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What Makes US Government Bonds Safe Assets?
He, Zhiguo - 2016
US government bonds are widely considered to be the world's safe store of value. US government bonds are a large … fraction of safe asset portfolios, such as the porfolios of many central banks. The world demand for safe assets leads to low …
Persistent link: https://www.econbiz.de/10012456656
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The Long and the Short of It : Sovereign Debt Crises and Debt Maturity
Fernández, Raquel - 2014
We present a simple model of sovereign debt crises in which a country chooses its optimal mix of short and long-term bonds subject to standard contracting frictions: the country cannot commit to repay its debts nor to a specific path of future debt issues, and contracts cannot be made state...
Persistent link: https://www.econbiz.de/10012457880
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Banks and Derivatives
Gorton, Gary - 1995
In the last ten to fifteen years financial derivative securities have become an important, and controversial, product …, the difficulties with accurately reporting timely information concerning the value of firms' derivative positions, and the … concentration of activity in a small number of firms, has substantially increased the risk of collapse of the world banking system …
Persistent link: https://www.econbiz.de/10012473787
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Aggregate Income Risks and Hedging Mechanisms
Shiller, Robert J. - 1993
Estimates are made, from time series data on real gross domestic products, of the standard deviations of returns in markets for perpetual claims on countries' incomes. The results indicate that the variability of returns is of a magnitude comparable to that of returns in stock markets. Evidence...
Persistent link: https://www.econbiz.de/10012474555
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The Market for OTC Derivatives
Atkeson, Andrew G. - 2013
We develop a model of equilibrium entry, trade, and price formation in over-the- counter (OTC) markets. Banks trade derivatives to share an aggregate risk subject to two trading frictions: they must pay a fixed entry cost, and they must limit the size of the positions taken by their traders...
Persistent link: https://www.econbiz.de/10012459749
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Carry Trade and Systemic Risk : Why are FX Options so Cheap?
Caballero, Ricardo J. - 2012
In this paper we document first that, in contrast with their widely perceived excess returns, popular carry trade strategies yield low systemic-risk-adjusted returns. In particular, we show that carry trade returns are highly correlated with the return of a VIX rolldown strategy --i.e., the...
Persistent link: https://www.econbiz.de/10012460016
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Common Risk Factors in Currency Markets
Lustig, Hanno - 2008
We identify a 'slope' factor in exchange rates. High interest rate currencies load more on this slope factor than low interest rate currencies. As a result, this factor can account for most of the cross-sectional variation in average excess returns between high and low interest rate currencies....
Persistent link: https://www.econbiz.de/10012464567
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Maintaining Central-Bank Financial Stability under New-Style Central Banking
Hall, Robert E. - 2015
are real in theory, but remote in practice today …
Persistent link: https://www.econbiz.de/10012457494
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Interest Rate Uncertainty and Sovereign Default Risk
Johri, Alok - 2020
International data suggests that fluctuations in the level and volatility of the world interest rate (as measured by … economies. We incorporate an estimated time-varying process for the world interest rate into a model of sovereign default … calibrated to a panel of emerging economies. Time variation in the world interest rate interacts with default incentives in the …
Persistent link: https://www.econbiz.de/10012481187
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Interest Rate Uncertainty as a Policy Tool
Ghironi, Fabio - 2020
the world. Under every scenario, uncertainty policy is inflationary …
Persistent link: https://www.econbiz.de/10012481668