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Yield Curve Dynamics and Spillovers in Central and Eastern European Countries
Hoffmaister, Alexander W. - 2010
This paper applies the models used to study yield curve dynamics and spillovers in the U.S. and other countries to … Nelson-Siegel representation of the yield curve, the paper finds that the two-way relationship between macroeconomic and … the levels of the yield curves, while the curves slopes are more driven by idiosyncratic factors. Shifts in the euro yield …
Persistent link: https://www.econbiz.de/10014402803
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The long-run impact of sovereign yields on corporate yields in emerging markets
Li, Delong; Magud, Nicolas; Werner, Alejandro M.; … - 2021
We analyze the long-run impact of emerging-market sovereign bond yields on corporate bond yields, finding that the average pass-through is around one. The pass-through is larger in countries with greater sovereign risks and where sovereign bonds are more liquid. It is also greater for corporate...
Persistent link: https://www.econbiz.de/10012612337
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German bond yields and debt supply : is there a "bund premium"?
Paret, Anne-Charlotte; Weber, Anke - 2019
Are Bunds special? This paper estimates the 'Bund premium' as the difference in convenience yields between other sovereign safe assets and German government bonds adjusted for sovereign credit risk, liquidity and swap market frictions. A higher premium suggests less substitutability of sovereign...
Persistent link: https://www.econbiz.de/10012154614
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Public debt in advanced economies and its spillover effects on long-term yields
Alper, C. Emre; Forni, Lorenzo - 2011
Persistent link: https://www.econbiz.de/10009423220
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Public Debt in Advanced Economies and its Spillover Effectson Long-Term Yields
Alper, C. Emre - 2011
Several models establish a positive association between public debt ratios and long-term real yields, but the empirical evidence is not always conclusive. We reconsider this issue, focusing in particular on possible spillover effects of large advanced economies'' debt levels to other economies''...
Persistent link: https://www.econbiz.de/10014398319
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Sovereign CDS spreads in Europe : the role of global risk aversion, economic fundamentals, liquidity, and spillovers
Heinz, Frigyes Ferdinand; Sun, Yan - 2014
Persistent link: https://www.econbiz.de/10010389499
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Sovereign CDS Spreads in Europe : The Role of Global Risk Aversion, Economic Fundamentals, Liquidity, and Spillovers
Heinz, Frigyes - 2014
By analysing data from January 2007 to December 2012 in a panel GLS error correction framework we find that European countries’ sovereign CDS spreads are largely driven by global investor sentiment, macroeconomic fundamentals and liquidity conditions in the CDS market. But the relative...
Persistent link: https://www.econbiz.de/10014394327
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Corporate Bond Risk and Real Activity : An Empirical Analysis of Yield Spreads and their Systematic Components
Ivaschenko, Iryna V. - 2001
This paper finds that the yield spread of investment-grade bonds relative to Treasuries, a proxy of default risk … associated with the yield spread of investment-grade bonds to a variety of risk-free benchmarks - Treasuries, agency bonds, and …
Persistent link: https://www.econbiz.de/10014400877
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Understanding Chinese Bond Yields and their Role in Monetary Policy
Porter, Nathan - 2011
: changes in PBC rates influence the structure of Treasury, financial, and corporate bond yield curves, which are then …
Persistent link: https://www.econbiz.de/10014398318
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Inflation expectations in the U.S. : linking markets, households, and businesses
Williams, Peter D. - 2020
Inflation has been below the Federal Reserve's target for much of the past 20 years, creating worries that inflation may be deanchoring from the FOMC's target. This paper uses a factor model that incorporates information from professional forecasters, household and business surveys, and the...
Persistent link: https://www.econbiz.de/10012392558