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Banking and Sovereign Risk in the Euro Area
Gerlach, Stefan; Schulz, Alexander; Wolff, Guntram B. - C.E.P.R. Discussion Papers - 2010
banking sectors. When aggregate risk increases, countries with large banking sectors with low equity ratios experience greater …
Persistent link: https://www.econbiz.de/10008468513
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Government Bond Yield Spreads: A Survey
Conte, Riccardo Lo - In: Giornale degli Economisti 68 (2009) 3, pp. 341-370
I Review the literature concerning the determinants of yield spreads on government bonds. Due to the large attention received in the literature, I will refer to European and emerging markets. Europe has undergone significant institutional changes over the last decade and the corresponding market...
Persistent link: https://www.econbiz.de/10008469761
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ECB Monetary Operations and the Interbank Repo Market
Dunne, Peter G.; Fleming, Michael J.; Zholos, Andrey - Central Bank of Ireland - 2014
We examine the relationship between monetary policy operations and interbank trading of funds using sovereign bonds as collateral. We first establish that, in the pre-crisis period, there are important but rather weak relations between these funding sources and that this relationship varies...
Persistent link: https://www.econbiz.de/10010959445
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Flights to Safety
Baele, Lieven; Bekaert, Geert; Inghelbrecht, Koen; Wei, Min - Nationale Bank van België/Banque national de Belqique (BNB) - 2012
Despite a large and growing theoretical literature on flights to safety, there does not appear to exist an empirical characterization of flight-to-safety (FTS) episodes. Using only data on bond and stock returns, we identify and characterize flight to safety episodes for 23 countries. On...
Persistent link: https://www.econbiz.de/10011272793
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The German sub-national government bond market: evolution, yields and liquidity
Schulz, Alexander; Wolff, Guntram B. - Deutsche Bundesbank - 2008
a measure of liquidity based on the standard deviation of yields of those bonds that are used to compute the average …
Persistent link: https://www.econbiz.de/10005083318
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ECB monetary operations and the interbank repo market
Dunne, Peter G.; Fleming, Michael J.; Zholos, Andrey - Federal Reserve Bank of New York - 2013
We examine the relationship between monetary policy operations and interbank borrowing and lending of funds using sovereign bonds as collateral. We first establish that, in the precrisis period, there are important but rather weak relations between these funding sources and that this...
Persistent link: https://www.econbiz.de/10010732481
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Flights to Safety
Baele, Lieven; Bekaert, Geert; Inghelbrecht, Koen; Wei, Min - Federal Reserve Board (Board of Governors of the … - 2014
controlling for standard risk factors. Liquidity deteriorates on FTS days both in the bond and equity markets. Both economic …
Persistent link: https://www.econbiz.de/10010787051
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Understanding Inflation-Indexed Bond Markets
Campbell, John Y.; Shiller, Robert J.; Viceira, Luis M. - Cowles Foundation for Research in Economics, Yale University - 2009
rates, bond risks, and liquidity explain the trends before 2008 and the unusual developments in the fall of 2008. Low …
Persistent link: https://www.econbiz.de/10004999551
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The determinants of stock and bond return comovements
Baele, Lieven; Bekaert, Geert; Inghelbrecht, Koen - Nationale Bank van België/Banque national de Belqique (BNB) - 2007
dynamics of stock-bond return correlations poorly. Alternative factors, such as liquidity proxies, help explain the residual …
Persistent link: https://www.econbiz.de/10005060044
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Liquidity Issues in Indian Sovereign Bond Market
Nath, Golaka - Volkswirtschaftliche Fakultät, … - 2013
Liquidity is one of the most important factors after credit risk that affects the bond yields. The paper uses various … measures of liquidity to understand their determinants in Indian sovereign bond market. The Liquidity measured by parameters … much deterioration in general market liquidity condition as RBI injected large amount of liquidity to the system within a …
Persistent link: https://www.econbiz.de/10011110667