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The Term Structure of Bond Market Liquidity Conditional on the Economic Environment : An Analysis of Government Guaranteed Bonds
Schuster, Philipp - 2014
We analyze the term structure of illiquidity premiums as the difference between the yield curves of two major bond …
Persistent link: https://www.econbiz.de/10013066296
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Credit Spreads : An Empirical Analysis on the Informational Content of Stocks, Bonds, and CDS
Forte, Santiago - 2012
This paper explores the dynamic relationship between stock market implied credit spreads, CDS spreads, and bond spreads …
Persistent link: https://www.econbiz.de/10012755686
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The Term Structure of Redenomination Risk
Bayer, Christian - 2018
This paper assesses redenomination risk in the euro area. We first estimate daily default-risk-free yield curves for French, German, and Italian bonds that can be redenominated and for bonds that cannot. Then, we extract the compensation for redenomination risk from the yield spreads between...
Persistent link: https://www.econbiz.de/10012916944
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Tail Wags Dog? Time-Varying Information Shares in the Bund Market
Upper, Christian - 2016
Persistent link: https://www.econbiz.de/10012991263
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Temporäre Marktungleichgewichte auf Bondmärkten : aktive Handelsstrategien auf Basis geschätzter Zinsstrukturkurven
Kellerhals, Boris Philipp; Uhrig-Homburg, Marliese - 1997
Auf Anleihemärkten versuchen Investoren mit aktiven Handelsstrategien eine über der risikoadäquaten Marktverzinsung liegende Rendite zu erwirtschaften. Dabei kommen prognoseorientierte Strategien wie auch Anlagepolitiken zur Verwendung, die zeitweilige Marktungleichgewichte zu nutzen...
Persistent link: https://www.econbiz.de/10010405335
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Estimating the effects of the "flight to quality", with an application to German bond yields and interest payments
Boeing-Reicher, Claire; Boysen-Hogrefe, Jens - 2017
, cumulatively, due to low bond yields since the onset of the Euro crisis. In order to determine the contribution of the "flight to … quality" to this sum, we define the flight to quality as a factor which has caused German bond yields and crisis country bond …
Persistent link: https://www.econbiz.de/10011685448
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German Mittelstand Bonds : Yield Spreads and Liquidity
Utz, Sebastian - 2015
measures as well as a number of variables that control for both the characteristics of the issuing firm and the bond … for the risk of the bond. Economically, the size of the liquidity premium of Mittelstand bonds is approximately twice the …
Persistent link: https://www.econbiz.de/10013013702
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German Bond Yields and Debt Supply : Is There a 'Bund Premium'?
Paret, Anne-Charlotte - 2019
, which is more pronounced for higher maturities and when risk aversion proxied by bond market volatility is high. Going …
Persistent link: https://www.econbiz.de/10012858387
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The term structure of redenomination risk
Bayer, Christian; Kim, Chi Hyun; Kriwoluzky, Alexander - 2018
This paper assesses redenomination risk in the euro area. We first estimate daily default-risk-free yield curves for French, German, and Italian bonds that can be redenominated and for bonds that cannot. Then, we extract the compensation for redenomination risk from the yield spreads between...
Persistent link: https://www.econbiz.de/10011865446
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'Loose Lips Sinking Markets?' : The Impact of Political Communication on Sovereign Bond Spreads
Gade, Thomas - 2013
what extent and why political communication has had an impact on the sovereign bond spreads of selected euro area countries … bond spreads. This effect can be positive or negative depending on the type of communication, possibly fueling self …
Persistent link: https://www.econbiz.de/10013079362