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Meyer, Josefin; Reinhart, Carmen M.; Trebesch, Christoph - 2019

to compensate for risk. Real ex-post returns averaged 7% annually across two centuries, including default episodes, major … and with the degree of credit risk in this market, as measured by historical default and recovery rates. Based on our …

Persistent link: https://www.econbiz.de/10012159952

International capital flows and bond risk premia

Sierra, Jesus - 2010

This paper studies the impact of international capital flows on asset prices through risk premia. We investigate whether foreign purchases of U.S. Treasury securities significantly contributed to the decline in excess returns on long-term bonds between 1995 and 2008. We run forecasting...

Persistent link: https://www.econbiz.de/10010279929

International capital flows and bond risk premia

Sierra, Jesus - 2010

Persistent link: https://www.econbiz.de/10003981333

Explaining foreign holdings of Asia's debt securities : the Feldstein-Horioka paradox revisited

Horioka, Charles; Terada Hagiwara, Akiko; Nomoto, Takaaki - 2015

In this paper, we find that home bias is still present in all economies and regions, especially in the case of short-term debt securities, but that there are substantial variations among economies and regions in the strength of home bias, with the Eurozone economies, the US, and developing Asia...

Persistent link: https://www.econbiz.de/10011379708

Explaining foreign holdings of Asia’s debt securities

Horioka, Charles; Nomoto, Takaaki; Terada Hagiwara, Akiko - 2014

In this paper, we analyze data on trends since 2000 in foreign holdings of government securities and other debt securities, with emphasis on Japan and developing Asia. We find that foreign residents generally increased their holdings of Asian debt securities during the sample period and in...

Persistent link: https://www.econbiz.de/10010336962

U.S. Real Interest Rates and Default Risk in Emerging Economies

Foley-Fisher, Nathan - 2012

This paper empirically investigates the impact of changes in US real interest rates on sovereign default risk in … starkly raise default risk in emerging market economies. However, the overall correlation between US real interest rates and … the risk of default is negative, demonstrating that the effects of other variables dominate the anterior relationship …

Persistent link: https://www.econbiz.de/10013101894

Distinguishing Global Dollar Reserves from Official Holdings in the United States

Settlements, Bank for International - 2013

Official holdings of US dollar reserves are partly invested outside the United States. These offshore investments do not strictly speaking finance the US current account, but do support the US dollar. Offshore holdings grow fast when intervention is large

Persistent link: https://www.econbiz.de/10013092677

Equity Cross-Listings in the U.S. and the Price of Debt

Ball, Ryan T. - 2020

Using a large panel from 46 countries over 20 years, we find that non-U.S. firms issue corporate bonds more frequently and at lower offering yields following an equity cross-listing on a U.S. exchange. Firms issue more bonds through public offerings instead of private placements and in foreign...

Persistent link: https://www.econbiz.de/10012837589

Term Premium Spillovers from the US to International Markets

Li, Ka-Fai - 2017

This paper investigates how a rise in US long-term interest rates would have an effect on other international markets. We document that a significant portion of long-term interest rates is due to term premium, which can be interpreted as compensation for inflation risk. Based on an assumed...

Persistent link: https://www.econbiz.de/10012960022

Sovereign Default Risk and the US Equity Market

Jeanneret, Alexandre - 2018

economic conditions, when firms are in financial distress. A structural estimation of the model shows that sovereign default …

Persistent link: https://www.econbiz.de/10012940553

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