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Bond convenience yields and exchange rate dynamics

Valchev, Rosen - 2017

Persistent link: https://www.econbiz.de/10011796957

Quantitative easing, bond risk premia and the exchange rate in a small open economy

Christensen, Jens H. E.; Zhang, Xin - 2024 - This version: April 4, 2024

Persistent link: https://www.econbiz.de/10014533490

Financial risk management : domestic and international dimensions

Jorion, Philippe - 1996

Persistent link: https://www.econbiz.de/10013548643

Dollar Bond, Foreign Discount and Exchange Rate Risk

Wang, Junxuan - 2023

In this paper, I examine the heterogeneous exposure of USD-denomination bonds (dollar bonds) to exchange rate risks. An appreciation of the US dollar increases the credit spread differential, referred to as the Foreign Discount, between dollar bonds issued by non-US and US firms. I provide both...

Persistent link: https://www.econbiz.de/10014257383

Quantitative easing, bond risk premia and the exchange rate in a small open economy

Christensen, Jens H. E.; Zhang, Xin - 2024

Riksbank and the European Central Bank (ECB) on bond risk premia in the Swedish government bond market. Using a novel arbitrage …-free dynamic term structure model of nominal and real bond prices that accounts for bondspecific safety premia, we find that … Sveriges Riksbank's bond purchases raised inflation and short-rate expectations, lowered nominal and real term premia and …

Persistent link: https://www.econbiz.de/10014517711

Exchange rates and the currency denominations of international bonds

Areskoug, Kaj - In: Economica 47 (1980), pp. 159-163

Persistent link: https://www.econbiz.de/10001859883

Gold price dynamics and the role of uncertainty

Beckmann, Joscha; Berger, Theo; Czudaj, Robert - 2017

This study adopts a copula wavelet approach to analyze dynamics of the gold price against bonds, stocks and exchange rates based on disaggregation of the underlying relationships across different frequencies. We also examine whether gold prices are directly affected by changes in uncertainty....

Persistent link: https://www.econbiz.de/10011776948

Pricing derivative credit risk

Ammann, Manuel - 1998

Persistent link: https://www.econbiz.de/10000674017

Investor reactions to CEO's inside debt incentives

Wei, Chenyang; Yermack, David L. - In: The review of financial studies 24 (2011) 11, pp. 3813-3840

Persistent link: https://www.econbiz.de/10009381403

A simple model for pricing bonds with diverse conditions on embeded options

Mateti, Ravi S.; Hegde, Shantaram P.; Vasudevan, Gopala - In: The international journal of finance 26 (2014) 2, pp. 143-178

Persistent link: https://www.econbiz.de/10011378568