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Government Debt Maturity and Term Structure of Credit Spreads

Gao, Xiang - 2020

government debt maturity and the term structure of credit spreads. Using the data of individual corporate bonds between 1972 and … 2015, we find that a longer government debt maturity is associated with a steeper credit term structure in both the primary … debts attracts long-term investors from the corporate bond market, leading to a reduction in the demand, hence an increase …

Persistent link: https://www.econbiz.de/10012834762

Natural Rate Chimera and Bond Pricing Reality

Brand, Claus - 2020

Incorporating arbitrage-free term-structure dynamics into a semi-structural macro-model, we jointly estimate the real equilibrium interest rate (r), trend inflation, and term premia for the United States and the euro area, using a Bayesian approach. The natural real rate and trend inflation are...

Persistent link: https://www.econbiz.de/10012842446

Natural Rate Chimera and Bond Pricing Reality

Brand, Claus; Goy, Gavin; Lemke, Wolfgang - 2021

We build a novel macro-finance model that combines a semi-structural macroeconomic module with arbitrage-free yield-curve dynamics. We estimate it for the United States and the euro area using a Bayesian approach and jointly infer the real equilibrium interest rate (r*), trend inflation (π*),...

Persistent link: https://www.econbiz.de/10013313733

Modeling Money Market Spreads : What Do We Learn About Refinancing Risk?

Brousseau, Vincent - 2014

We quantify the effect of refinancing risk on euro area money market spreads, a major factor driving spreads during the … borrow over a given horizon, thus increasing refinancing risk. We measure refinancing risk by quantifying the sensitivity of … the spread to the refinancing frequency. In order to do so we introduce a model to price EURIBOR-based money market …

Persistent link: https://www.econbiz.de/10013045240

Modeling Money Market Spreads : What Do We Learn About Refinancing Risk?

Brousseau, Vincent - 2015

Persistent link: https://www.econbiz.de/10013031112

De facto seniority, credit risk, and corporate bond prices

Bao, Jack; Hou, Kewei - 2017

We study the effect of a bond's place in its issuer's maturity structure on credit risk. Using a structural model as … motivation, we argue that bonds due relatively late in their issuers' maturity structure have greater credit risk than do bonds …

Persistent link: https://www.econbiz.de/10011968837

Mortgage Risk and the Yield Curve

Malkhozov, Aytek - 2016

We study feedback from the risk of outstanding mortgage-backed securities (MBS) on the level and volatility of interest …

Persistent link: https://www.econbiz.de/10013007607

Mortgage Risk and the Yield Curve

Malkhozov, Aytek - 2015

We study the feedback from the risk of outstanding mortgage-backed securities (MBS) on the level and volatility of …

Persistent link: https://www.econbiz.de/10013010252

The Effect of Monetary Policy on Credit Spreads

Cenesizoglu, Tolga - 2014

We analyze the effect of monetary policy on yield spreads between corporate bonds with different credit ratings over the business cycle. We use futures contracts to distinguish between expected and unexpected changes in the Fed funds target rate and several indicators to distinguish between...

Persistent link: https://www.econbiz.de/10013070170

The zero lower bound on deposit rates, monetary policy and bank insolvency risk

Driussi, Lorenz - 2025 - This version: March, 2025

I develop a banking model with monopolistic competition to analyze the effect of reserve rate policy on bank insolvency risk, when banks are constrained by a zero lower bound on deposit rates. When binding, the lower bound compresses the solvency relevant deposit spread and causes it to be a...

Persistent link: https://www.econbiz.de/10015337961