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Economically Irrational Pricing of 19th Century British Government Bonds

Odlyzko, Andrew - 2014

British government bonds formed the deepest, most liquid, and most transparent financial market of the 19th century. This paper shows that those bonds had long periods, extending over decades, of anomalous behavior, in which Consols, the largest and best known of these instruments, were...

Persistent link: https://www.econbiz.de/10013054223

The Impact of the Bank of England's Corporate Bond Purchase Scheme on Yield Spreads

Boneva, Lena - 2018

As part of its August 2016 policy package, the Bank of England announced a scheme to purchase up to £10 billion of corporate bonds. Only sterling investment-grade bonds issued by firms making a ‘material' contribution to the UK economy were eligible to be purchased. So eligible bonds...

Persistent link: https://www.econbiz.de/10012923645

Preferred Habitat Investors in the UK Government Bond Market

Giese, Julia; Joyce, Michael; Meaning, Jack; Worlidge, Jack - 2021

Most tests of preferred habitat theory are indirect; they infer the existence of preferred habitat behaviour in financial markets by examining the behaviour of asset prices. We instead identify preferred habitat behaviour directly from whether investors show a preference towards a particular...

Persistent link: https://www.econbiz.de/10013211975

The empirics of UK gilts' yields

Akram, Tanweer; Li, Huiqing - 2020

short-term interest rate, inflation, the growth of industrial production, and the government debt ratio. The results show …

Persistent link: https://www.econbiz.de/10012291941

Tracing the impact of the ECB's asset purchase programme on the yield curve

Eser, Fabian; Lemke, Wolfgang; Nyholm, Ken; Radde, Sören; … - 2019

We trace the impact of the ECB's asset purchase programme (APP) on the sovereign yield curve. Exploiting granular information on sectoral asset holdings and ECB asset purchases, we construct a novel measure of the "free-float of duration risk" borne by price-sensitive investors. We include this...

Persistent link: https://www.econbiz.de/10012024810

Tracing the impact of the ECB's asset purchase programme on the yield curve

Eser, Fabian; Lemke, Wolfgang; Nyholm, Ken; Radde, Sören; … - 2020

We trace the impact of the European Central Bank (ECB) asset purchase programme (APP) on the yield curve. Exploiting granular information on sectoral asset holdings and ECB asset purchases, we construct a novel measure of the "free-float of duration risk" borne by pricesensitive investors. We...

Persistent link: https://www.econbiz.de/10012424954

An inquiry concerning long-term US interest rates using monthly data

Akram, Tanweer; Li, Huiqing - 2017

rate is the key determinant of the long-term interest rate, while the rate of core inflation and the pace of economic …-term interest rates, the rate of inflation, the pace of economic activity, and the fiscal balance ratio on long-term interest rates …

Persistent link: https://www.econbiz.de/10011713327

Quantitative easing and the supply of safe assets : evidence from international bond safety premia

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

Through large-scale asset purchases, widely known as quantitative easing (QE), central banks around the world have affected the supply of safe assets by buying quasi-safe bonds in exchange for truly safe reserves. We examine the pricing effects of the European Central Bank's bond purchases in...

Persistent link: https://www.econbiz.de/10015062504

The Term Structure of Euro Area Break-Even Inflation Rates : The Impact of Seasonality

Ejsing, Jacob; Garcia, Juan A.; Werner, Thomas - 2021

This paper provides a toolkit for extracting accurate information about inflation expectations using inflation …-linked bonds. First, we show how to estimate term structures of zero-coupon real rates and break-even inflation rates (BEIRs) in … the euro area. This improves the analysis of developments in inflation expectations by providing constant maturity …

Persistent link: https://www.econbiz.de/10013316774

The informational content of market-based measures of inflation expectations derived from government bonds and inflation swaps in the United Kingdom

Liu, Zhuoshi; Vangelista, Elisabetta; Kaminska, Iryna; … - 2015

Persistent link: https://www.econbiz.de/10011402735