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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 European debt crisis, we analyze the role of television news in the rise and re-convergence of GIIPS bond spreads vis-à-vis Germany from 2007 to 2016. We use a dataset of more than...
Persistent link: https://www.econbiz.de/10014486807
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The economic consequences of rising US government debt: privileges at risk
Bohn, Henning - 2010
maturity of U.S. public debt - over $2.5 trillion maturing in 2010 - investor expectations are critical. Excessive debts …
Persistent link: https://www.econbiz.de/10003974641
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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/10008732265
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Debt maturity without commitment
Niepelt, Dirk - 2008
I analyze how lack of commitment affects the maturity structure of sovereign debt. Governments balance benefits of …-term debt affects default and rollover decisions by subsequent policy makers. The equilibrium maturity structure is shaped by … maturity structure with positive gross positions and a shortening of the maturity structure when debt issuance is high, output …
Persistent link: https://www.econbiz.de/10003803574
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FTPL and the maturity structure of government debt in the New-Keynesian model
Liemen, Max Ole; Posch, Olaf - 2022
which cases the average maturity of government debt matters for the transmission of policy shocks. The central task of this … paper is to shed light on the theoretical predictions of the maturity structure on macro dynamics with an emphasis on model … inflation dynamics. Our results illustrate the role of the maturity of existing debt in the wake of skyrocketing debt …
Persistent link: https://www.econbiz.de/10013285610
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Manufacturing risk-free government debt
Jiang, Zhengyang; Lustig, Hanno; Nieuwerburgh, Stijn van; … - 2021
Governments face a trade-off between insuring bondholders and taxpayers. If the government fully insures bondholders by manufacturing risk-free zero-beta debt, then it cannot also insure taxpayers against permanent macroeconomic shocks over long horizons. Instead, taxpayers will pay more in...
Persistent link: https://www.econbiz.de/10012437854
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The sovereign default problem in the Eurozone : an insurance-based approach
Arnold, Nadjeschda Katharina; Rees, Ray - 2015
This paper argues that the Eurozone crisis stems from a risk management failure in the Eurosystem's design, and that applying insurance theory is useful. We model risk neutral agents choosing portfolios of government bonds of n countries in a monetary union and other assets. We firstly analyse a...
Persistent link: https://www.econbiz.de/10010533082
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Debt stabilization and debt mutualization in a monetary union with endogenous risk premia
Engwerda, Jacob Christiaan; Aarle, Bas van; Weeren, … - 2015
In this paper we analyse debt stabilization in a monetary union that features endogenous risk premia. In particular, we analyse debt stabilization in two diametrically opposed regimes. In the first regime, the "national fiscal discipline regime", financial markets impose sovereign risk premia...
Persistent link: https://www.econbiz.de/10011350136
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"Whatever it takes" to resolve the European sovereign debt crisis? : bond pricing regime switches and monetary policy effects
Afonso, António; Arghyrou, Michael Georgiou; Gadea, … - 2017
This paper investigates the role of unconventional monetary policy as a source of time-variation in the relationship between sovereign bond yield spreads and their fundamental determinants. Our results provide evidence of a new bond-pricing regime following the announcement of the Outright...
Persistent link: https://www.econbiz.de/10011735972
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Sovereign bond market reactions to fiscal rules and no-bailout clauses : the Swiss experience
Feld, Lars P.; Kalb, Alexander; Moessinger, Marc-Daniel; … - 2013
We investigate the political determinants of risk premiums which sub-national governments in Switzerland have to pay for their sovereign bond emissions. For this purpose we analyse financial market data from 288 tradable cantonal bonds in the period from 1981 to 2007. Our main focus is on two...
Persistent link: https://www.econbiz.de/10009730535