This paper studies the impact of international capital flows on asset prices through risk premia. We investigate whether foreign purchases of U.S. Treasury securities significantly contributed to the decline in excess returns on long-term bonds between 1995 and 2008. We run forecasting...

We investigate whether foreign purchases of long-term U.S. Treasury securities significantly affect their expected excess-returns. We run predictive regressions of realized excess returns on measures of net purchases of treasuries by both foreign official and private agents. We find that...

The purpose of this study is to assess the diversification benefits resulting from international asset allocation. In this study, we examine Capital Asset Pricing Model (CAPM) in its international context (ICAPM) using the monthly equity returns for 26 countries (18 developed and 8 emerging...

Foreign investors play a key role in EME sovereign bond markets, in part because their portfolio flows are sensitive to bond returns and are therefore pro-cyclical in nature. This note discusses the implications of the framework proposed by So et al. (2019) which incorporates the risk that...

Foreign investors play a key role in sovereign bond markets in emerging market economies (EMEs), in part because their portfolio flows are sensitive to bond returns and are therefore pro-cyclical in nature. This note discusses the implications of the framework proposed by So et al (2019), which...

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...

This study investigates the term-structure of sovereign emerging market yield spreads by decomposing it into the default risk component and the residual risk premium for Eurobonds of Mexico, Colombia and Brazil. We find that the risk premium tends to increase with maturity and account for the...

This paper investigates how a country's economic complexity influences its sovereign yield spread with respect to the United States. Notably, a one-unit increase in the Economic Complexity Index is associated with a reduction of about 87 basis points in the 10-year yield spread. However, this...

In this article we illustrate how to price bonds and calculate the accrued interest, clean- and dirty price, from which we can compute a bond invoice i.e., the present value for a given cash investment in the bond. We present the classical bond pricing formulae and show how to modify this...

We examine the determinants of spreads based on views regarding sovereign riskiness. The empirical analysis relies on panel data estimation techniques for 30 sovereign bonds for the period of 2009Q1 to 2017Q1, with data in quarterly frequency. We find that indeed there is a wide asymmetry in the...