpected part … possible determinants of bond excess returns. We find that the expected part of bond excess returns is driven by macro factors …

Persistent link: https://www.econbiz.de/10011093847

Monetary policy and stock market volatility

Bleich, Dirk; Fendel, Ralf; Rülke, Jan-Christoph - Deutsche Bundesbank - 2013

We estimate forward-looking interest rate reaction functions in the spirit of Taylor (1993) for four major central banks augmented by implicit volatilities of stock market indices to proxy financial market stress. Our results suggest that the Bank of England, the Federal Reserve Bank and the...

Persistent link: https://www.econbiz.de/10010984714

An affine multifactor model with macro factors for the German term structure: Changing results during the recent crises

Halberstadt, Arne; Stapf, Jelena - Deutsche Bundesbank - 2012

Using arbitrage-free affine models, we analyze the dynamics of German bond yields and risk premia for the period 1999 …

Persistent link: https://www.econbiz.de/10010957117

A value at risk analysis of credit default swaps

Scheicher, Martin; Raunig, Burkhard - Deutsche Bundesbank - 2008

We study the risk of holding credit default swaps (CDS) in the trading book. In particular, we compare the Value at Risk (VaR) of a CDS position to the VaR for investing in the respective firm's equity. Our sample consists of CDS – stock price pairs for 86 actively traded firms over the period...

Persistent link: https://www.econbiz.de/10005082760

An affine macro-finance term structure model for the euro area

Lemke, Wolfgang - Deutsche Bundesbank - 2007

all bond yields are fairly persistent, which reflects the persistence of their macroeconomic driving forces. Across the …

Persistent link: https://www.econbiz.de/10005083055