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Price Discovery in the U.S. Treasury Market : The Impact of Orderflow and Liquidity on the Yield Curve
Brandt, Michael W. - 2003
, liquidity, and the yield curve. We find that orderflow imbalances (excess buying or selling pressure) can account for as much as … orderflow on yields is permanent and strongest when liquidity is low. All of the evidence points toward an important role of …
Persistent link: https://www.econbiz.de/10012469173
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The determinants of sovereign risk premiums in the UK and the European government bond market : the impact of Brexit
Kadiric, Samir - 2020
Persistent link: https://www.econbiz.de/10012244831
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How Does Greece's Public Finances Crisis Has Affected Credit and Liquidity Risk? Evidence from Selected Treasury Bond Markets in Europe
Karkowska, Renata - 2015
The object of the study is the causality analysis of credit and liquidity risk on Treasury bond market in selected … identify the causality of the credit and liquidity risk in selected European countries. The analysis was conducted in two …
Persistent link: https://www.econbiz.de/10013034727
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Negative interest rates, COVID-19, and the finances of listed euro firms
Eije, Johan H. von - In: Central European review of economics and management : CEREM 5 (2021) 4, pp. 117-143
. Cross section fixed effects are applied to first differences and dummy variables. For liquidity and non-liquid assets the … liquidity ratios and creditor ratios decline when short-term ECB-rates fall. If ECB rates are negative, liquidity ratios are ….6% smaller, while liquidity ratios increased by 2.3 percentage points. Originality / value of the article: Papers on the …
Persistent link: https://www.econbiz.de/10013202353
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Determinants of sovereign risk : macroeconomic fundamentals and the pricing of sovereign debt
Hilscher, Jens; Nosbusch, Yves - In: Review of finance : journal of the European Finance … 14 (2010) 2, pp. 235-262
Persistent link: https://www.econbiz.de/10003989548
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Low frequency effects of macroeconomic news on government bond yields
Altavilla, Carlo; Giannone, Domenico; Modugno, Michele - 2014
Persistent link: https://www.econbiz.de/10010418996
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The low frequency effects of macroeconomic news on government bond yields
Altavilla, Carlo; Giannone, Domenico; Modugno, Michele - 2014
Persistent link: https://www.econbiz.de/10010434072
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Vulnerability of emerging markets to global shocks : the role of debt and governance on sovereign spreads
Rocha, Katia; Siqueira, Roberto; Pinheiro, Felipe - In: The journal of fixed income 17 (2007) 2, pp. 77-91
Persistent link: https://www.econbiz.de/10003628240
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Tree-structured multiple regimes in interest rates
Audrino, Francesco - In: Journal of business & economic statistics : JBES ; a … 24 (2006) 3, pp. 338-353
Persistent link: https://www.econbiz.de/10003349357
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Macro Factors in Bond Risk Premia
Ludvigson, Sydney C. - 2010
Are there important cyclical fluctuations in bond market premiums and, if so, with what macroeconomic aggregates do these premiums vary? We use the methodology of dynamic factor analysis for large datasets to investigate possible empirical linkages between forecastable variation in excess bond...
Persistent link: https://www.econbiz.de/10013150222