This paper considers the case for mortgage covered bonds as an alternative to the originate-to-distribute mortgage … funding model. It argues that the economic incentives provided to market participants under the covered bonds model are less … susceptible to moral hazard even while retaining the key benefits of securitization such as capital market funding and flexibility …

structure of Treasury bond yields for the United States with pre-crisis data. This paper uses a software developed by Fund staff …

, Japanese, and UK government bond and equity markets in a vector autoregression. The results suggest that U.S. financial shocks …

the Eurozone economies, the US, and developing Asia showing relatively weak home bias and advanced Asia, especially Japan … capital has been flowing from the US and the Eurozone economies to both advanced Asia (especially Japan) and developing Asia … and that foreign holdings of debt securities have been increasing in advanced as well as developing Asia but for different …

securities, with emphasis on Japan and developing Asia. We find that foreign residents generally increased their holdings of …

We develop a conditional factor model for the term structure of treasury bonds, which unifies non parametric curve … principles. Empirically, we show that four factors explain the discount bond excess return curve and term structure premium. Cash … flows are covariances, as cash flows of coupon bonds fully explain the factor exposure. The term structure premium depends …