Narrow search
Showing 1 - 10 of 2,773
Cover Image
A measure of Turkey's sovereign and banking sector credit risk : asset swap spreads
Küçüksaraç, Doruk; Kazdal, Abdullah; İbrahim … - In: Central Bank review / Central Bank of the Republic of Turkey 21 (2021) 2, pp. 49-57
banking sector in international markets by calculating asset swap spread for US dollar-denominated fixed coupon eurobonds … and banking sector yield curves and then constructs a synthetic asset swap structure to obtain embedded credit risk premia … default swap premium. In addition to this, estimated eurobond curves are also useful for monitoring borrowing cost dynamics of …
Persistent link: https://www.econbiz.de/10012592021
Cover Image
Betting against beta (and gamma) using government bonds
Durham, J. Benson - 2015
Purportedly consistent with "risk parity" (RP) asset allocation, recent studies document compelling "low risk" trading strategies that exploit a persistently negative relation between Sharpe ratios (SRs) and maturity along the U.S. Treasury (UST) term structure. This paper extends this evidence...
Persistent link: https://www.econbiz.de/10010467093
Cover Image
Non-Default Component of Sovereign Emerging Market Yield Spreads and Its Determinants : Evidence from Credit Default Swap Market
Küçük, Uğur N. - 2019
credit default swap (CDS) premium and the hypothetical CDS premium implied by emerging market bond yields. On average, the …
Persistent link: https://www.econbiz.de/10012906256
Cover Image
Collateral Haircuts and Bond Yields in the European Government Bond Markets
Nguyen, Minh - 2020
Analyzing a novel collateral haircut dataset, this paper investigates the relations between the collateral haircuts and the yields of Euro-area central government bonds. The empirical analysis shows that investors demand higher yields for bonds with higher collateral haircuts. The importance of...
Persistent link: https://www.econbiz.de/10012851746
Cover Image
On the Term Structure of Liquidity in the European Sovereign Bond Market
O'Sullivan, Conall - 2020
The paper provides a high-frequency analysis of liquidity dynamics in the eurozone sovereign bond market over tranquil and crisis periods. We study time series of liquidity across the yield curve using high-frequency data from MTS, one of Europe's leading electronic fixed-income trading...
Persistent link: https://www.econbiz.de/10012851767
Cover Image
The time-varying impact of systematic risk factors on corporate bond spreads
Klein, Arne Christian; Pliszka, Kamil - 2018
During the global financial crisis, stressed market conditions led to skyrocketing corporate bond spreads that could not be explained by conventional modeling approaches. This paper builds on this observation and sheds light on time-variations in the relationship between systematic risk factors...
Persistent link: https://www.econbiz.de/10011855295
Cover Image
Term premium in emerging market sovereign yields : role of common and country specific factors
Özbek, İbrahim; Talaslı, İrem - In: Central Bank review / Central Bank of the Republic of Turkey 20 (2020) 4, pp. 169-182
This paper provides cross-country analysis of local bond market term premia in emerging countries. In order to investigate the role of domestic and global factors in the determination of compensation demanded by investors for their medium and long term fixed income investments, term premia is...
Persistent link: https://www.econbiz.de/10012429613
Cover Image
Sovereign Eurobond Liquidity and Yields
Hardy, Daniel - 2022
Market liquidity is of value to both investors and issuers of securities, and is therefore a crucial factor in asset pricing. For the important asset class of Eurobonds, significant feedback from liquidity to pricing is established, and it is shown that bid-ask spreads (a proxy for market...
Persistent link: https://www.econbiz.de/10013406096
Cover Image
The Fed's enhanced swap lines and new interventions in the treasury market
Allen, William A.; Moessner, Richhild - 2020
Persistent link: https://www.econbiz.de/10012213793
Cover Image
A measure of Turkey's sovereign and banking sector credit risk : asset swap spreads
Kazdal, Abdullah; Korkmaz, Halil İbrahim; … - 2020
Persistent link: https://www.econbiz.de/10012939794