This paper introduces a new dataset on the composition of the investor base for government securities in the G20 advanced economies and the euro area. During the last decades, investors from abroad have increased their presence in government bond markets. The financial crisis broke this trend....

We estimate sovereign bond spreads of 28 emerging economies over the period January 1998-December 2011 and test the ability of the model in generating accurate in-sample predictions for emerging economies bond spreads. The impact and significance of country-specific and global explanatory...

We analyze determinants of sovereign bond yields in 22 advanced economies over the 1980-2010 period using panel cointegration techniques. The application of cointegration methodology allows distinguishing between long-run (debt-to-GDP ratio, potential growth) and short-run (inflation, short-term...

Intro -- Contents -- I. INTRODUCTION -- II. LOW GLOBAL INTEREST RATES: POSSIBLE EXPLANATIONS -- III. A MODEL OF INTEREST RATE DETERMINATION -- IV. EMPIRICAL EVIDENCE -- A. Data and Methodology -- B. Empirical Results -- C. A New Economy of Interest Rates? -- V. CONCLUSIONS AND POLICY...

Intro -- Contents -- I. MOTIVATION -- II. HISTORICAL EVIDENCE ON DEFAULT AND LENDING RESUMPTION -- III. THE ENVIRONMENT -- IV. OBSERVABLE TYPES -- V. UNOBSERVABLE TYPES -- VI. CONCLUDING REMARKS -- PROOFS OF PROPOSITIONS 3 AND 4 -- REFERENCES.

Intro -- Contents -- I. INTRODUCTION -- II. MEASUREMENT OF MARKET RISK -- III. MEASUREMENT OF CREDIT RISK -- IV. MEASUREMENT OF LIQUIDITY RISK -- V. AN INTEGRATED APPROACH TO RISK SENSITIVITY FOR A SECURITY WITH N RISK FACTORS -- VI. AN INTEGRATED APPROACH TO RISK SENSITIVITY FOR A PORTFOLIO...

This study empirically analyzes the determinants of bond market development in a cross section of 23 sub-Saharan African (SSA) countries between 1990 and 2008. It considers the stage of development and the size of the bond market, as well as the historical, structural, institutional and...

While the use of public resources is critical to cushion the impact of the financial crisis on the euro-area economy, it is key that the entailed fiscal costs not be seen by markets as undermining fiscal sustainability. From this perspective, to what extent do movements in euro area sovereign...

The recent round of debt relief has restored debt sustainability in many low-income countries (LICs). This, along with a continued search for yield and desire for portfolio diversification by investors, has increased the range of viable financing options, including international bonds, for many...

Using a panel of 30 emerging market economies from 1997 to 2007, this paper investigates the determinants of country risk premiums as measured by sovereign bond spreads. Unlike previous studies, the results indicate that both fiscal and political factors matter for credit risk in emerging...