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State-Varying Illiquidity Risk in Sovereign Bond Spreads

Docherty, Paul - 2019

reduced-form models can explain sovereign spreads, while, consistent with flights to liquidity, illiquidity risk is relevant … particularly important during periods of market stress. These flights to liquidity are substantially more prominent at the shorter … that incorporate flights to liquidity need to be expanded to include the impact of such flights on both the level and slope …

Persistent link: https://www.econbiz.de/10012903699

What does the CDS market imply for a U.S. default?

Benzoni, Luca; Cabanilla, Christian; Cocco, Alessandro; … - 2023 - Revised: May 17, 2023

As the debt ceiling episode unfolds, we highlight a sharp increase in activity across the U.S. credit default swaps (CDS) market and infer the likelihood of a U.S. default from these market prices. Beginning in January 2023, we document a significant increase in U.S. CDS trading activity and...

Persistent link: https://www.econbiz.de/10014249852

The term structure of interbank risk

Filipović, Damir; Trolle, Anders B. - In: Journal of financial economics 109 (2013) 3, pp. 707-733

Persistent link: https://www.econbiz.de/10010205349

A search-theoretic model of the term premium

Geromichalos, Athanasios; Herrenbrueck, Lucas; Salyer, … - 2013 - This Version: June 2013

rates of return to compensate agents for their relative lack of liquidity. Consistent with empirical findings, our model …

Persistent link: https://www.econbiz.de/10009753184

A search-theoretic model of the term premium

Geromichalos, Athanasios; Herrenbrueck, Lucas M.; … - In: Theoretical economics : TE ; an open access journal in … 11 (2016) 3, pp. 897-935

state to compensate agents for their relative lack of liquidity. Second, since the difference in the yield of short and long … liquidity. …

Persistent link: https://www.econbiz.de/10011671888

The Term Structure of CDS Spreads and Sovereign Credit Risk

Augustin, Patrick - 2016

The shape of the term structure of credit default swap spreads is an informative signal about the relative importance of global and domestic risk factors to the time variation of sovereign credit spreads. Using a geographically dispersed panel of 44 countries, I show that the relative importance...

Persistent link: https://www.econbiz.de/10013005733

Mortgage Risk and the Yield Curve

Malkhozov, Aytek - 2016

We study feedback from the risk of outstanding mortgage-backed securities (MBS) on the level and volatility of interest rates. We incorporate supply shocks resulting from changes in MBS duration into a parsimonious equilibrium dynamic term structure model and derive three predictions that are...

Persistent link: https://www.econbiz.de/10013007607

Inside the Currency Board Arrangement Risky Spreads and Credit Default Swap - Sovereign Bonds Basis

Yordanov, Vilimir - 2015

The paper investigates the risky sovereign spreads and the CDS-Bond basis of a country following a fixed exchange rate under a Currency Board Arrangement (CBA). The particular monetary regime affects significantly the mechanics of the bond market and needs a special investigation. We start by...

Persistent link: https://www.econbiz.de/10013036782

Unsecured Credit Supply Risk and Bond Prices

Mabille, Pierre - 2021

Changes in credit supply induce large and frequent variations in households' access to unsecured debt. They generate a novel financial precautionary motive, which compounds the classical motive associated with idiosyncratic income risk, as borrowers accumulate risk-free bonds to hedge against...

Persistent link: https://www.econbiz.de/10013239541

Determinants of government bond spreads in the Euro Area : in good times as in bad

Aßmann, Christian; Boysen-Hogrefe, Jens - 2009

spreads are usually attributed to differing default and liquidity risks. Recent research points out that time-varying global … rather their evaluation increased but lost relative importance compared to liquidity risks. -- Euro Area ; bond spreads … ; time-varying coefficients ; liquidity risk ; default risk …

Persistent link: https://www.econbiz.de/10003877786