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General equilibrium and reduced-form pricing, hedging and econometric analysis of fixed-income markets

Ulrich, Maxim - 2008

Persistent link: https://www.econbiz.de/10003751650

Government debt and risk premia

Liu, Yang - In: Journal of monetary economics 136 (2023), pp. 18-34

Persistent link: https://www.econbiz.de/10014328240

Money and nominal bonds

Marchesiani, Alessandro; Senesi, Pietro - In: Macroeconomic dynamics 13 (2009) 2, pp. 189-199

Persistent link: https://www.econbiz.de/10003893551

Sovereign Uncertainty

Silgado-Gómez, Edgar - 2020

This paper investigates the transmission of uncertainty about the state of government finances on economic activity. I first employ a data-rich approach to extract a novel proxy that captures uncertainty surrounding the public finances of the Spanish economy, to which I refer as sovereign...

Persistent link: https://www.econbiz.de/10012846834

The Risks of Safe Assets

Liu, Yang - 2020

high convenience yields in Treasuries lower its cost of borrowing? We evaluate a novel fiscal risk channel limiting the … through fiscal amplification, raising risk premia and credit spreads as well as firms' cost of capital thereby crowding out …

Persistent link: https://www.econbiz.de/10012830191

Uncertainty and the Cost of Bank vs. Bond Finance

Grimme, Christian - 2019

risk of firm default …

Persistent link: https://www.econbiz.de/10012892132

Bond Return Predictability : Economic Value and Links to the Macroeconomy

Gargano, Antonio - 2017

risk-adjusted portfolio returns after accounting for estimation error and model uncertainty, as evidenced by the …

Persistent link: https://www.econbiz.de/10012972962

Multi-currency (Risky) Sovereign Bonds Arbitrage

Yordanov, Vilimir - 2018

addition to the credit risk of the sovereign it reflects a whole set of extra risk factors such as inflation, exchange rate …

Persistent link: https://www.econbiz.de/10012938247

International Political Risk and Government Bond Pricing

Huang, Tao - 2018

This paper investigates the impact of international political risk on government bond yields in 34 debtor countries … number of international political crises as a proxy for political risk and controlling for country-specific economic … conditions, we establish a positive and significant link between international political risk and government bond yields. This is …

Persistent link: https://www.econbiz.de/10012938377

Predicting bond betas using macro-finance variables

Aslanidis, Nektarios; Christiansen, Charlotte; … - In: Finance research letters 29 (2019), pp. 193-199

Persistent link: https://www.econbiz.de/10012418702