Showing 1 - 10 of 31
We quantify the difference in the convenience yield of U.S. Treasuries and the bonds of near default-free sovereigns by measuring the gap between the FX swap-implied dollar yield paid by foreign governments and the U.S. Treasury dollar yield. We call this wedge the “U.S. Treasury Premium.”...
Persistent link: https://www.econbiz.de/10012948428
Persistent link: https://www.econbiz.de/10011738693
Persistent link: https://www.econbiz.de/10011613510
We introduce a new measure of emerging market sovereign credit risk: the local currency credit spread, defined as the spread of local currency bonds over the synthetic local currency risk-free rate constructed using cross-currency swaps. We find that local currency credit spreads are positive...
Persistent link: https://www.econbiz.de/10013035858
Persistent link: https://www.econbiz.de/10012037896
Do governments default on debt denominated in their own currency? We introduce a new measure of sovereign credit risk, the local currency credit spread, defined as the spread of local currency bonds over the synthetic local currency risk-free rate constructed using cross currency swaps. We find...
Persistent link: https://www.econbiz.de/10014352388
I use nominal and real bond risks as new moments to discipline a New Keynesian asset pricing model, where supply shocks, demand shocks, and monetary policy are the fundamental drivers of inflation. Endogenously time-varying risk premia imply that nominal bond risks--as measured by their stock...
Persistent link: https://www.econbiz.de/10014226118
Persistent link: https://www.econbiz.de/10011381729
This review empirically analyzes the expectations hypothesis (EH) in inflation-indexed (or real) bonds and in nominal bonds in the United States and in the United Kingdom. We strongly reject the EH in inflation-indexed bonds, and also confirm and update the existing evidence rejecting the EH in...
Persistent link: https://www.econbiz.de/10013112732
This paper empirically analyzes the Expectations Hypothesis (EH) in inflation-indexed (or real) bonds and in nominal bonds in the US and in the UK. We strongly reject the EH in inflation-indexed bonds, and also confirm and update the existing evidence rejecting the EH in nominal bonds. This...
Persistent link: https://www.econbiz.de/10013127982