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Sovereign Debt
Martinez, Leonardo; Roch, Francisco; Roldán, Francisco; … - 2022
This paper surveys the literature on sovereign debt from the perspective of understanding how sovereign debt differs from privately issue debt, and why sovereign debt is deemed safe in some countries but risky in others. The answers relate to the unique power of the sovereign. One the one hand,...
Persistent link: https://www.econbiz.de/10014081238
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The fiscal footprint of macroprudential policy
Reis, Ricardo - 2020
characterizes the size and sign of its fiscal footprint, as well as the states of the world in which the temptation for fiscal goals …
Persistent link: https://www.econbiz.de/10012222608
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The impact of liquidity on in ation-linked bonds : a hypothetical indexed bonds approach
Auckenthaler, Julia; Kupfer, Alexander; Sendlhofer, Rupert - 2014
The sovereign's intention to issue inflation-linked bonds (ILB) is to save money. More than 15 years' experience with this financial instrument in the United States and in several other countries has led to the conclusion that these bonds are costly and basically characterized by low liquidity...
Persistent link: https://www.econbiz.de/10010251196
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The Impact of Liquidity on Inflation-Linked Bonds : A Hypothetical Indexed Bonds Approach
Auckenthaler, Julia - 2015
The sovereign's intention to issue inflation-linked bonds (ILB) is to save money. More than 15 years' experience with this financial instrument in the United States and in several other countries has led to the conclusion that these bonds are costly and basically characterized by low liquidity...
Persistent link: https://www.econbiz.de/10013034014
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Financial Volatility and its Economic Effects
R.T. Ferreira, Thiago - 2018
to this measure as financial volatility. First, I show that the idiosyncratic risk highlighted by models with a financial … model and structural vector autoregressions, I show that exogenous movements in financial volatility cause substantial and … evidence of a feedback effect between credit spreads and financial volatility …
Persistent link: https://www.econbiz.de/10012925756
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Essays on information, hedging, volatility in financial market
Xiao, Yajun - 2009
Persistent link: https://www.econbiz.de/10003916641
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Agent-based financial markets and New Keynesian macroeconomics : a synthesis
Lengnick, Matthias; Wohltmann, Hans-Werner - 2011 - Updated version
introduce high volatility into impulse-response functions of macroeconomic variables and thus make the effect of a given shock …
Persistent link: https://www.econbiz.de/10009304074
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Collateralization and asset price bubbles when investors disagree about risk
Broer, Tobias; Kero, Afroditi - In: Journal of banking & finance 128 (2021), pp. 1-15
Persistent link: https://www.econbiz.de/10012821680
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Financial markets and the real economy
Cochrane, John H. - 2005
Persistent link: https://www.econbiz.de/10003285703
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Ambiguity and time-varying risk aversion in sovereign debt markets
Große Steffen, Christoph; Podstawski, Maximilian - 2016
This paper introduces changes in the level of ambiguity as a complementary source of time-varying risk aversion. We show in a consumption-based asset pricing model with simultaneously risky and ambiguous assets that a rise in the level of ambiguity raises investors' risk aversion. The effect is...
Persistent link: https://www.econbiz.de/10011518808