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ECB Monetary Policy and the EONIA Swap Spread
Gregory, Richard Paul - 2009
The effect of European Central Bank monetary policy upon EONIA swap spreads is investigated with GARCH-Jump models. I … between main refinancing operations increase the likelihood of jumps in the swap term structure and in the size of the jumps …
Persistent link: https://www.econbiz.de/10013155531
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Deciphering the Libor and Euribor Spreads During the Subprime Crisis
Pelizzon, Loriana - 2015
This paper investigates the key role played by different factors, such as the use of Asset Backed Commercial Paper as collaterals in the short-term debt market, credit risk and the injection of liquidity by Central Banks through so-called unconventional measures, on the persistent spread during...
Persistent link: https://www.econbiz.de/10013035390
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The US Dollar-Euro Exchange Rate and US-EMU Bond Yield Differentials : A Causality Analysis
Sosvilla-Rivero, Simon - 2011
This paper test for causality between the US Dollar-Euro exchange rate and US-EMU bond yield differentials. To that end, we apply Hsiao (1981)'s sequential procedure to daily data covering the 1999-2011 period. Our results suggest the existence of statistically significant Granger causality...
Persistent link: https://www.econbiz.de/10013126999
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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
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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
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Fiscal Austerity, Growth Prospects, and Sovereign CDS Spreads : The Eurozone and Beyond
Yuan, Chunming - 2014
This paper applies both conventional panel data models and a dynamic simultaneous equations model to analyze the impact of fiscal austerity and growth prospects along with other macro fundamentals on the pricing of sovereign credit default swaps (CDS) for a panel of 36 countries including the...
Persistent link: https://www.econbiz.de/10013062276
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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
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Monetary policy after the crisis : a joint publication with the National Bank of Poland
Gnan, Ernest (ed.); Kokoszcynski, Ryszard (ed.);  … - Conference Monetary Policy after the Crisis <2011, Warschau>; … - 2011
On 4 March 2011, SUERF – The European Money and Finance Forum and the National Bank of Poland jointly organised a conference on the theme of: "Monetary Policy after the Crisis". Following a call for papers with a large number of submissions, the scientific committee selected 9 papers, which...
Persistent link: https://www.econbiz.de/10011710723
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Effects of the Fed's enhanced swap line with the ECB on CIP deviations
Moessner, Richhild; Allen, William A. - In: Applied economics 53 (2021) 10, pp. 1178-1183
Persistent link: https://www.econbiz.de/10012425457
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Euro interest rate swap yields : a GARCH analysis
Akram, Tanweer; Mamun, Khawaja Abdullah al - 2023
This paper models the month-over-month change in euro-denominated (EUR) long-term interest rate swap yields. It shows … EUR swap yields of different maturity tenors, after controlling for various macroeconomic and financial variables, such as … in EUR swap yields and their volatility. The results of the estimated models of EUR swap yields of different maturity …
Persistent link: https://www.econbiz.de/10014438498