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On the inflation risks embedded in sovereign bond yields
Camba-Méndez, Gonzalo - 2020
The purpose of this paper is to study the compensation for in ation risks priced in sovereign bond yields. And we do so … expected and unexpected in ation shocks embedded in sovereign bond yields; and provides estimates of the real risk-free rate …. We show that nominal sovereign bond yields for Germany, France, Japan and the United States, reflect, over the more …
Persistent link: https://www.econbiz.de/10012241109
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Climate-linked bonds
Broeders, Dirk; Dimitrov, Daniel; Verhoeven, Niek - 2025
Climate-linked bonds, issued by governments and supranational organizations, are pivotal in advancing towards a net-zero economy. These bonds adjust their payoffs based on climate variables such as average temperature and greenhouse gas emissions, providing investors a hedge against long-term...
Persistent link: https://www.econbiz.de/10015181854
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Bail-in in action
Marqués Ibáñez, David; Santilli, Gianluca; … - 2024
has been a cornerstone of the new supervisory framework in Europe. We evaluate the bail-in regulation (BRRD) for bank bond …
Persistent link: https://www.econbiz.de/10015152881
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From cash- to securities-driven euro area repo markets : the role of financial stress and safe asset scarcity
Brand, Claus; Ferrante, Lorenzo; Hubert, Antoine - 2019
evidence on financial frictions that are relevant in driving repo premia: controlling for a comprehensive range of bond …
Persistent link: https://www.econbiz.de/10011975490
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The rise of bond financing in Europe
Darmouni, Olivier; Papoutsi, Melina - 2022
The rise of bond financing in EuropeUsing large panel data of public and private firms, this paper dissects the growth … of bond financing in the Euro Area through the lens of the cross-section of issuers. In recent years, the composition of … bond issuers has shifted, with the entry of many smaller and riskier issuers. New issuers invest and grow, instead of …
Persistent link: https://www.econbiz.de/10013198743
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Can EU bonds serve as euro- denominated safe assets?
Bletzinger, Tilman; Greif, William; Schwaab, Bernd - 2022
A safe asset is of high credit quality, retains its value in bad times, and is traded in liquid markets. We show that bonds issued by the European Union (EU) are widely considered to be of high credit quality, and that their yield spread over German Bunds remained contained during the 2020...
Persistent link: https://www.econbiz.de/10013342231
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From carry trades to curvy trades
Dreher, Ferdinand; Gräb, Johannes; Kostka, Thomas - 2018
Traditional carry trade strategies are based on differences in short-term interest rates, neglecting any other information embedded in yield curves. We derive return distributions of carry trade portfolios among G10 currencies, where the signals to buy and sell currencies are based on summary...
Persistent link: https://www.econbiz.de/10011856388
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Measuring bilateral spillover and testing contagion on sovereign bond markets in Europe
Claeys, Peter; Vašíček, Bořek - 2014
Persistent link: https://www.econbiz.de/10010380014
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Credit ratings and cross-border bond market spillovers
Böninghausen, Benjamin; Zabel, Michael - 2015
Persistent link: https://www.econbiz.de/10011349863
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International spillovers of quantitative easing
Kolasa, Marcin; Wesołowski, Grzegorz - 2018
abroad, including inflow of capital to local sovereign bond markets and an increase in international comovement of term …
Persistent link: https://www.econbiz.de/10011881148