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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/10012813850
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/10014234020
Were government bond risk premia affected by the media in addition to the effects of major events? Revisiting the … European debt crisis, we analyze the role of television news in the rise and re-convergence of GIIPS bond spreads vis … stability and “international financial support” to distressed countries in reducing bond spreads. Moreover, weekend news enables …
Persistent link: https://www.econbiz.de/10014486807
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
cycle and do not signal underpricing when a perfect matching between the auctioned bond and the market quote used is ensured. …
Persistent link: https://www.econbiz.de/10010519950
This paper investigates the informational efficiency of green bond markets using a recently introduced quantitative … inefficiency of the green bond market is generally found to be very similar to that of benchmark bond markets such as treasury bond … green bond markets are very similar to those in the benchmark bond markets. In other words, fundamental factors that drive …
Persistent link: https://www.econbiz.de/10014505807
We sort currencies by countries' consumption growth over the past four quarters. Currency portfolios of countries experiencing consumption booms have higher Sharpe ratios than those of countries going through a consumption-based recession. A carry strategy that goes short in countries that are...
Persistent link: https://www.econbiz.de/10009752999
We analyze the worst currency carry loss episodes in recent decades, including causes, attribution by currency, timing, and the duration of carry drawdowns. To explore the determinants of the length of carry losses, a model of carry drawdown duration is estimated. We find evidence that drawdown...
Persistent link: https://www.econbiz.de/10011568722
-depletion risk being their main concern, tend to quote wider (narrower) spreads when they think bond appreciation is more (less …) likely to occur. It is also found that the probability of being in a specific regime is related to observable bond market …. -- liquidity ; trading activity ; treasury bond market ; Europe ; commonality …
Persistent link: https://www.econbiz.de/10008798823
This paper considers what we argue was the first experiment of an exchangerate band. This experiment took place in Austria-Hungary between 1896 and1914. The rationale for introducing this policy rested on precisely thoseintuitions that modern target zone literature has recently emphasized:...
Persistent link: https://www.econbiz.de/10011399739