Showing 1 - 10 of 622
The increasing ability to trade credit risk in financial markets has facilitated its dispersion across the financial and other sectors. However, specific risks attached to credit risk transfer (CRT) instruments in a market with still-limited liquidity means that its rapid expansion may actually...
Persistent link: https://www.econbiz.de/10005826449
We investigate the pricing of sovereign credit risk over the period 2008-2010 for selected advanced economies by examining two widely-used indicators: sovereign credit default swap (CDS) and relative asset swap (RAS) spreads. Cointegration analysis suggests the existence of an imperfect market...
Persistent link: https://www.econbiz.de/10009650642
This paper sets forth some basic principles that could help debt managers in emerging market and other countries to plan and implement sovereign debt buyback and swap operations. It discusses the macroeconomic context in which buybacks and swaps are undertaken, the objectives of buybacks and...
Persistent link: https://www.econbiz.de/10005826410
delivered bond's face value. This paper addresses the implications of the difference between bond and CDS spreads and shows the … recovery rates from CDS and bond markets, using data from Brazil's distress in 2002-03. Results are related to the observation … that preemptive restructurings are now more common than straight defaults in sovereign bond markets and that this leads to …
Persistent link: https://www.econbiz.de/10005605393
activity; (iii) a positive shock to the corporate bond spread lowers industrial output; and (iv) risk indicators for the …
Persistent link: https://www.econbiz.de/10005825755
The Bank of England's current "quantitative easing" strategy has given rise to a controversial debate about the effects and risks of unconventional monetary policy. The present paper makes two contributions to this debate. First, it provides a systematic overview of unconventional policy...
Persistent link: https://www.econbiz.de/10008528642
This paper examines why some financial stress episodes lead to economic downturns. The paper identifies episodes of financial turmoil using a financial stress index (FSI), and proposes an analytical framework to assess the impact of financial stress-in particular banking distress-on the real...
Persistent link: https://www.econbiz.de/10004999977
The effects of unanticipated movements in global risk on nine emerging bond markets are investigated. The components of … historical decomposition of bond spreads is used to identify the relative contributions of risk during 1998-99. The empirical …
Persistent link: https://www.econbiz.de/10005768985
To showcase their increasing focus on financial stability, many central banks and other institutions have started publishing regular reports on financial stability. The paper presents a survey of the available financial stability reports, and proposes a framework for assessing such documents. It...
Persistent link: https://www.econbiz.de/10005769115
A structural vector autoregression model is developed to analyze the dynamics of bond spreads among a sample of mature … contribution on bond spreads from global market conditions (including funding liquidity, market liquidity, as well as credit and … changes in bond spreads over the sample, global market risk factors are fundamental driving forces during periods of stress …
Persistent link: https://www.econbiz.de/10005769174