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Liquidity Provision, Credit Risk and the Bond Spread : New Evidence from the Subprime Mortgage Market

An, Xudong - 2015

We study the determinants of the subprime mortgage loan spread, with a particular focus on funding liquidity and default-liquidity interaction effects. We find that sector-level as well as macro funding liquidity provision affected subprime loan rates, explaining a significant portion of the...

Persistent link: https://www.econbiz.de/10013012971

Expectations, Intermediaries, and the Term Structure of Rental Housing Supply

Hu, Jiayin; Li, Shangchen; Zhang, Yingguang (Conson); … - 2022

Housing decisions depend critically on the supply of long-term rental housing, yet surprisingly few studies examine the … housing market conditions shape the term structure of rental supply. Using unique contract-level data between landlords … inhibit the supply of longer-term rental housing. Rental agencies increase this supply by financing renovation. Our findings …

Persistent link: https://www.econbiz.de/10013294099

The German sub-national government bond market: evolution, yields and liquidity

Schulz, Alexander; Wolff, Guntram B. - 2008

The paper presents a comprehensive data set of all bonds issued by the sixteen German states (L¨ander) since 1992. It thus provides a complete picture of a capital market comparable in size to funds raised in the German fixed income market for corporations. The quantitative analysis reveals...

Persistent link: https://www.econbiz.de/10010295878

A joint macroeconomic-yield curve model for Hungary

Reppa, Zoltán - 2009

The main goal of this paper is to examine the relationship between macroeconomic shocks and yield curve movements in Hungary. To this end, we apply a Nelson-Siegel type dynamic yield curve model, where changes of the yield curve are driven by two latent factors and some key macro variables that...

Persistent link: https://www.econbiz.de/10010322460

Equilibrium yield curves under regime switching

García-Verdú, Santiago - 2010

This paper studies how inflation as a macroeconomic indicator affects nominal bond prices. I consider an economy with a representative agent with Epstein-Zin preferences. Regime switching affects the state-space capturing inêation and consumption growth. Thus, the agent is concerned about the...

Persistent link: https://www.econbiz.de/10010322544

Time variation in asset price response to macro announcements

Goldberg, Linda S.; Grisse, Christian - 2013

Although the effects of economic news announcements on asset prices are well established, theserelationships are unlikely to be stable. This paper documents the time variation in the responses of yield curves and exchange rates using high-frequency data from January 2000 through August 2011....

Persistent link: https://www.econbiz.de/10010333621

The impact of the euro on financial markets

Cappiello, Lorenzo; Hördahl, Peter; Kadareja, Arjan; … - 2006

We assess whether the euro had an impact first on the degree of integration of European financial markets, and, second, on the euro area term structure. We propose two methodologies to measure integration: one relies on time-varying GARCH correlations, and the other one on a regression...

Persistent link: https://www.econbiz.de/10011604644

Epstein-Zin preferences and their use in macro-finance models: implications for optimal monetary policy

Darracq Pariès, Matthieu; Loublier, Alexis - 2010

Epstein-Zin preferences have attracted significant attention within the macro-finance literature based on DSGE models as they allow to substantially increase risk aversion, and consequently generate non-trivial risk premia, without compromising the ability of standard models to achieve...

Persistent link: https://www.econbiz.de/10011605255

An extended macro-finance model with financial factors

Dewachter, Hans; Iania, Leonardo - 2010

This paper extends the benchmark Macro-Finance model by introducing, next to the standard macroeconomic factors, additional liquidity-related and return forecasting factors. Liquidity factors are obtained from a decomposition of the TED spread while the return-forecasting (risk premium) factor...

Persistent link: https://www.econbiz.de/10010266074

Macroeconomic determinants of the term structure of corporate spreads

Yang, Jun - 2008

We investigate the macroeconomic determinants of corporate spreads using a no-arbitrage technique. Structural shocks are identified by a New-Keynesian model. Treasury bonds are priced in an affine model with time-varying risk premia. Corporate bonds are priced in a reduced-form credit risk model...

Persistent link: https://www.econbiz.de/10010279950

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