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Do enhanced collective action clauses affect sovereign borrowing costs?

Chung, Kay; Papaioannou, Michael G. - In: Journal of banking and financial economics 1 (2021) 15, pp. 59-87

This paper analyzes the effects of including collective action clauses (CACs) and enhanced CACs in international (nondomestic law-governed) sovereign bonds on sovereigns’ borrowing costs, using secondary-market bond yield spreads. Our findings indicate that inclusion of enhanced CACs,...

Persistent link: https://www.econbiz.de/10012887842

How to Discount Cashflows with Time-Varying Expected Returns

Ang, Andrew - 2011

While many studies document that the market risk premium is predictable and that betas are not constant, the dividend discount model ignores time-varying risk premiums and betas. We develop a model to consistently value cashflows with changing risk-free rates, predictable risk premiums and...

Persistent link: https://www.econbiz.de/10012757205

The Information Content of News Announcements

Kısacıkoğlu, Burçin - 2020

This paper investigates high frequency movements of the yield curve around macroeconomic announcements by combining event studies and a no-arbitrage affine term structure model in a new Keynesian model with partial (or imperfect) information. I show that the model fits bond yields and...

Persistent link: https://www.econbiz.de/10012849474

Real exchange rate decompositions

Feunou, Bruno; Fontaine, Jean-Sébastien; Krohn, Ingomar - 2022

We provide a novel daily decomposition of the real exchange rate that exploits a direct link between bond and foreign exchange (FX) markets. Real exchange rate dynamics can be attributed to changes in the expected future level of the exchange rate; cross-country differentials of expected...

Persistent link: https://www.econbiz.de/10013175434

Adaptive and High-Order Methods for Valuing American Options

Christara, Christina - 2010

We develop space-time adaptive and high-order methods for valuing American options using a partial differential equation (PDE) approach. The linear complementarity problemarising due to the free boundary is handled by a penalty method. Both finite difference and finite element methods are...

Persistent link: https://www.econbiz.de/10013144093

The Price of Liquidity : Bank Characteristics and Market Conditions

Fecht, Falko - 2010

We identify frictions in the market for liquidity as well as bank-specific and market-wide factors that affect the … prices that banks pay for liquidity, captured here by borrowing rates in repos with the central bank and benchmarked by the … liquidity. We find that the price a bank pays for liquidity depends on the liquidity positions of other banks, as well as its …

Persistent link: https://www.econbiz.de/10013144896

Asset Pricing with Matrix Jump Diffusions

Leippold, Markus - 2010

We introduce a new class of flexible and tractable matrix affine jump-diffusions (AJD) to model multivariate sources of financial risk. We first provide a complete transform analysis of this model class, which opens a range of new potential applications to, e.g., multivariate option pricing with...

Persistent link: https://www.econbiz.de/10013146654

Affine Bond Pricing with a Mixture Distribution for Interest Rate Time-Series Dynamics

Rasmussen, Torben Beedholm - 2010

Starting from the discrete-time a ne term structure model by Dai, Le & Singleton (2006), this paper proposes a Radon-Nikodym derivative which implies that factors follow a mixture distribution under the physical measure. The model thus maintains attractive features of an affine relation between...

Persistent link: https://www.econbiz.de/10013147078

Liquidity-Adjusted Benchmark Yield Curve : A Look at Trading Concentration and Information

LIn, William T. - 2010

Estimation of benchmark yield curve in developing markets is often influenced by liquidity concentration. Based on an … affine term structure model, we develop a long run liquidity weighted fitting method to address the trading concentration … from models of liquidity concentration and benchmark security information. After examining time series behavior of price …

Persistent link: https://www.econbiz.de/10013148657

Long-Run Consumption Risk and the Real Yield Curve

Wu, Shu - 2010

This paper estimates a consumption-based, no-arbitrage model of the term structure of real interest rates. The model nests the standard long-run risk model which assumes constant market prices of risk. We find that the long-run consumption risk dominates the short-run and volatility risks and...

Persistent link: https://www.econbiz.de/10013148903