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The risks of safe assets

Schmid, Lukas; Liu, Yang; Yaron, Amir - 2021

Persistent link: https://www.econbiz.de/10012594335

Intertemporal diversification of sub-sovereign debt

Knezevic, David - In: Empirical economics : a journal of the Institute for … 58 (2020) 2, pp. 453-487

Persistent link: https://www.econbiz.de/10012219025

The Price of Risk in Sovereign Latin-American Debt : A Term-Structure Perspective

Audzeyeva, Alena - 2014

premium tends to increase with maturity and account for the majority of the yield spread at all maturities for all three … dynamics that varies with bond maturity …

Persistent link: https://www.econbiz.de/10013060723

Sovereign Uncertainty

Silgado-Gómez, Edgar - 2020

This paper investigates the transmission of uncertainty about the state of government finances on economic activity. I first employ a data-rich approach to extract a novel proxy that captures uncertainty surrounding the public finances of the Spanish economy, to which I refer as sovereign...

Persistent link: https://www.econbiz.de/10012846834

Making the Eurozone work : a risk-sharing reform of the European Stability Mechanism

Dosi, Giovanni; Minenna, Marcello; Roventini, Andrea; … - 2018

This work presents an original proposal for the reform of the Eurozone architecture according to an approach based on risk sharing (aiming to reach in the long-term the mutualization of public debt). The proposal envisages a new role for the European Stability Mechanism (ESM) which should...

Persistent link: https://www.econbiz.de/10011873820

Debt Portfolios

Hintermaier, Thomas - 2011

the U.S. We then establish the quantitative result that home equity does not serve as informal collateral for unsecured …

Persistent link: https://www.econbiz.de/10013126139

Essays on financial stability

Luck, Stephan - 2016

Persistent link: https://www.econbiz.de/10011448259

Endogenous debt maturity : liquidity risk vs. default risk

Manuelli, Rodolfo E.; Sanchez, Juan M. - 2018

Persistent link: https://www.econbiz.de/10011950510

Debt Maturity, Leverage, and Political Uncertainty

Pan, Wei-Fong - 2019

This study investigates the effects of political uncertainty (PU) on corporate debt maturity and leverage using a novel … measure of firm-specific PU. We find that PU is negatively associated with debt maturity and leverage. Furthermore, the … negative effects of PU on debt maturity and leverage are more pronounced for firms with greater investment reversibility and a …

Persistent link: https://www.econbiz.de/10012897244

Agency MBS as Safe Assets

He, Zhiguo; Song, Zhaogang - 2022

Measured as yield spreads against AAA corporate bonds, the convenience premium for agency MBS averaged 47 basis points between 1995 and 2021, about half of the long-term-Treasury convenience premium. Both the MBS convenience premium and the issuance amount vary negatively with the mortgage rate,...

Persistent link: https://www.econbiz.de/10013492118