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Risk, return and portfolio allocation under alternative pension arrangements with imperfect financial markets
Miles, David; Černý, Aleš - 2001
between funded and unfunded systems when there are sources of uninsurable risk that are allocated in different ways by … return and income risks and also upon the actuarial fairness of annuity contracts. We focus on the case of Japan where aging …
Persistent link: https://www.econbiz.de/10011398101
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Macro news and bond yield spreads in the Euro area
Caporale, Guglielmo Maria; Spagnolo, Fabio; Spagnolo, Nicola - 2014
This paper analyses the effects of newspaper coverage of macro news on the spread between the yield on the 10-year German Bund and on sovereign bonds in eight countries belonging to the euro area (Belgium, France, Greece, Ireland, Italy, the Netherlands, Portugal and Spain) using daily data for...
Persistent link: https://www.econbiz.de/10010417491
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Quantitative easing in the euro area : an event study approach
Urbschat, Florian; Watzka, Sebastian - 2017
reduction is mostly due to a decreasing risk component of southern bonds. In fact, once controlling for this implicit credit … risk reduction we find rather mild effects from portfolio rebalancing for all countries. …
Persistent link: https://www.econbiz.de/10011743065
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57 channels (and nothin on) : does TV-news on the Eurozone affect government bond yield spreads?
Wolfinger, Julia; Feld, Lars P.; Köhler, Ekkehard A.; … - 2018
This paper empirically investigates the relationship between TV news coverage and the GIIPS countries' bond yield spreads using daily data between January 1, 2007 and December 1, 2016. We employ 1,542,233 human coded news items from evening news shows of leading TV stations in 12 countries which...
Persistent link: https://www.econbiz.de/10011955600
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Modelling persistence and non-linearities in the US treasury 10-year bond yields
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Yaya, … - 2022
This paper analyses persistence and non-linearities in quarterly and monthly US Treasury 10-year bond yields over the period 1962-2021 using two different fractional integration approaches including Chebyshev polynomials and Fourier functions respectively. The results for both quarterly and...
Persistent link: https://www.econbiz.de/10012813850
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Non-linearities and persistence in US long-run interest rates
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2020
This note examines the stochastic behaviour of US monthly 10-year government bond yields. Specifically, it estimates a fractional integration model suitable to capture both persistence and non-linearities, these being two important properties of interest rates. Two series are analysed, one from...
Persistent link: https://www.econbiz.de/10012383724
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"Whatever It Takes!" : how tonality of TV-news affected government bond yield spreads during the European debt crisis
Hirsch, Patrick; Feld, Lars P.; Köhler, Ekkehard A.; … - 2024
Were government bond risk premia affected by the media in addition to the effects of major events? Revisiting the …
Persistent link: https://www.econbiz.de/10014486807
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Funded and unfunded pension schemes : risk, return and welfare
Miles, David - 2000
funded and unfunded systems when there are sources of uninsurable risk that are allocated in different ways by different …
Persistent link: https://www.econbiz.de/10009781509
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Changes in risk and asset prices
Schlesinger, Harris; Gollier, Christian - 2001
We examine asset prices in a representative-agent model of general equilibrium. Assuming only that individuals are risk … averse, we determine conditions on the changes in asset risk that are both necessary and sufficient for the asset price to … incomplete in the sense of containing an uninsurable background risk, such as a risk on labor income. We extend our model to show …
Persistent link: https://www.econbiz.de/10011398103
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Corporate acquisitions and firm-level uncertainty : domestic versus cross-border deals
Bai, Ye; Girma, Sourafel; Riaño, Alejandro - 2020
This paper studies the impact of corporate acquisitions - both domestic and cross-border - on the uncertainty faced by acquiring firms. We use data for UK publicly-listed firms from 2004 to 2017 and employ a matching estimator combined with difference-in-differences to control for the endogenous...
Persistent link: https://www.econbiz.de/10012158166