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Sovereign Bond Prices, Haircuts and Maturity
Asonuma, Tamon - 2017
Rejecting a common assumption in the sovereign debt literature, we document that creditor losses ("haircuts") during sovereign restructuring episodes are asymmetric across debt instruments. We code a comprehensive dataset on instrument-specific haircuts for 28 debt restructurings with private...
Persistent link: https://www.econbiz.de/10012453847
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The Effects of U.S. Monetary Policy on Emerging Market Economies' Sovereign and Corporate Bond Markets
Burger, John D. - 2017
-sector local currency bonds and more private-sector foreign currency bonds and (ii) US investment in EME sovereign bonds (both … countries' USD-denominated bonds, whereas for local currency bonds the familiar home bias is very present …
Persistent link: https://www.econbiz.de/10012455054
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The Shifting Drivers of Global Liquidity
Avdjiev, Stefan - 2017
The post-crisis period has seen a considerable shift in the composition and drivers of international bank lending and international bond issuance, the two main components of global liquidity. The sensitivity of both types of flow to US monetary policy rose substantially in the immediate...
Persistent link: https://www.econbiz.de/10012455117
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Robust Bond Risk Premia
Bauer, Michael D. - 2017
A consensus has recently emerged that variables beyond the level, slope, and curvature of the yield curve can help predict bond returns. This paper shows that the statistical tests underlying this evidence are subject to serious small-sample distortions. We propose more robust tests, including a...
Persistent link: https://www.econbiz.de/10012455201
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Is Post-Crisis Bond Liquidity Lower?
Anderson, Mike - 2017
Price-based liquidity metrics are better in 2013-2014 for small trades and large high-yield bond trades, but not for large investment grade bond trades, relative to before the crisis, and are better for all bond types and trade sizes relative to 2010-2012. This evidence contrasts with the...
Persistent link: https://www.econbiz.de/10012455364
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The London Monetary and Economic Conference of 1933 and the End of The Great Depression : A “Change of Regime” Analysis
Edwards, Sebastian - 2017
In this paper I analyze the London Monetary and Economic Conference of 1933, an almost forgotten episode in U.S. monetary history. I study how the Conference shaped dollar policy during the second half of 1933 and early 1934. I use daily data to investigate the way in which the Conference and...
Persistent link: https://www.econbiz.de/10012455477
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Currency Matters : Analyzing International Bond Portfolios
Burger, John D. - 2017
denomination of the underlying bonds and both combine bonds of various currencies in a single data point. In this paper we show … that bonds denominated in the investor's currency are special. We show this indirectly in a global dataset of bilateral … more directly in datasets of US holdings of foreign bonds that do differentiate by currency. We find that the share of a …
Persistent link: https://www.econbiz.de/10012455507
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Sovereign Debt Portfolios, Bond Risks, and the Credibility of Monetary Policy
Du, Wenxin - 2016
Nominal debt provides consumption-smoothing benefits if it can be inflated away during recessions. However, we document empirically that countries with more countercyclical inflation, where nominal debt provides better consumption-smoothing, issue more foreign-currency debt. We propose that...
Persistent link: https://www.econbiz.de/10012456087
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Bond Risk Premia in Consumption-based Models
Creal, Drew D. - 2016
Workhorse Gaussian affine term structure models (ATSMs) attribute time-varying bond risk premia entirely to changing prices of risk, while structural models with recursive preferences credit it completely to stochastic volatility. We reconcile these competing channels by introducing a novel form...
Persistent link: https://www.econbiz.de/10012456492
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To Borrow or Not to Borrow? An Analysis of University Leverage Decisions
Rosen, Harvey S. - 2016
This paper investigates the decisions of universities to issue debt. We test whether the expected value and uncertainty of a university's nonfinancial income (the income generated by sources other than its endowment) affect its leverage (the ratio of the value of an institution's liabilities to...
Persistent link: https://www.econbiz.de/10012456722