This paper examines the role of bond ratings and the effects of rating-based regulations in thecorporate bond market. Exploiting an unanticipated mechanical change in how the benchmarkLehman bond indices are constructed in 2005, we show that rating-induced market segmentationof the bond market...

Using two newly available ultrahigh-frequency datasets, we investigate empirically how frequently one can sample certain foreign exchange and U.S. Treasury security returns without contaminating estimates of their integrated volatility with market microstructure noise. We find that one can...

This paper revisits the issue of the optimal exchange rate regime in a flexible price environment. The key innovation is that we analyze this question in the context of environments where only a fraction of agents participate in asset market transactions (i.e., asset markets are segmented)....

[...]In this article, we take a close look at a single yearin the U.S. Treasury securities market (which we refer to asthe bond market) and attempt to identify information thatmay account for the sharpest price changes and the mostactive trading episodes. Sharp price moves may be attributedto...

Vorliegende Arbeit beschäftigt sich mit Schuldscheindarlehen. Dabei soll ein Modell vorgestellt werden, das die Bestimmung der relevanten Modellparameter eines portfoliotheoretischen Ansatzes bezüglich mehrperiodiger Durchschnittsrenditen eines Portefeuilles aus den Asset-Klassen der...

The authors determine, whether adding foreign assets to a domestic benchmark portfolio improves the risk-return profile from the perspective ofan investor located in a specific country. Here Hungary and Germany.

I document that emerging markets have cast off their “original sin” – their external liabilitiesare no longer dominated by foreign-currency debt and have instead shifted sharply towardsdirect investment and portfolio equity. Their external assets are increasingly concentrated inforeign...

In recent years India has emerged as a major destination for corporate research and development (R&D), especially for multinational corporation. India's domestic instituions like Indian Space Organisation (ISRO), Defence Research and Development Organisation (DRDO), and the Centre for...

BEA’s national economic statistics provide a comprehensive view of U.S. production, consumption, investment, exports and imports, and income and saving. These statistics are best known by summary measures such as gross domestic product (GDP), corporate profits, personal income and spending,...