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The Flight-to-Liquidity Premium in U.S. Treasury Bond Prices
Longstaff, Francis A. - 2002
We examine whether there is a flight-to-liquidity premium in Treasury bond prices by comparing them with prices of bonds issued by Refcorp, a U.S. Government agency, which are guaranteed by the Treasury. We find a large liquidity premium in Treasury bonds, which can be more than fifteen percent...
Persistent link: https://www.econbiz.de/10012787067
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The Effects of War Risk on U.S. Financial Markets
Sack, Brian P.; Rigobon, Roberto - 2021
This paper measures the effects of the risk of war on nine U.S. financial variables using a heteroskedasticity …-based estimation technique. The results indicate that increases in the risk of war cause declines in Treasury yields and equity prices …, a widening of lower-grade corporate spreads, a fall in the dollar, and a rise in oil prices. This war risk factor …
Persistent link: https://www.econbiz.de/10013210541
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The Curse of Non-Investment Grade Countries
Rigobon, Roberto - 2021
Mexico was upgraded from non-investment to investment grade in March of 2000. This paper examines the impact of this … event on the properties of the transmission of shocks between Argentina and Mexico. The paper shows that there is a …
Persistent link: https://www.econbiz.de/10013248393
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A Multivariate Model of Strategic Asset Allocation
Campbell, John Y. - 2001
Much recent work has documented evidence for predictability of asset returns. We show how such predictability can affect the portfolio choices of long-lived investors who value wealth not for its own sake but for the consumption their wealth can support. We develop an approximate solution method...
Persistent link: https://www.econbiz.de/10012787560
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What Do Financial Markets Think of War in Iraq?
Leigh, Andrew - 2010
We analyze financial market data in order to produce an ex-ante assessment of the economic consequences of war with …'s price provides a plausible estimate of the probability of war. The spot oil price has moved closely with the Saddam Security …, suggesting that war raises oil prices by around $10 per barrel. Futures prices imply that markets expect these large immediate …
Persistent link: https://www.econbiz.de/10012762835
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Winners and Losers from Sovereign Debt Inflows
Broner, Fernando; Martin, Alberto; Pandolfi, Lorenzo; … - 2022
We study the transmission of sovereign debt inflow shocks on domestic firms. We exploit episodes of large sovereign debt inflows in six emerging countries that are due to the announcements of these countries' inclusion in two major local-currency sovereign debt indexes. We show that these...
Persistent link: https://www.econbiz.de/10013289107
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Parsimoneous Modeling of Yield Curves for U.S. Treasury Bills
Nelson, Charles R. - 2005
A new model is proposed for representinq the term to maturity structure of interest rates at a point in time.The model produces humped, monotonic and S-shaped yield curves using four parameters. Conditional on a time decay parameter, estimates of the other three are obtained by least squares....
Persistent link: https://www.econbiz.de/10012785278
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Bid Shading and Bidder Surplus in the U.S. Treasury Auction System
Hortacsu, Ali - 2017
We analyze bidding data from uniform price auctions of U.S. Treasury bills and notes between July 2009-October 2013. Primary dealers consistently bid higher yields compared to direct and indirect bidders. We estimate a structural model of bidding that takes into account informational asymmetries...
Persistent link: https://www.econbiz.de/10012943195
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Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models
Andersen, Torben G. - 2010
We investigate whether bonds span the volatility risk in the U.S. Treasury market, as predicted by most 'affine' term structure models. To this end, we construct powerful and model-free empirical measures of the quadratic yield variation for a cross-section of fixed-maturity zero-coupon bonds...
Persistent link: https://www.econbiz.de/10012760310
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The U.S. Treasury Premium
Du, Wenxin - 2017
We quantify the difference in the convenience yield of U.S. Treasuries and the bonds of near default-free sovereigns by measuring the gap between the FX swap-implied dollar yield paid by foreign governments and the U.S. Treasury dollar yield. We call this wedge the “U.S. Treasury Premium.”...
Persistent link: https://www.econbiz.de/10012948428