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Currency Risk Premiums : A Multi-horizon Perspective
Chernov, Mikhail; Dahlquist, Magnus - National Bureau of Economic Research - 2023
We review the literature on multi-horizon currency risk premiums. We show how the multi-horizon implications arise from the classic present-value relationship. We further show how these implications manifest themselves in the interaction between bond and currency risk premiums. This link is...
Persistent link: https://www.econbiz.de/10014322805
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Currency Risk Premiums : A Multi-Horizon Perspective
Chernov, Mikhail; Dahlquist, Magnus - 2023
We review the literature on multi-horizon currency risk premiums. We show how the multi-horizon implications arise from the classic present-value relationship. We further show how these implications manifest themselves in the interaction between bond and currency risk premiums. This link is...
Persistent link: https://www.econbiz.de/10014349903
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Sovereign bond spreads and CDS premia in the Eurozone : a causality analysis
Téllez, Cecilia; Martín García, Margarita; Ramón … - In: Revista de métodos cuantitativos para la economía y … 30 (2020), pp. 58-78
credit default swaps (CDS) to determine whether they are useful tools for the measurement of the sovereign risk either … 2008-2016. By applying the causality Granger test for these variables, after six different ways of proxy, CDS premia are … other cases. So the CDS market contains clear and highly useful information on the sovereign risk. …
Persistent link: https://www.econbiz.de/10012436652
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Credit and Liquidity Risks in Euro Area Sovereign Yield Curves
Monfort, Alain - 2011
In this paper, we propose a model of the joint dynamics of euro-area sovereign yield curves. The arbitrage-free valuation framework involves five factors and two regimes, one of the latter being interpreted as a crisis regime. These common factors and regimes explain most of the fluctuations in...
Persistent link: https://www.econbiz.de/10013117964
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Default, Liquidity and Crises : An Econometric Framework
Monfort, Alain - 2011
In this paper, we present a general discrete-time affine framework aimed at jointly modeling yield curves associated with different debtors. The underlying fixed-income securities may differ in terms of credit quality and/or in terms of liquidity. The risk factors follow conditionally Gaussian...
Persistent link: https://www.econbiz.de/10013121415
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The Sovereign Yield Curve and Credit Ratings in GIIPS
Riaz, Yasir - 2020
This paper studies the impact of sovereign credit rating and outlook changes on the shape of sovereign yield curve. The data sample consists of five peripheral European countries known as GIIPS (Greece, Ireland, Italy, Portugal and Spain) over the period of 01 January 2001 to 30 June 2016. We...
Persistent link: https://www.econbiz.de/10012852965
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Mutual funds and safe government bonds : do returns matter?
Graziano, Marco; Habib, Maurizio Michael - 2024
This paper investigates the sensitivity of the demand for safe government debt to currency unhedged and hedged excess returns in a sample of US mutual funds. We find evidence of active rebalancing towards government bonds that offer relatively higher returns on an unhedged basis, in particular...
Persistent link: https://www.econbiz.de/10014527087
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The Term Structure of CDS Spreads and Sovereign Credit Risk
Augustin, Patrick - 2018
I study the term structure of credit default swap spreads to understand the dynamics of global and country-specific risk factors in explaining the time-variation in sovereign credit risk. The analysis suggests that the shape of the term structure conveys significant information on the relative...
Persistent link: https://www.econbiz.de/10012938644
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The Term Structure of CDS Spreads and Sovereign Credit Risk
Augustin, Patrick - 2016
The shape of the term structure of credit default swap spreads is an informative signal about the relative importance of global and domestic risk factors to the time variation of sovereign credit spreads. Using a geographically dispersed panel of 44 countries, I show that the relative importance...
Persistent link: https://www.econbiz.de/10013005733
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Credit Default Swap (CDS) spreads : the analysis of time series for the integration with the interest rates and the growth in Turkish economy
Kargi, Bilal - 2014
This text is for the relation between credit default swap (CDS) spreads and some chosen macro economic data in Turkish … general view of economy except the investee securities. In this study, the relation between the interest rates of CDS spreads …
Persistent link: https://www.econbiz.de/10010381990