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Developing India's offshore local currency bond market : lessons from emerging countries
Kohli, Renu; Sahoo, Pravakar; Shuheb Khan, M. - 2017
EMEs exploiting the opportunity. India also launched its rupee-denominated bond (masala bond) abroad in 2013, seeking to … peers, China and Brazil, to learn from their respective paths and experiences in similar regard. The paper concludes by … listing the key essentials for future growth and long-term sustainability of the masala bond market and its emergence as a …
Persistent link: https://www.econbiz.de/10011708308
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Sovereign risk and economic complexity
Gómez González, José Eduardo; Uribe, Jorge; … - 2024
This paper investigates how a country's economic complexity influences its sovereign yield spread with respect to the United States. Notably, a one-unit increase in the Economic Complexity Index is associated with a reduction of about 87 basis points in the 10-year yield spread. However, this...
Persistent link: https://www.econbiz.de/10014536288
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Forecasting the Brazilian yield curve using forward-looking variables
Vieira, Fausto; Chague, Fernando; Fernandes, Marcelo - 2016
This paper proposes a forecasting model that combines a factor augmented VAR (FAVAR) methodology with the Nelson and Siegel (NS) parametrization of the yield curve to predict the Brazilian term structure of interest rates. Importantly, we extract the principal components for the FAVAR from a...
Persistent link: https://www.econbiz.de/10011523983
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Sovereign bond risk premiums
Dockner, Engelbert J.; Mayer, Manuel; Zechner, Josef - 2017
Persistent link: https://www.econbiz.de/10011763294
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The limits of limitless debt
Osband, Kent; Capasso, Salvatore; Filoso, Valerio - 2022
Persistent link: https://www.econbiz.de/10014227377
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The impact of the creation of a sovereign ESG reference yield curve on corporate ESG bonds issuances from Latin America and the Caribbean
Cunha, Daniel; Craveiro, Giovana; Rossi, Marina - 2024
This paper explores a granular database from the Inter-American Development Bank (IDB) Green Bond Transparency Platform … reference yield curve can boost the private ESG bond market. Using a difference-in-differences (DID) approach, we empirically … bond issuances and a 25 percent increase in the number of ESG corporate bond issuances in the external markets after three …
Persistent link: https://www.econbiz.de/10014529872
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The financial market impact of UK quantitative easing
Breedon, Francis J.; Chadha, Jagjit; Water, Alex - 2012
a counterfactual path for bond yields and to estimate the impact of QE directly. Second, we analyse the impact of … individual QE operations on a range of asset prices. We find that QE significantly lowered government bond yields through the …
Persistent link: https://www.econbiz.de/10009580086
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On the transactions costs of UK quantitative easing
Breedon, Francis J. - 2018
Most quantitative easing programmes primarily involve central banks acquiring government liabilities in return for central bank reserves. In all cases this process is undertaken by purchasing these liabilities from private sector intermediaries rather than directly from the government. This...
Persistent link: https://www.econbiz.de/10011787895
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Extraction of inflation expectations from financial instruments
Fuertes, Alberto; Gimeno, Ricardo; Marqués, José Manuel - 2018
In this paper we estimate inflation expectations for several Latin American countries using an affine model that takes as factors the observed inflation and the parameters generated from zero-coupon yield curves of nominal bonds. By implementing this approach, we avoid the use of...
Persistent link: https://www.econbiz.de/10011883446
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Monetary policy surprises and their transmission through term premia and expected interest rates
Kaminska, Iryna; Mumtaz, Haroon; Šustek, Roman - 2020
Monetary policy moves the yield curve. How much is due to expected interest rates vs. term premia? And does it matter for macroeconomic outcomes? Using an affine term structure model, we shed new light on these questions. Estimation is subject to restrictions addressing an estimation bias in...
Persistent link: https://www.econbiz.de/10012316011