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Greenwood, Robin - 2008

We examine empirically how the maturity structure of government debt affects bond yields and excess returns. Our …

Persistent link: https://www.econbiz.de/10012464841

Modeling Bond Yields in Finance and Macroeconomics

Diebold, Francis X. - 2005

From a macroeconomic perspective, the short-term interest rate is a policy instrument under the direct control of the central bank. From a finance perspective, long rates are risk-adjusted averages of expected future short rates. Thus, as illustrated by much recent research, a joint...

Persistent link: https://www.econbiz.de/10012467596

Political Bonds : Political Hazards and the Choice of Municipal Financial Instruments

Aneja, Abhay - 2015

We study the link between the choice of rule-based public contracts and political hazards using the municipal bond … that includes 6,500 bond issuances nationwide as well as election data on over 400 cities over 20 years. We provide … as a revenue bond by 3-15% and the probability of issuing bonds through competitive bids by 7%. We test a few additional …

Persistent link: https://www.econbiz.de/10012457479

Inflation, Real Interest Rates, and the Bond Market : A Study of UK Nominal and Index-Linked Government Bond Prices

Barr, David G. - 1996

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/10012473007

Inflation, Index-Linked Bonds, and Asset Allocation

Bodie, Zvi - 1988

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/10012476264

Expected Future Tax Policy and Tax-Exempt Bond Yields

Poterba, James M. - 1984

This paper tests several competing models of municipal bond market equilibrium. It analyzes the influence of changes in …

Persistent link: https://www.econbiz.de/10012477619

A Theory of Social Impact Bonds

Tortorice, Daniel L. - 2020

Social impact bonds (SIBs) are an innovative financing mechanism for public goods. In a SIB, an investor provides capital to a service provider for a social intervention. The investor receives a return based on the outcome of the intervention relative to a predetermined benchmark. We describe...

Persistent link: https://www.econbiz.de/10012481382

Sovereign Debt Portfolios, Bond Risks, and the Credibility of Monetary Policy

Du, Wenxin - 2016

and nominal bond risks in the presence of risk-averse investors. In our model, low credibility governments inflate during …. We provide empirical support for this mechanism, showing that countries with higher nominal bond-stock betas have … significantly larger nominal bond risk premia and borrow less in local currency …

Persistent link: https://www.econbiz.de/10012456087

Self-Fulfilling Debt Dilution : Maturity and Multiplicity in Debt Models

Aguiar, Mark A. - 2018

We establish that creditor beliefs regarding future borrowing can be self-fulfilling, leading to multiple equilibria with markedly different debt accumulation patterns. We characterize such indeterminacy in the Eaton-Gersovitz sovereign debt model augmented with long maturity bonds. Two...

Persistent link: https://www.econbiz.de/10012453037

A Model of Safe Asset Determination

He, Zhiguo - 2016

coordinated Euro-area-wide safe bond design. Eurobonds deliver welfare benefits only when they make up a sufficiently large …

Persistent link: https://www.econbiz.de/10012456404