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Sovereign bond spreads and credit sensitivity
Schefer, Ricardo - 2020
Expectations of risky bond payments are unobservable and recovery rates for sovereigns are hard to estimate because they have no contractual claims to defined assets and samples of defaults are limited. A geometric version of credit spread is used to derive expected payments, dependent on...
Persistent link: https://www.econbiz.de/10012307696
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German bond yields and debt supply : is there a "bund premium"?
Paret, Anne-Charlotte; Weber, Anke - 2019
Are Bunds special? This paper estimates the 'Bund premium' as the difference in convenience yields between other sovereign safe assets and German government bonds adjusted for sovereign credit risk, liquidity and swap market frictions. A higher premium suggests less substitutability of sovereign...
Persistent link: https://www.econbiz.de/10012154614
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Sovereign exposures of European banks : it is not all doom
Lamers, Martien; Present, Thomas; Vander Vennet, Rudi - 2019
Persistent link: https://www.econbiz.de/10012156915
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Sovereign exposures of European banks : it is not all doom
Lamers, Martien; Present, Thomas; Vander Vennet, Rudi - In: Journal of risk and financial management : JRFM 15 (2022) 2, pp. 1-24
We investigate whether sovereign bond holdings of European banks are determined by a risk-return trade-off. Using data between 2011 and 2018 for 75 European banks, we confirm that banks exhibited risk-taking behavior during the sovereign debt crisis, e.g., due to moral suasion. In the period...
Persistent link: https://www.econbiz.de/10012821286
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Treasury supply shocks and the term structure of interest rates in the UK
Lengyel, Andras - 2022
How does the additional debt issued by the government affect the term structure of interest rates? In this paper we identify Treasury supply shocks using intraday high-frequency data, by exploiting the institutional setup of the UK government bond primary market. We find that supply shocks have...
Persistent link: https://www.econbiz.de/10013256943
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Budgetary decomposition and yield spreads
Afonso, António; Jalles, João Tovar - 2015
Persistent link: https://www.econbiz.de/10011549287
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57 channels (and nothin on) : does TV-news on the Eurozone affect government bond yield spreads?
Wolfinger, Julia; Feld, Lars P.; Köhler, Ekkehard A.; … - 2018
news shows of leading TV stations in 12 countries which include 37,859 news on the EU, on the Eurozone and on country …-specific economic issues. We find that an increasing share of news about the Eurozone reduces yield spreads, especially when the news …
Persistent link: https://www.econbiz.de/10011955600
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57 Channels (and Nothin on) - Does TV-News on the Eurozone Affect Government Bond Yield Spreads?
Wolfinger, Julia - 2019
news shows of leading TV stations in 12 countries which include 37,859 news on the EU, on the Eurozone and on country …-specific economic issues. We find that an increasing share of news about the Eurozone reduces yield spreads, especially when the news …
Persistent link: https://www.econbiz.de/10012892159
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Market Liquidity Risk Premia in Eurozone Government Bonds' Yield Spreads
Kahlert, Dennis - 2017
This paper is about market liquidity risk premia in Eurozone sovereign bond spreads between 2008 and 2015. By …
Persistent link: https://www.econbiz.de/10012969408
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Bond Convenience Yields in the Eurozone Currency Union
Jiang, Zhengyang; Lustig, Hanno N.; Van Nieuwerburgh, Stijn - 2021
surpluses. In the data, adjustments to convenience yields explain a larger fraction of the variation in Eurozone bond yields …-section and in the time series. These findings imply large fiscal costs especially on the peripheral countries. If all Eurozone … billion euros in cumulative revenues from bond issuance between 2003 and 2020, representing 2.6% of 2020 Eurozone GDP …
Persistent link: https://www.econbiz.de/10013234177