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A Long-Run Risks Explanation of Predictability Puzzles in Bond and Currency Markets
Bansal, Ravi - 2012
We show that bond risk-premia rise with uncertainty about expected inflation and fall with uncertainty about expected growth; the magnitude of return predictability using these two uncertainty measures is similar to that by multiple yields. Motivated by this evidence, we develop and estimate a...
Persistent link: https://www.econbiz.de/10013100993
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A Factor Analysis of Bond Risk Premia
Ludvigson, Sydney C. - 2010
This paper uses the factor augmented regression framework to analyze the relation between bond excess returns and the macro economy. Using a panel of 131 monthly macroeconomic time series for the sample 1964:1-2007:12, we estimate 8 static factors by the method of asymptotic principal...
Persistent link: https://www.econbiz.de/10013152009
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Flight-to-Quality or Flight-to-Liquidity? Evidence from the Euro-Area Bond Market
Beber, Alessandro - 2006
Do bond investors demand credit quality or liquidity? The answer is both, but at different times and for different reasons. Using data on the Euro-area government bond market, which features a unique negative correlation between credit quality and liquidity across countries, we show that the...
Persistent link: https://www.econbiz.de/10012779742
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Russia's Fiscal Gap
Goryunov, Eugene - 2013
future receipts is called its fiscal gap.This study estimates Russia's 2013 fiscal gap at 890 trillion rubles or $28 trillion …. This longterm budget shortfall is 8.4 percent of the present value of projected GDP. Consequently, eliminating Russia … that the Russia's energy resources are finite, whereas its expenditure needs are not. Moreover, Russia is aging and facing …
Persistent link: https://www.econbiz.de/10013073203
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Betting Against Beta
Frazzini, Andrea - 2010
We present a model in which some investors are prohibited from using leverage and other investors' leverage is limited by margin requirements. The former investors bid up high-beta assets while the latter agents trade to profit from this, but must de-lever when they hit their margin constraints....
Persistent link: https://www.econbiz.de/10013135232
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Emerging Local Currency Bond Markets
Burger, John D. - 2010
We assess the development of local currency bond markets in emerging market economies (EMEs). Supported by policies and laws that helped to improve macroeconomic stability and creditor rights, many local currency EME bond markets have grown substantially over the past decade and have also...
Persistent link: https://www.econbiz.de/10013139558
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The Behavior of Intoxicated Investors : The Role of Institutional Investors in Propagating the Crisis of 2007-2008
Manconi, Alberto - 2010
Using a novel data of institutional investors' bond holdings, we examine a transmission of the crisis of 2007-2008 from the securitized bond market to the corporate bond market via joint ownership of these bonds by investors. We posit that, ceteris paribus, corporate bonds held by investors with...
Persistent link: https://www.econbiz.de/10013140999
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Optimal Portfolio Choice with Wage-Indexed Social Security
Li, Jialun - 2011
This paper re-examines the classic question of how a household should optimally allocate its portfolio between risky stocks and risk-free bonds over its lifecycle. We show that allowing for the wage indexation of social security benefits fundamentally alters the optimal decisions. Moreover, the...
Persistent link: https://www.econbiz.de/10013125573
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Repo and Securities Lending
Adrian, Tobias - 2012
We provide an overview of the data required to monitor repo and securities lending markets for the purposes of informing policymakers and researchers about firm-level and systemic risk. We start by explaining the functioning of these markets and argue that it is crucial to understand the...
Persistent link: https://www.econbiz.de/10013097773
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When Did the Dollar Overtake Sterling as the Leading International Currency? Evidence from the Bond Markets
Chitu, Livia - 2012
This paper offers new evidence on the emergence of the dollar as the leading international currency, focusing on its role as currency of denomination in global bond markets. We show that the dollar overtook sterling much earlier than commonly supposed, as early as in 1929. Financial market...
Persistent link: https://www.econbiz.de/10013106301