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Government debt management and inflation with real and nominal bonds
Schmid, Lukas; Valaitis, Vytautas; Villa, Alessandro T. - 2022
In the wake of rising inflation in the aftermath of unprecedented debt financed stimulus packages, we ask: Can governments use real bonds (TIPS) as part of their debt portfolio to commit to stable inflation rates? We propose a novel framework of optimal debt management in the presence of sticky...
Persistent link: https://www.econbiz.de/10013259696
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Treasury safety, liquidity, and money premium dynamics : evidence from debt limit impasses
Cashin, David; Syron Ferris, Erin E.; Klee, Elizabeth - In: Journal of money, credit and banking : JMCB 55 (2023) 6, pp. 1475-1506
Persistent link: https://www.econbiz.de/10014364318
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Assessing the liquidity premium in the Italian bond market
Drudi, Maria Ludovica; Venturi, Giulio Carlo - 2023
Persistent link: https://www.econbiz.de/10014420628
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How important is liquidity risk for sovereign bond risk premia? : evidence from the London Stock Exchange
Alquist, Ron (contributor) - 2008
This paper uses the framework of arbitrage-pricing theory to study the relationship between liquidity risk and … proposition that liquidity risk affects the price of sovereign debt. This period was the last time that the debt of a … reflected in greater sensitivity to innovations in market liquidity. Second, small sovereign bonds, as measured by market value …
Persistent link: https://www.econbiz.de/10003790566
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Default risk premia on government bonds in a quantitative macroeconomic model
Juessen, Falko; Linnemann, Ludger; Schabert, Andreas - 2009
Persistent link: https://www.econbiz.de/10003913174
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Default risk premia on government bonds in a quantitative macroeconomic model
Juessen, Falko; Linnemann, Ludger; Schabert, Andreas - 2009
Persistent link: https://www.econbiz.de/10008839626
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How important is liquidity risk for sovereign bond risk premia? : evidence from the London stock exchange
Alquist, Ron - In: Journal of international economics 82 (2010) 2, pp. 219-229
Persistent link: https://www.econbiz.de/10008842439
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Default risk premia on government bonds in a quantitative macroeconomic model
Jüßen, Falko; Linnemann, Ludger; Schabert, Andreas - 2009
This paper examines the pricing of public debt in a quantitative macroeconomic model with government default risk. Default may occur due to a fiscal policy that does not preclude a Ponzi game. When a build-up of public debt makes this outcome inevitable, households stop lending such that the...
Persistent link: https://www.econbiz.de/10011379436
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Liquidity and credit risk premia in government bond yields
Ejsing, Jacob Wellendorph; Grothe, Magdalena; Grothe, Oliver - 2012
Persistent link: https://www.econbiz.de/10009765202
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Liquidity spillovers in sovereign bond and CDS markets : an analysis of the Eurozone sovereign debt crisis
Calice, Giovanni; Chen, Jing; Williams, Julian - In: Journal of economic behavior & organization : JEBO 85 (2013) 1, pp. 122-143
Persistent link: https://www.econbiz.de/10009708778