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Can Covered Bonds Resuscitate Residential Mortgage Finance in the United States?
Surti, Jay - International Monetary Fund (IMF) - 2010
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 …
Persistent link: https://www.econbiz.de/10008777017
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On the Estimation of Term Structure Models and An Application to the United States
International Monetary Fund (IMF); International … - 2010
structure of Treasury bond yields for the United States with pre-crisis data. This paper uses a software developed by Fund staff …
Persistent link: https://www.econbiz.de/10008727797
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Global Bonding; Do U.S. Bond and Equity Spillovers Dominate Global Financial Markets?
Bayoumi, Tamim; Bui, Trung - International Monetary Fund (IMF) - 2012
, Japanese, and UK government bond and equity markets in a vector autoregression. The results suggest that U.S. financial shocks …
Persistent link: https://www.econbiz.de/10011242378
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Risk Exposures and Financial Spillovers in Tranquil and Crisis Times; Bank-Level Evidence
Poirson, Hélène; Schmittmann, Jochen M. - International Monetary Fund (IMF) - 2013
For a sample of 83 financial institutions during 2003–2011, this paper attempts to answer three questions: first, what is the evolution of banks’ stock price exposure to country-level and global risk factors as approximated by equity indices; second, which bank-specific characteristics...
Persistent link: https://www.econbiz.de/10011242342
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Financial innovation, the Discovery of Risk, and the U.S. Credit Crisis
Mendoza, Enrique G.; Boz, Emine - International Monetary Fund (IMF) - 2010
Uncertainty about the riskiness of new financial products was an important factor behind the U.S. credit crisis. We show that a boom-bust cycle in debt, asset prices and consumption characterizes the equilibrium dynamics of a model with a collateral constraint in which agents learn "by...
Persistent link: https://www.econbiz.de/10008560424
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Beyond thirty : treasury issuance of long-term bonds from 1953 to 1965
Garbade, Kenneth D. - 2017
has marked the outer boundary of Treasury bond maturities. However, longer-term bonds were not unknown in earlier years …. Seven such bonds, including one with a forty-year term, were issued between 1955 and 1963. This paper examines the … circumstances that led to the issuance of these seven bonds. …
Persistent link: https://www.econbiz.de/10011586602
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Liquidity measures throughout the lifetime of the U.S. Treasury bond
Díaz Pérez, Antonio; Escribano, Ana - In: Journal of financial markets 33 (2017), pp. 42-74
Persistent link: https://www.econbiz.de/10011815011
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Unconventional Monetary Policy and Asset Price Risk
Roache, Shaun K.; Rousset, Marina V - International Monetary Fund (IMF) - 2013
We examine the effects of unconventional monetary policy (UMP) events in the United States on asset price risk using risk-neutral density functions estimated from options prices. Based on an event study including a key exchange rate, an equity index, and five commodities, we find that “tail...
Persistent link: https://www.econbiz.de/10010790292
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Hedging Asian bond portfolios with financial futures : a comparison of minimum variance methods
Pang, Michelle; Maysami, Ramin Cooper - 1998
Persistent link: https://www.econbiz.de/10001500133
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Beyond junk bonds : expanding high yield markets
Yago, Glenn; Trimbath, Susanne - 2003
Persistent link: https://www.econbiz.de/10001713103