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Sovereign bonds since Waterloo
Meyer, Josefin; Reinhart, Carmen M.; Trebesch, Christoph - 2019
foreign-currency government bonds traded in London and New York between 1815 (the Battle of Waterloo) and 2016, covering 91 … 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
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Sovereign Debt Guarantees and Default : Lessons from the UK and Ireland, 1920-1938
Foley-Fisher, Nathan - 2020
׳ credibility in a UK sovereign guarantee. Using Ireland׳s default on intergovernmental payments in 1932, we find a premium of about … forces behind the Irish and UK governments׳ decisions pertaining to the default. Our finding has implications for modern …
Persistent link: https://www.econbiz.de/10012841005
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How important is liquidity risk for sovereign bond risk premia? : evidence from the London Stock Exchange
Alquist, Ron (contributor) - 2008
This paper uses the framework of arbitrage-pricing theory to study the relationship between liquidity risk and sovereign bond risk premia. The London Stock Exchange in the late 19th century is an ideal laboratory in which to test the proposition that liquidity risk affects the price of sovereign...
Persistent link: https://www.econbiz.de/10003790566
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How Important is Liquidity Risk for Sovereign Bond Risk Premia? Evidence from the London Stock Exchange
Alquist, Ron - 2010
This paper uses the framework of arbitrage-pricing theory to study the relationship between liquidity risk and sovereign bond risk premia. The London Stock Exchange in the late 19th century is an ideal laboratory in which to test the proposition that liquidity risk affects the price of sovereign...
Persistent link: https://www.econbiz.de/10013135204
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Targeted Subordination of Official Sector Debt
Buchheit, Lee C. - 2015
If Greece's debt is unsustainable, and most observers (including the IMF) seem to think it is, the country's only source of funding will continue to be official sector bailout loans. Languishing for a decade or more as a ward of the official sector is undesirable from all perspectives. The...
Persistent link: https://www.econbiz.de/10013019311
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Alexander Allan Shand and Parr's Bank : roles as a director from 1909 to 1918
Hotori, Eiji - 2023
In this article, I use documents obtained from the NatWest Group archives to examine the work of Alexander Shand as a director of Parr's Bank during the period 1909-1918. A Scottish banker, Alexander Shand was recruited by the Japanese government early in his career to instruct Japanese...
Persistent link: https://www.econbiz.de/10014433711
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That's where the money was : foreign bias and English investment abroad, 1866-1907
Chabot, Benjamin; Kurz, Christopher J. - 2009
Why did Victorian Britain invest so much capital abroad? We collect over 500,000 monthly returns of British and foreign securities trading in London and the United States between 1866 and 1907. These heretofore-unknown data allow us to better quantify the historical benefits of international...
Persistent link: https://www.econbiz.de/10003844507
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That's Where the Money Was : Foreign Bias and English Investment Abroad, 1866-1907
Chabot, Benjamin Remy - 2009
Why did Victorian Britain invest so much capital abroad? We collect over 500,000 monthly returns of British and foreign securities trading in London and the United States between 1866 and 1907. These heretofore-unknown data allow us to better quantify the historical benefits of international...
Persistent link: https://www.econbiz.de/10013159054
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Making the market : trading debt at the Eighteenth-Century Bank of England
Murphy, Anne L. - 2014
As the market for the trading of the British state's debt developed during the eighteenth century, the Bank of England found itself in a difficult position. It was the self-styled guardian of public credit, an institution which stood aloof as mediator between the state and its creditors, and, at...
Persistent link: https://www.econbiz.de/10010344252
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Recreating the South Sea bubble : lessons from an experiment in financial history
Giusti, Giovanni; Noussair, Charles; Voth, Hans-Joachim - 2014
possibility of default on the deferred payments. We consider which aspect might have had the most impact in creating the South Sea …
Persistent link: https://www.econbiz.de/10010359796