We propose an easy to implement yield curve extrapolation method to determine long-term interest rates suitable for regulatory valuation. We empirically evaluate this approach for the German nominal bond market, by estimating the model on bonds with maturities up to 20 years and assessing the...

The fiscal and financial reforms carried out in Mexico in 2000 have encouraged a widespread presence of rating agencies and have allowed several States and unicipalities to raise funds through bond offerings in the capital market. Any local government in Mexico intending to access credit and...

Using a novel dataset of accounting and market information that spans most publicly traded nonfinancial firms over the last century, we show that U.S. federal government debt issuance significantly affects corporate financial policies and balance sheets through its impact on investors' portfolio...

The fiscal and financial reforms carried out in Mexico in 2000 have encouraged a widespread presence of rating agencies and have allowed several States and Municipalities to raise funds through bond offerings in the capital market. Any local government in Mexico intending to access credit and...

The fiscal and financial reforms carried out in Mexico in 2000 have encouraged a widespread presence of rating agencies and have allowed several States and Municipalities to raise funds through bond offerings in the capital market. Any local government in Mexico intending to access credit and...

The paper uses data on bids submitted by primary dealer banks at auctions of sovereign debt to quantify the price elasticity of demand. The price elasticity of demand correlates strongly with the volatility of returns of the same bonds traded in the secondary market but only weakly with their...

The fiscal and financial reforms carried out in Mexico in 2000 have encouraged a widespread presence of rating agencies and have allowed several States and Municipalities to raise funds through bond offerings in the capital market. Any local government in Mexico intending to access credit and...

In this paper, we study the dynamics and drivers of sovereign bond yields in euro area countries using a factor model with time-varying loading coeffi cients and stochastic volatility, which allows for capturing changes in the pricing mechanism of bond yields. Our key contribution is exploring...

We document a highly significant, strongly nonlinear dependence of stock and bond returns on past equity market volatility as measured by the VIX. We propose a new estimator for the shape of the nonlinear forecasting relationship that exploits additional variation in the cross section of...

This paper compares news in Twitter with traditional news outlets and then emphasizes their differential impact on Eurozone's sovereign bond market for a homogeneous news topic. We find a two-way information flow between Twitter's “Grexit” tweets and the respective mentions in traditional...