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Macro News and Bond Yield Spreads in the Euro Area

Caporale, Guglielmo Maria - 2014

This paper analyses the effects of newspaper coverage of macro news on the spread between the yield on the 10-year … estimation of a VAR-GARCH model. The results can be summarized as follows. Negative news have significant positive effects on … yield spreads in all PIIGS countries but Italy before September 2008; markets respond more to negative news, and their …

Persistent link: https://www.econbiz.de/10013045338

Short and Long-Run Behaviour of Long-Term Sovereign Bond Yields

Afonso, António - 2010

This study assesses the short and long-run behaviour of long-term sovereign bond yields in OECD countries, for the period 1973-2008. We employ a dynamic panel approach to reflect financial and economic integration, and to increase the performance and accuracy of the tests. Given the existence of...

Persistent link: https://www.econbiz.de/10013135912

IMF Surveillance and Financial Markets - A Political Economy Analysis

Fratzscher, Marcel - 2014

The International Monetary Fund (IMF) is in the process of re-inventing itself with bilateral and multilateral surveillance emerging as a key function. The paper analyses how IMF surveillance announcements may be influenced by political power that member countries exert at the IMF. First, we...

Persistent link: https://www.econbiz.de/10013069721

Cash Flow Duration and the Term Structure of Equity Returns

Weber, Michael - 2016

The term structure of equity returns is downward-sloping: stocks with high cash flow duration earn 1.10% per month lower returns than short-duration stocks in the cross section. I create a measure of cash flow duration at the firm level using balance sheet data to show this novel fact. Factor...

Persistent link: https://www.econbiz.de/10012981605

Fiscal Spillovers in the Euro Area

Caporale, Guglielmo Maria - 2012

other countries in the euro area. The estimation of a multivariate, multi-country time series model (specifically a Global …

Persistent link: https://www.econbiz.de/10013112600

Long-Run Determinants of Sovereign Yields

Afonso, António; Rault, Christophe - 2021

We study sovereign bond yields in OECD countries with a dynamic panel by checking for cross-section dependence; assessing panel cointegration; and estimating panel error-correction models. The results show that markets consider budgetary and external imbalances and inflation as relevant...

Persistent link: https://www.econbiz.de/10013316172

ECB Interventions in Distressed Sovereign Debt Markets : The Case of Greek Bonds

Trebesch, Christoph - 2014

This paper analyses the determinants and effects of ECB interventions in times of severe distress. We focus on the Greek government bond market in mid-2010 and use a unique new dataset to show, for the first time, what type of bonds the ECB bought. We then explore the short-term effects of ECB...

Persistent link: https://www.econbiz.de/10013065438

ECB Interventions in Distressed Sovereign Debt Markets : The Case of Greek Bonds

Trebesch, Christoph - 2018

in a remarkable “twist” of the Greek yield curve. However, the effects were limited to those sovereign bonds actually …

Persistent link: https://www.econbiz.de/10012938010

Asset Pricing with Uncertain Betas : A Long-Term Perspective

Gollier, Christian - 2013

How should one evaluate investment projects whose CCAPM betas are uncertain? This question is particularly crucial for projects yielding long-lasting impacts on the economy, as is the case for example for many green investments. We define the notion of a certainty equivalent beta. We show that...

Persistent link: https://www.econbiz.de/10013087728

Inflation, Endogenous Market Segmentation and the Term Structure of Interest Rates

de Vries, Casper G. - 2015

The term structure of interest rates does not adhere to the expectations hypothesis, possibly due to a risk premium. We consider the implications of a risk premium that arises from endogenous market segmentation driven by variable inflation rates. In the absence of autocorrelation in inflation,...

Persistent link: https://www.econbiz.de/10013019404

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