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Sovereign debt portfolios, bond risks, and the credibility of monetary policy
Du, Wenxin; Pflueger, Carolin E.; Schreger, Jesse - 2016
Persistent link: https://www.econbiz.de/10011544434
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Sovereign Debt Portfolios, Bond Risks, and the Credibility of Monetary Policy
Du, Wenxin - 2020
We document that governments whose local currency debt provides them with greater hedging benefits actually borrow more in foreign currency. We introduce two features into a government's debt portfolio choice problem to explain this finding: risk-averse lenders and lack of monetary policy...
Persistent link: https://www.econbiz.de/10012854689
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Sovereign Debt Portfolios, Bond Risks, and the Credibility of Monetary Policy
Du, Wenxin - 2016
We document that governments whose local currency debt provides them with greater hedging benefits actually borrow more in foreign currency. We introduce two features into a government's debt portfolio choice problem to explain this finding: risk-averse lenders and lack of monetary policy...
Persistent link: https://www.econbiz.de/10012983672
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Sovereign Debt Portfolios, Bond Risks, and the Credibility of Monetary Policy
Du, Wenxin - 2016
more foreign-currency debt. We propose that monetary policy credibility explains the currency composition of sovereign debt … and nominal bond risks in the presence of risk-averse investors. In our model, low credibility governments inflate during … inflation, investors require risk premia on nominal debt, making nominal debt issuance costly for low credibility governments …
Persistent link: https://www.econbiz.de/10012456087
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Sovereign Debt Portfolios, Bond Risks, and the Credibility of Monetary Policy
Du, Wenxin - 2019
We document that governments whose local currency debt provides them with greater hedging benefits actually borrow more in foreign currency. We introduce two features into a government's debt portfolio choice problem to explain this finding: risk-averse lenders and lack of monetary policy...
Persistent link: https://www.econbiz.de/10012864086
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Estimating loss-given default through advanced credibility theory
Bonini, Stefano; Caivano, Giuliana - In: The European journal of finance 22 (2016) 13/15, pp. 1351-1362
Persistent link: https://www.econbiz.de/10011715432
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Pure robust versus robust portfolio unbiased : credibility and asymptotic optimality
Pitselis, Georgios - In: Insurance / Mathematics & economics 52 (2013) 2, pp. 391-403
Persistent link: https://www.econbiz.de/10009736094
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Consumption based capital asset pricing and the Austrian Stock Exchange
Böheim, René; Boss, Michael - 1996
Using data from the Vienna Stock Exchange we investigate three different types of consumption based capital asset pricing models: the well known two state model of Mehra and Prescott, the model of Rietz, which includes also a crash state, and an own four state model. The aim of this Vienna Stock...
Persistent link: https://www.econbiz.de/10009697460
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Testing conditional factor models
Ang, Andrew; Kristensen, Dennis - In: Journal of financial economics 106 (2012) 1, pp. 132-156
Persistent link: https://www.econbiz.de/10009666667
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Global variance term premia and intermediary risk appetite
Van Tassel, Peter; Vogt, Erik - 2016
Sellers of variance swaps earn time-varying risk premia for their exposure to realized variance, the level of variance swap rates, and the slope of the variance swap curve. To measure risk premia, we estimate a dynamic term structure model that decomposes variance swap rates into expected...
Persistent link: https://www.econbiz.de/10011523781