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'Loose Lips Sinking Markets?' : The Impact of Political Communication on Sovereign Bond Spreads
Gade, Thomas - 2013
Taking a cue from the assertion that “loose lips sink markets” (Carmassi and Micossi, 2010), this paper investigates to what extent and why political communication has had an impact on the sovereign bond spreads of selected euro area countries over the German Bund. Drawing on 25,000 news...
Persistent link: https://www.econbiz.de/10013079362
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'Loose Lips Sinking Markets?' : The Impact of Political Communication on Sovereign Bond Spreads
Gade, Thomas - 2013
Taking a cue from the assertion that "loose lips sink markets" (Carmassi and Micossi, 2010), this paper investigates to what extent and why political communication has had an impact on the sovereign bond spreads of selected euro area countries over the German Bund. Drawing on 25,000 news media...
Persistent link: https://www.econbiz.de/10013081470
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The impact of macroeconomic news on quote adjustments, noise, and informational volatility
Hautsch, Nikolaus; Hess, Dieter; Veredas, David - 2010
We study the impact of the arrival of macroeconomic news on the informational and noise-driven components in high-frequency quote processes and their conditional variances. Bid and ask returns are decomposed into a common ("efficient return") factor and two market-side-specific components...
Persistent link: https://www.econbiz.de/10003952800
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The impact of macroeconomic news on quote adjustments, noise, and informational volatility
Hautsch, Nikolaus; Hess, Dieter; Veredas, David - 2010
We study the impact of the arrival of macroeconomic news on the informational and noise-driven components in high-frequency quote processes and their conditional variances. Bid and ask returns are decomposed into a common ("efficient return") factor and two market-side-specific components...
Persistent link: https://www.econbiz.de/10003947458
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The impact of macroeconomic news on quote adjustments, noise, and informational volatility
Hautsch, Nikolaus; Hess, Dieter; Veredas, David - 2010 - This version: November 2010
We study the impact of the arrival of macroeconomic news on the informational and noise-driven components in high-frequency quote processes and their conditional variances. Bid and ask returns are decomposed into a common ("efficient return") factor and two market-side-specific components...
Persistent link: https://www.econbiz.de/10008937568
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The Impact of Macroeconomic News on Quote Adjustments, Noise, and Informational Volatility
Hautsch, Nikolaus - 2012
We study the impact of the arrival of macroeconomic news on the informational and noise-driven components in high-frequency quote processes and their conditional variances. We decompose bid and ask returns into a common ("efficient return") factor and two market-side-specific components...
Persistent link: https://www.econbiz.de/10013113491
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Determinants of government bond spreads in the Euro Area : in good times as in bad
Aßmann, Christian; Boysen-Hogrefe, Jens - 2009
Despite the single currency, yields on government bonds in the Euro Area deviate from German bond yields. These bond spreads are usually attributed to differing default and liquidity risks. Recent research points out that time-varying global factors, approximated by risk measures or short term...
Persistent link: https://www.econbiz.de/10003877786
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Pricing the Bund term structure with linear regressions : without an observable short rate
Speck, Christian - 2023
German Bund data since 1967, three factors are sufficient to represent the yield curve dynamics, and additional restrictions … improve yield forecasts. Implicit short Bund rates are in line with policy interest rates. The term premium is counter …-cyclical to business activity and positively related to uncertainty. Thus, the Bund yield decomposition into short …
Persistent link: https://www.econbiz.de/10014320252
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Discrete Affine Term Structure Models Applied to German and Greek Government Bonds
Jakas, Vicente - 2013
and debt-to-GDP ratio. Greece, in times of financial distress exhibits a downward sloping yield curve and yields are …
Persistent link: https://www.econbiz.de/10013090656
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German Bond Yields and Debt Supply : Is There a 'Bund Premium'?
Paret, Anne-Charlotte - 2019
Are Bunds special? This paper estimates the 'Bund premium' as the difference in convenience yields between other sovereign safe assets and German government bonds adjusted for sovereign credit risk, liquidity and swap market frictions. A higher premium suggests less substitutability of sovereign...
Persistent link: https://www.econbiz.de/10012858387