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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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Corporate Bond Risk and Real Activity : An Empirical Analysis of Yield Spreads and their Systematic Components
Ivaschenko, Iryna V. - 2001
forecasting horizon, both in- and out-of-sample. Finally, a regime-switching estimation shows that the systematic risk component …
Persistent link: https://www.econbiz.de/10014400877
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Puttable and Extendible Bonds : Developing Interest Rate Derivatives for Emerging Markets
Neftci, Salih N. - 2003
This paper analyzes the price stabilizing properties of puttable and extendible bonds, their potential to help develop interest-rate derivative markets, and their use by governments. Their stabilizing properties imply that, when bond prices fall, prices for puttable and extendible bonds fall by...
Persistent link: https://www.econbiz.de/10014404000
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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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Sovereign Spreads : Global Risk Aversion, Contagion or Fundamentals?
Segoviano Basurto, Miguel A. - 2010
Over the past year, euro area sovereign spreads have exhibited an unprecedented degree of volatility. This paper …
Persistent link: https://www.econbiz.de/10014402913
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Currency Risk Premia in Global Stock Markets
Merritt, Matthew D. - 2006
Large fundamental imbalances persist in the global economy, with potential exchange rate implications. This paper assesses whether exchange rate risk is priced across G-7 stock markets. Given the multitude of hedging instruments available, theory suggests that stock market investors should not...
Persistent link: https://www.econbiz.de/10014402492
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Volatility and Jump Risk Premia in Emerging Market Bonds
Matovu, John - 2007
There is strong evidence that interest rates and bond yield movements exhibit both stochastic volatility and … associated bond yields by estimating the volatility and jump risk premia in highly volatile markets. Using the simulated method … of moments (SMM), results suggest that all variants of models which do not take into account stochastic volatility and …
Persistent link: https://www.econbiz.de/10014400896
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Fixing the fixings : what road to a more representative money market benchmark?
Brousseau, Vincent; Chailloux, A.; Durré, Alain - 2013
Persistent link: https://www.econbiz.de/10009756774
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Fixing the Fixings : What Road to a More Representative Money Market Benchmark?
Brousseau, V. - 2013
Interest rate derivatives on major currencies, with notional outstanding amounts adding up to hundreds of trillions, are mostly indexed on Libor and Euribor benchmarks, as are hundreds of billions in loans to enterprises, mortgages and other retail loans to the real economy. Yet, the prevailing...
Persistent link: https://www.econbiz.de/10014395189
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Modelling the Yield Curve
Taylor, Mark P. - 1991
under rational expectations. We also find that risk measures, in the form of conditional interest rate volatility, are …
Persistent link: https://www.econbiz.de/10014395929