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Price-based liquidity metrics are better in 2013-2014 for small trades and large high-yield bond trades, but not for …-crisis liquidity could be low when markets are stressed. We consider three stress events: extreme VIX increases, extreme bond yield … large investment grade bond trades, relative to before the crisis, and are better for all bond types and trade sizes …
Persistent link: https://www.econbiz.de/10012958984
We propose a novel measure of bond market liquidity that does not depend on transaction data: the strength of the cross … portfolio holdings to be at a given point in time. The perceived liquidity of speculative grade and Rule 144A bonds is …
Persistent link: https://www.econbiz.de/10013404994
The recent introduction of CPI-linked bonds by several financial institutions is a milestone in the history of the U.S. financial system. It has potentially far-reaching effects on individual and institutional asset allocation decisions because these securities represent the only true long-run...
Persistent link: https://www.econbiz.de/10012763488
follow simple time-series processes whose parameters can be estimated from the cross-section of bond prices. The extracted …
Persistent link: https://www.econbiz.de/10012774964
We examine empirically how the maturity structure of government debt affects bond yields and excess returns. Our …
Persistent link: https://www.econbiz.de/10012759528
We analyze the effect of the US Federal Reserve's monetary policy on EME sovereign and corporate bond markets by … focusing on two dimensions: the evolution of the structure (size and currency composition) of the bond markets and their … allocations within the bond portfolios of US investors. Global factors, particularly the level of long-term US Treasury yields …
Persistent link: https://www.econbiz.de/10012950839
debt by encouraging bond issues to contain call features. Are the interest rate effects associated with these policies …
Persistent link: https://www.econbiz.de/10012777104
We show that bond risk-premia rise with uncertainty about expected inflation and fall with uncertainty about expected … inflation. The model simultaneously accounts for bond return predictability and violations of uncovered interest parity in …
Persistent link: https://www.econbiz.de/10013100993
Value stocks have higher exposure to innovations in the nominal bond risk premium, which measures the markets … when nominal bond risk premia are low and declining, are associated with lower future dividend growth rates on value minus … growth and with lower future output growth in the short term. Because of this new nexus between stock and bond returns, a …
Persistent link: https://www.econbiz.de/10013148389
ill in debt markets. We develop a simple model of sovereign bond markets with global investors and endogenous information … acquisition about fundamental default probabilities. This model displays hysteresis and contagion in sovereign bond spreads. Small … fundamentals to return to more stable bond spread conditions …
Persistent link: https://www.econbiz.de/10012989128