Similar Search Results

Outlook for interest rates and Japanese banks’ risk exposures under abenomics

Arslanalp, Serkan; Lam, W. Raphael - 2013

This paper examines how Japan’s long-term interest rates and Japanese banks’ interest rate risk exposures may evolve under Abenomics. Results from a panel regression analysis for major advanced economies shows that long-term government bond yields in Japan are determined to a large extent by...

Persistent link: https://www.econbiz.de/10012667499

Determinants of sovereign bond spreads in emerging markets : local fundamentals and global factors vs. ever-changing misalignments

Csonto, Balazs; Ivaschenko, Iryna V. - 2013

particular, we find that in the periods of severe marketstress, such as during the intensive phase of the Eurozone debt crisis …

Persistent link: https://www.econbiz.de/10012667565

The effects of data transparency policy reforms on emerging market sovereign bond spreads

Choi, Sangyup; Hashimoto, Yūko - 2017

We find that data transparency policy reforms, reflected in subscriptions to the IMF's Data Standards Initiatives (SDDS and GDDS), reduce the spreads of emerging market sovereign bonds. To overcome endogeneity issues regarding a country's decision to adopt such reforms, we first show that the...

Persistent link: https://www.econbiz.de/10011670527

The rewards of fiscal consolidation : sovereign spreads and confidence effects

David, Antonio C.; Guajardo, Jaime; Yépez, Juan F. - 2019

This paper investigates the effects of fiscal consolidation announcements on sovereign spreads in a panel of 21 emerging market economies during 2000-18. We construct a novel dataset using a global news database to identify the precise announcement date of fiscal consolidation actions. Our...

Persistent link: https://www.econbiz.de/10012102084

Uphill capital flows and the international monetary system

Csonto, Balazs; Tovar, Camilo Ernesto - 2017

Uphill capital flows constitute a key transmission channel through which reserve accumulation can distort the stability of the international monetary system. This paper examines and quantifies the importance of this transmission channel by examining how foreign official purchases of U.S....

Persistent link: https://www.econbiz.de/10011705340

Monetary and fiscal policies and the dynamics of the yield curve in Morocco

Ahokpossi, Calixte; Garcia Martinez, Pilar; Kemoe, Laurent - 2016

We estimate the latent factors that underlie the dynamics of the sovereign bond yield curve in Morocco during 2004-14 based on the Dynamic Nelson-Siegel model. On this basis, we explore the interaction between macroeconomic variables and the yield curve, which is of direct relevance to...

Persistent link: https://www.econbiz.de/10011711388

Understanding Chinese Bond Yields and their Role in Monetary Policy

Porter, Nathan - 2011

China''s financial prices are informative enough for the PBC to introduce a monetary policy framework centered around interest rates. While bond yields are not fully efficient?reflecting regulation, liquidity, and segmentation?we find they contain considerable information about the state of the...

Persistent link: https://www.econbiz.de/10014398318

The Impact of Debt Sustainability and the Level of Debt on Emerging Markets Spreads

Belhocine, Nazim - 2013

How do financial markets respond to concerns over debt sustainability and the level of public debt in emerging markets? We introduce a measure of debt sustainability – the difference between the debt stabilizing primary balance and the primary balance–in an otherwise standard spread...

Persistent link: https://www.econbiz.de/10014395221

Determinants of Emerging Market Sovereign Bond Spreads : Fundamentals Vs Financial Stress

Petrova, Iva - 2010

This paper analyses the determimants of emerging market sovereign bond spreads by examining the short and long-run effects of fundamental (macroeconomic) and temporary (financial market) factors on these spreads. During the current global financial and economic crisis, sovereign bond spreads...

Persistent link: https://www.econbiz.de/10014402645

From Bear Stearns to Anglo Irish : How Eurozone Sovereign Spreads Related to Financial Sector Vulnerability

Mody, Ashoka - 2009

eurozone. Following the onset of the subprime crisis in July 2007, spreads rose but mainly on account of common global factors …. Sovereign spreads of a eurozone country tended to rise when the prospects of its domestic financial sector worsened. It appears …: sovereign spreads throughout the eurozone jumped, with the jump emphasizing the differentiation by financial sector …

Persistent link: https://www.econbiz.de/10014403079