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Fujiwara, Ippei - 2013

Is there asymmetry in the distribution of government bond returns in developed countries? Can asymmetries be predicted using financial and macroeconomic variables? To answer the first question, we provide evidence for asymmetry in government bond returns in particular for short maturities. This...

Persistent link: https://www.econbiz.de/10013086343

The Rest of the World's Dollar-Weighted Return on U.S. Treasurys

Jiang, Zhengyang; Krishnamurthy, Arvind; Lustig, Hanno - National Bureau of Economic Research - 2022

Since 1980, foreign investors have timed their purchases and sales of U.S. Treasurys to yield particularly low returns. Their annual dollar-weighted returns, measured by IRRs, are around 3% lower than a buy-and-hold strategy over the same horizon. In comparison, the IRRs achieved by domestic...

Persistent link: https://www.econbiz.de/10013210117

Sovereign Bond Return Behavior to News Reports in the COVID–19 Crisis

Banerjee, Ameet Kumar; Nguyen, Nguyet; Akhtaruzzaman, Md; … - 2021

This study examines the behavior of sovereign bonds to COVID-19 related news in 24 countries most affected by the COVID-19 pandemic. The study applies a continuous Hidden Markov Model (HMM) to analyze the regime shifting behavior of sovereign bonds to the news. The results show that the COVID-19...

Persistent link: https://www.econbiz.de/10013212531

The role of global liquidity in global yield dynamics

Park, Euihwan; Kim, Dong-heon - In: Seoul journal of economics : SJE 36 (2023) 2, pp. 193-220

Persistent link: https://www.econbiz.de/10014287838

Signaling virtue or vulnerability? : the changing impact of exchange rate regimes on government bond yields

Barta, Zsófia; Baccaro, Lucio; Johnston, Alison - 2022

relevant risk to bond holdings, monetary union has a distinct advantage over floating and fixed exchange rates because of its … credible in-built mechanism to control inflation. However, once default is seen as the most relevant risk, exchange rate … monetary union. Since the 2010s, inflation carries no penalty under any exchange rate regime. Variables linked to default risk …

Persistent link: https://www.econbiz.de/10013399873

U.S. Interest Rates and Emerging Market Bond Yield Spreads : A Changing Relationship?

Gueye, Cheikh Anta - 2013

depending on how other “push” and “pull” factors, such as investors' appetite for risk and emerging markets' economic …

Persistent link: https://www.econbiz.de/10013083828

Mutual funds and safe government bonds : do returns matter?

Graziano, Marco; Habib, Maurizio Michael - 2024

basis. Finally, when global financial risk is on the rise, US mutual fund managers repatriate their investments towards US …

Persistent link: https://www.econbiz.de/10014527087

Political risk and international valuation

Bekaert, Geert; Harvey, Campbell R.; Lundblad, Christian; … - In: The journal of corporate finance : contracting, … 37 (2016), pp. 1-23

Persistent link: https://www.econbiz.de/10011478530

Sovereign to corporate risk spillovers

Augustin, Patrick; Boustanifar, Hamid; Breckenfelder, … - 2016

Persistent link: https://www.econbiz.de/10011448871

The fundamentals of safe assets

Habib, Maurizio Michael; Stracca, Livio; Venditti, Fabrizio - 2020

changes in global risk (VIX). We find that inertia (whether the bond behaved as a safe asset in the past) and good … on whether the change in global risk is driven by financial shocks rather than by US monetary policy. …

Persistent link: https://www.econbiz.de/10012138612