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Taming Debt : Can GDP-Linked Bonds do the Trick?
Mouabbi, Sarah - 2020
results stand out: (i) GDP-linked bond prices would embed sizeable and time-varying risk premiums of about 40 basis points …
Persistent link: https://www.econbiz.de/10012835206
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The empirics of UK gilts' yields
Akram, Tanweer; Li, Huiqing - 2020
This paper analyzes the nominal yields of UK gilt-edged securities ("gilts") based on a Keynesian perspective, which holds that the short-term interest rate is the primary driver of the long-term interest rate. Quarterly data are used to model gilts' nominal yields. These models bring to light...
Persistent link: https://www.econbiz.de/10012291941
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Supply of Sovereign Safe Assets and Global Interest Rates
R.T. Ferreira, Thiago; Shousha, Samer - 2021
We estimate that the supply of sovereign safe assets is a major driver of neutral interest rates--real rates consistent with both economic activity and inflation at their trends. We find this result using an empirical cross-country model with many economic drivers for the neutral rates of 11...
Persistent link: https://www.econbiz.de/10014351840
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The impact of the creation of a sovereign ESG reference yield curve on corporate ESG bonds issuances from Latin America and the Caribbean
Cunha, Daniel; Craveiro, Giovana; Rossi, Marina - 2024
This paper explores a granular database from the Inter-American Development Bank (IDB) Green Bond Transparency Platform … reference yield curve can boost the private ESG bond market. Using a difference-in-differences (DID) approach, we empirically … bond issuances and a 25 percent increase in the number of ESG corporate bond issuances in the external markets after three …
Persistent link: https://www.econbiz.de/10014529872
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The ties that bind : monetary policy and government debt management ; [prepared for Volume 29 “Sovereign Debt” of the Oxford Review of Economic Policy]
Chadha, Jagjit; Turner, Philip; Zampolli, Fabrizio - 2013
framework helps explain both the bond yield conundrum and the effectiveness of quantitative easing. We suggest that these …
Persistent link: https://www.econbiz.de/10010188528
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Nominal Bonds, Real Bonds, and Equity
Ang, Andrew - 2012
over nominal bonds. The shape of the nominal and real bond yield curves are upward sloping due to increasing duration and …
Persistent link: https://www.econbiz.de/10013113165
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Nominal Bonds, Real Bonds, and Equity
Ang, Andrew - 2012
over nominal bonds. The shape of the nominal and real bond yield curves are upward sloping due to increasing duration and …
Persistent link: https://www.econbiz.de/10013113650
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Uncertainty and the Cost of Bank vs. Bond Finance
Grimme, Christian - 2019
How does uncertainty affect the costs of raising finance in the bond market and via bank loans? Empirically, this paper … finds that heightened uncertainty is accompanied by an increase in corporate bond yields and a decrease in bank lending … the value of the lending relationship and lowers the lending rate. Bond investors demand compensation for the increased …
Persistent link: https://www.econbiz.de/10012892132
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Robust Long-Term Interest Rate Risk Hedging in Incomplete Bond Markets
Shen, Sally - 2014
bond markets. A robust agent who worries about misspecified bond premia follows a min-max expected shortfall criterion to …
Persistent link: https://www.econbiz.de/10013049665
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Pricing Inflation Linked Bonds and Hedging Bond Portfolios : A Comparative Analysis Applied to French OAT Indexed Bonds
da Fonseca, José S. - 2016
zero coupon bond prices: bootstrapping, a piecewise constant forward rates method, a cubic spline model, and the Nelson and … Siegel smoothing model. Next, based on the estimated real and nominal curves, several methodologies to hedge bond portfolios …
Persistent link: https://www.econbiz.de/10012990025