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Valuing Government Obligations When Markets are Incomplete
Hasanhodzic, Jasmina - 2017
Determining how to value net government obligations is a long-standing and fundamental question in public finance. Its answer is critical to cost-benefit analysis, the assessment of fiscal sustainability, generational accounting, and other economic issues. This paper posits and simulates a...
Persistent link: https://www.econbiz.de/10012453621
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Bond Market Clienteles, the Yield Curve, and the Optimal Maturity Structure of Government Debt
Guibaud, Stéphane - 2013
We propose a clientele-based model of the yield curve and optimal maturity structure of government debt. Clienteles are generations of agents at different lifecycle stages in an overlapping-generations economy. An optimal maturity structure exists in the absence of distortionary taxes and...
Persistent link: https://www.econbiz.de/10012459739
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Does It Matter How Central Banks Accumulate Reserves? Evidence from Sovereign Spreads
Sosa Padilla, César; Sturzenegger, Federico - National Bureau of Economic Research - 2021
There has been substantial research on the benefits of accumulating foreign reserves, but less on the relative merits of how these reserves are accumulated. In this paper we explore whether the form of accumulation affects country risk. We first present a model of endogenous sovereign debt...
Persistent link: https://www.econbiz.de/10012585457
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The Treasury Market in Spring 2020 and the Response of the Federal Reserve
Vissing-Jørgensen, Annette - National Bureau of Economic Research - 2021
Treasury yields spiked during the initial phase of COVID. The 10-year yield increased by 64 bps from March 9 to 18, 2020, leading the Federal Reserve to purchase $1T of Treasuries in 2020Q1. Fed purchases were causal for reducing Treasury yields based on the timing of purchases (which increased...
Persistent link: https://www.econbiz.de/10012616576
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Intermediary Balance Sheets and the Treasury Yield Curve
Du, Wenxin; Hébert, Benjamin; Li, Wenhao - National Bureau of Economic Research - 2022
We document regime change in the U.S. Treasury market post-Global Financial Crisis (GFC): dealers switched from a net short to a net long position in the Treasury market. We first derive bounds on Treasury yields that account for dealer balance sheet costs, which we call the net short and net...
Persistent link: https://www.econbiz.de/10013334440
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The Banking View of Bond Risk Premia
Haddad, Valentin - 2019
Banks' balance-sheet exposure to fluctuations in interest rates strongly forecasts excess Treasury bond returns. This result is consistent with optimal risk management, a banking counterpart to the household Euler equation. In equilibrium, the bond risk premium compensates banks for bearing...
Persistent link: https://www.econbiz.de/10012480314
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Bank sovereign bond holdings, sovereign shock spillovers, and moral hazard during the European crisis
Beltratti, Andrea - 2015
From 2010 to 2012, the relation between bank stock returns from European Union (EU) countries and the returns on …
Persistent link: https://www.econbiz.de/10012457516
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Vulnerable Banks
Greenwood, Robin - 2012
When a bank experiences a negative shock to its equity, one way to return to target leverage is to sell assets. If … asset sales occur at depressed prices, then one bank's sales may impact other banks with common exposures, resulting in … explains how the distribution of bank leverage and risk exposures contributes to a form of systemic risk. We compute bank …
Persistent link: https://www.econbiz.de/10012460123
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Banks and Tax-Exempt Debt Arbitrage
Hines, James R.; Horton, Emily - National Bureau of Economic Research - 2024
Interest paid by U.S. state and local bonds is tax-exempt, making these bonds attractive to investors - though a tax rule limits arbitrage opportunities by restricting associated interest expense deductions. Prior to 1986, U.S. banks were not subject to the interest deduction limitation, making...
Persistent link: https://www.econbiz.de/10014635610
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Central Bank Policy and the Concentration of Risk : Empirical Estimates
Coimbra, Nuno; Kim, Daisoon; Rey, Hélène - National Bureau of Economic Research - 2021
Before the 2008 crisis, the cross-sectional skewness of banks' leverage went up and macro risk concentrated in the balance sheets of large banks. Using a model of profit-maximizing banks with heterogeneous Value-at-Risk constraints, we extract the distribution of banks' risk-taking parameters...
Persistent link: https://www.econbiz.de/10012585391