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A safe asset is of high credit quality, retains its value in bad times, and is traded in liquid markets. We show that bonds issued by the European Union (EU) are widely considered to be of high credit quality, and that their yield spread over German Bunds remained contained during the 2020...
Persistent link: https://www.econbiz.de/10013342231
bond market. We exploit these policy changes using a difference-in-differences strategy, with ineligible corporate green …
Persistent link: https://www.econbiz.de/10012498402
We combine modern methods from Speech Emotion Recognition and Natural Language Processing with high-frequency financial data to analyze how the vocal emotions and language of ECB President Mario Draghi affect the yield curve of major euro area economies. Vocal emotions significantly impact the...
Persistent link: https://www.econbiz.de/10014255461
effects of the European Central Bank's bond purchases in the 2015-2021 period on an international panel of bond safety premia … effects for all four countries. This points to an important international spillover channel of QE programs to bond safety …
Persistent link: https://www.econbiz.de/10015062504
Although inflation-linked bonds have many advantages, nominal bonds are the most important instrument to finance public debts throughout the world. One explanation that the literature has offered is that nominal bonds make countercyclical monetary policies more effective. This paper reconsiders...
Persistent link: https://www.econbiz.de/10013243578
This paper econometrically models the dynamics of Swedish government bond (SGB) yields. It examines whether the short … reaffirm John Maynard Keynes's view that the central bank's monetary policy affects long-term government bond yields through … with empirical patterns discerned in previous studies related to government bond yields in both advanced countries and …
Persistent link: https://www.econbiz.de/10014517317
between sovereign bond yield spreads and their fundamental determinants. Our results provide evidence of a new bond …
Persistent link: https://www.econbiz.de/10011735972
between sovereign bond yield spreads and their fundamental determinants. We use a two-step empirical approach. First, we apply … bond markets in the euro area over the period January 1999 to July 2016. Second, we estimate the impact of ECB policy … interventions on the time-varying risk factor sensitivities of spreads. Our results provide evidence of a new bond-pricing regime …
Persistent link: https://www.econbiz.de/10011759005
government debt raises sovereign risk and in turn generates potential bank losses via their (sovereign) bond holdings. Hence, an … bias in banks sovereign bond holdings by reducing excessive exposure to domestic sovereigns has only limited benefit in …
Persistent link: https://www.econbiz.de/10012053254
We study determinants of sovereign portfolios of Spanish banks over a long time-span, starting in 2008. Our findings challenge the view that banks engaged in moral hazard strategies to exploit the regulatory treatment of sovereign exposures. In particular, we show that being a weakly capitalized...
Persistent link: https://www.econbiz.de/10011978836