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The price of money : now collateral policy affects the yield curve

Nyborg, Kjell G.; Woschitz, Jiri - 2021

Central-bank collateral policy governs the convertibility of assets into central-bank money provided directly by the … central bank. Focusing on government bonds, we develop clean identification of variation in such convertibility by exploiting … maturities. Our findings imply that central-bank money is priced in the market and that a central bank can move and shape the …

Persistent link: https://www.econbiz.de/10012799625

The impact of the euro on financial markets

Cappiello, Lorenzo; Hördahl, Peter; Kadareja, Arjan; … - 2006

We assess whether the euro had an impact first on the degree of integration of European financial markets, and, second, on the euro area term structure. We propose two methodologies to measure integration: one relies on time-varying GARCH correlations, and the other one on a regression...

Persistent link: https://www.econbiz.de/10011604644

Parametric yield curve modeling in an illiquid and undeveloped financial market

Zoricic, Davor; Orsag, Silvije - In: UTMS journal of economics / University of Tourism and … 4 (2013) 3, pp. 243-252

This paper examines the possibility of applying two most popular parametric yield curve models (Nelson-Siegel and Svensson) in the Croatian financial market. In such an illiquid and undeveloped financial market yield curve modeling presents a special challenge primarily regarding the available...

Persistent link: https://www.econbiz.de/10010222884

Asset Pricing in the Production Economy Subject to Monetary Shocks

Grishchenko, Olesya V. - 2011

This paper derives approximate analytical solutions for various financial assets in the production economy with monetary shocks. Both technology and monetary shocks drive the dynamics of various financial assets. Special cases of permanent and transitory shocks are considered.The solutions based...

Persistent link: https://www.econbiz.de/10013134616

Limited Asset Market Participation and the Variation of Real Risk Premia

Rivadeneyra, Francisco - 2010

This paper studies the contribution of limited asset market participation to the variability of real interest rates in the UK. Using a quadratic term structure model of real interest rates in an economy with endogenously segmented asset markets, I estimate the contribution of money and real...

Persistent link: https://www.econbiz.de/10013137040

Weathering Financial Crisis : Domestic Bond Markets in EMEs

Turner, Philip - 2013

Currency mismatches in the major EMEs have been much reduced over the past decade. The development of deeper domestic bond markets has contributed greatly to this. Stresses in international markets after the failure of Lehman severely tested these new markets. There was a flight of foreign...

Persistent link: https://www.econbiz.de/10013091579

Financial Market Risk Perceptions and the Macroeconomy

Pflueger, Carolin E. - 2019

We propose a novel measure of risk perceptions: the price of volatile stocks (PVSt), defined as the book-to-market ratio of low-volatility stocks minus the book-to-market ratio of high-volatility stocks. PVSt is high when perceived risk directly measured from surveys and option prices is low....

Persistent link: https://www.econbiz.de/10012902628

Bond Risk Premia, Macroeconomic Factors and Financial Crisis in the Euro Area

Garcia, Juan A. - 2015

This paper investigates the power of macroeconomic factors to explain euro area bond risk premia using (i) a big dataset (ii) the Elastic Net variable selection. We find that macroeconomic factors, in particular economic activity and sentiment indicators, explain 40% of the variability of risk...

Persistent link: https://www.econbiz.de/10013014181

Bond Risk Premia, Macroeconomic Factors and Financial Crisis in the Euro Area

Garcia, Juan A. - 2016

This paper investigates the power of macroeconomic factors to explain euro area bond risk premia using (i) a large dataset that captures the nowadays data-rich environment (ii) the Elastic Net variable selection. We find that macroeconomic factors, in particular economic activity and sentiment...

Persistent link: https://www.econbiz.de/10012984568

Nonbank Fragility in Credit Markets : Evidence from a Two-Layer Asset Demand System

Darmouni, Olivier; Siani, Kerry; Xiao, Kairong - 2022

We develop a two-layer asset pricing framework to analyze the fragility of the corporate bond market. In the model, households allocate wealth to institutional investors such as mutual funds and insurance companies. Institutional investors then allocate funds to specific assets. Equilibrium...

Persistent link: https://www.econbiz.de/10014235751