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The Term Structure of Interest Rates in a Heterogeneous Monetary Union
Costain, James S.; Nuno, Galo; Thomas, Carlos - 2022
default probability, showing that it decreases with central bank bond-holdings. Calibrating the model to Germany and Italy, we …
Persistent link: https://www.econbiz.de/10014080055
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Modelling Persistence and Non-Linearities in the US Treasury 10-Year Bond Yields
Caporale, Guglielmo Maria; Gil-Alana, Luis A.; Yaya, … - 2022
This paper analyses persistence and non-linearities in quarterly and monthly US Treasury 10-year bond yields over the …
Persistent link: https://www.econbiz.de/10013306037
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57 Channels (and Nothin on) - Does TV-News on the Eurozone Affect Government Bond Yield Spreads?
Wolfinger, Julia - 2019
This paper empirically investigates the relationship between TV news coverage and the GIIPS countries’ bond yield …
Persistent link: https://www.econbiz.de/10012892159
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On creditor seniority and sovereign bond prices in Europe
Steinkamp, Sven; Westermann, Frank - 2012
variables has generated a debate on multiple equilibria in the sovereign bond market (see De Grauwe and Ji (2012)). We … between senior tranche lending - including Target2 balances - and recent developments in the sovereign bond market, both …
Persistent link: https://www.econbiz.de/10010288465
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The Term Structure of Interest Rates in a Heterogeneous Monetary Union
Costain, James; Nuño, Galo; Thomas, Carlos - 2022
default probability, showing that it decreases with central bank bond-holdings. Calibrating the model to Germany and Italy, we …
Persistent link: https://www.econbiz.de/10013353456
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Uncertainty and the Cost of Bank vs. Bond Finance
Grimme, Christian - 2019
How does uncertainty affect the costs of raising finance in the bond market and via bank loans? Empirically, this paper … finds that heightened uncertainty is accompanied by an increase in corporate bond yields and a decrease in bank lending … the value of the lending relationship and lowers the lending rate. Bond investors demand compensation for the increased …
Persistent link: https://www.econbiz.de/10012892132
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Debt as Safe Asset
Brunnermeier, Markus K.; Merkel, Sebastian; Sannikov, Yuliy - 2022
The price of a safe asset reflects not only the expected discounted future cash flows but also future service flows, since retrading allows partial insurance of idiosyncratic risk in an incomplete markets setting. This lowers the issuers’ interest burden and allows the government to run a...
Persistent link: https://www.econbiz.de/10013308246
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Multilateral Loans and Interest Rates: Further Evidence on the Seniority Conundrum
Steinkamp, Sven; Westermann, Frank - 2016
During Europe’s sovereign-debt crisis, interest rate spreads have been highly correlated with the share of multilateral loans that were considered senior to private markets. As both variables are potentially endogenous, we follow two different approaches to analyze the direction of causality....
Persistent link: https://www.econbiz.de/10011584924
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US Municipal Green Bonds and Financial Integration
Caporale, Guglielmo Maria; Spagnolo, Nicola - 2023
green bond returns and volatilities. On the whole, the evidence suggests weaker linkages, and thus a lower degree of …
Persistent link: https://www.econbiz.de/10014358701
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The Euro Area Periphery Sovereigns' Fiscal Positions and Unconventional Monetary Policy
Hülsewig, Oliver - 2020
We explore the reaction of the euro area periphery sovereigns' fiscal positions to an unconventional monetary policy shock. We estimate panel vector autoregressive (VAR) models over the period 2010-2018, and identify the shock by imposing sign restrictions. Our results suggest that the...
Persistent link: https://www.econbiz.de/10012843420