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German bond yields and debt supply : is there a "bund premium"?
Paret, Anne-Charlotte; Weber, Anke - 2019
, which is more pronounced for higher maturities and when risk aversion proxied by bond market volatility is high. Going …
Persistent link: https://www.econbiz.de/10012154614
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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
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Optimal Maturity Structure of Sovereign Debt in Situation of Near Default
Desgranges, Gabriel - 2014
We study the relationship between default and the maturity structure of the debt portfolio of a Sovereign, under uncertainty. The Sovereign faces a trade-off between a future costly default and a high current fiscal effort. This results into a debt crisis in case a large initial issuance of long...
Persistent link: https://www.econbiz.de/10014411505
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Financing for the post-pandemic recovery : developing domestic sovereign debt markets in Central America
Clevy, Jean Francois; Pedras, Guilherme; Pérez Ruiz, Esther - 2021
-existing debt vulnerabilities. This paper documents the potential for local currency bond markets to diversify and expand financing … for the recovery, lowering bond yields, funding volatility, and exposure to global shocks. The paper further identifies …
Persistent link: https://www.econbiz.de/10012795101
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The Rationale and Design of Inflation-Indexed Bonds
Price, Robert T. - 1997
A number of industrialized countries have recently offered inflation-indexed bonds. Some members of another group of countries that had earlier adopted more comprehensive indexation in response to high inflation have taken steps to reduce the scope of indexation in their economies. This paper...
Persistent link: https://www.econbiz.de/10014403310
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Puttable and Extendible Bonds : Developing Interest Rate Derivatives for Emerging Markets
Neftci, Salih N. - 2003
interest-rate derivative markets, and their use by governments. Their stabilizing properties imply that, when bond prices fall …
Persistent link: https://www.econbiz.de/10014404000
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Lending Resumption After Default : Lessons From Capital Markets During the 19Th Century
Sole, Juan - 2006
This paper mines the experience of capital markets during the 19th century to propose an alternative way of interpreting international default episodes. The standard view is that defaulting on sovereign debt entails exclusion from capital markets. Yet we have observed multiple instances of...
Persistent link: https://www.econbiz.de/10014402978
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A Primer for Risk Measurement of Bonded Debt From the Perspective of a Sovereign Debt Manager
Papaioannou, Michael G. - 2006
This paper presents some conventional and new measures of market, credit, and liquidity risks for government bonds. These measures are analyzed from the perspective of a sovereign''s debt manager. In particular, it examines duration, convexity, M-square, skewness, kurtosis, and VaR statistics as...
Persistent link: https://www.econbiz.de/10014402007
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Bond markets in Africa
Mu, Yibin; Phelps, Peter; Stotsky, Janet G. - 2013
African bond markets have been steadily growing in recent years, but nonetheless remain undeveloped. African countries … corporate bond markets in Africa. It then applies an econometric model to analyze the key determinants of African government … securities market and corporate bond market capitalization. Government securities market capitalization is directly related to …
Persistent link: https://www.econbiz.de/10012670991
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What Determines Bond Market Development in Sub-Saharan Africa?
Adelegan, Olatundun Janet - 2009
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 macroeconomic factors driving bond market development in SSA. The study …
Persistent link: https://www.econbiz.de/10014403192