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Market discipline and liquidity risk : evidence from the interbank funds market
Sarmiento, Miguel - 2016
demand for liquidity in the interbank market as wells as banks' access to this market. Results indicate that riskier banks … pay higher prices and borrow less liquidity, concurrent with the existence of market discipline. More capitalized and … higher prices and hoard liquidity when liquidity positions across them are more imbalanced and during a monetary policy …
Persistent link: https://www.econbiz.de/10011554714
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Ibbotson’s Default Premium : Risky Data
Hallerbach, Winfried G. - 2014
Ibbotson's “Stocks, Bonds, Bills and Inflation” data set is widely used because it provides monthly US financial data series going back to as early as 1926. In this data set, the “default premium” is calculated as the difference between the total returns on long-term corporate bonds and...
Persistent link: https://www.econbiz.de/10013067626
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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
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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
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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
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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
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Inside the Emerging Markets Risky Spreads and Credit Default Swap - Sovereign Bonds Basis
Yordanov, Vilimir - 2018
The paper considers a no-arbitrage setting for pricing and relative value analysis of risky sovereign bonds. The typical case of an emerging market country (EM) that has bonds outstanding both in foreign hard currency (Eurobonds) and local soft currency (treasuries) is inspected. The resulting...
Persistent link: https://www.econbiz.de/10012937615
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The Term Structure of CDS Spreads and Sovereign Credit Risk
Augustin, Patrick - 2018
I study the term structure of credit default swap spreads to understand the dynamics of global and country-specific risk factors in explaining the time-variation in sovereign credit risk. The analysis suggests that the shape of the term structure conveys significant information on the relative...
Persistent link: https://www.econbiz.de/10012938644
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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
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The Term Structure of Credit Spreads and Business Cycle in Japan
Okimoto, Tatsuyoshi - 2016
This paper investigates the usefulness of the term structure of credit spreads to predict the business cycle in Japan. Our analyses provide clear evidence that the term structure of credit spreads has more predictive power than the government bond yield. Specifically, the paper shows that the...
Persistent link: https://www.econbiz.de/10012989054