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The Effect of Possible EU Diversification Requirements on the Risk of Banks’ Sovereign Bond Portfolios

Craig, Ben R. - 2020

Recent policy discussion includes the introduction of diversification requirements for sovereign bond portfolios of … sovereign bond portfolios of the major European banks. First, we capture the dependence structure of European countries … analysis. We then analyse the risk and diversification in the sovereign bond portfolios of the largest European banks and …

Persistent link: https://www.econbiz.de/10012838336

Natural Rate Chimera and Bond Pricing Reality

Brand, Claus; Goy, Gavin; Lemke, Wolfgang - 2021

We build a novel macro-finance model that combines a semi-structural macroeconomic module with arbitrage-free yield-curve dynamics. We estimate it for the United States and the euro area using a Bayesian approach and jointly infer the real equilibrium interest rate (r*), trend inflation (π*),...

Persistent link: https://www.econbiz.de/10013313733

A Factor Risk Model with Reference Returns for the Us Dollar and Japanese Yen Bond Markets

Bernadell, Carlos; Coche, Joachim; Nyholm, Ken - 2021

Japanese yen bond markets. The reference returns result from a regime-switching Nelson-Siegel yield curve model following …

Persistent link: https://www.econbiz.de/10013317575

Pricing of Bonds and Equity when the Zero Lower Bound is Relevant

Kick, Heinrich - 2017

This paper investigates the joint dynamics of nominal bond yields, real bond yields and dividend yields from the 80s up …

Persistent link: https://www.econbiz.de/10012963939

The Term Structure of Equity Premia in an Affine Arbitrage-Free Model of Bond and Stock Market Dynamics

Lemke, Wolfgang; Werner, Thomas - 2021

captures the arbitrage-free dynamics of stock returns and nominal bond yields. The model nests the class of affine term … structure (of interest rates) models. Stock returns and bond yields as well as risk premia are affine functions of the state …

Persistent link: https://www.econbiz.de/10013316384

Can EU Bonds Serve as Euro-Denominated Safe Assets?

Bletzinger, Tilman; Greif, William; Schwaab, Bernd - 2022

A safe asset is of high credit quality, retains its value in bad times, and is traded in liquid markets. We show that bonds issued by the European Union (EU) are widely considered to be of high credit quality, and that their yield spread over German Bunds remained contained during the 2020...

Persistent link: https://www.econbiz.de/10013492670

The Pricing of G7 Sovereign Bond Spreads : The Times, They are A-Changin

D'Agostino, Antonello - 2013

estimates determinants of G7 sovereign bond spreads, using high‐frequency proxies for market expectations about macroeconomic …

Persistent link: https://www.econbiz.de/10013086465

Bond Risk Premia, Macroeconomic Factors and Financial Crisis in the Euro Area

Garcia, Juan Angel - 2016

This paper investigates the power of macroeconomic factors to explain euro area bond risk premia using (i) a large …

Persistent link: https://www.econbiz.de/10012984568

Finance and Diversification

Manganelli, Simone - 2010

We study how financial market efficiency affects a measure of diversification of output across industrial sectors borrowed from the portfolio allocation literature. Using data on sector-level value added for a wide cross section of countries and for various levels of disaggregation, we construct...

Persistent link: https://www.econbiz.de/10013136834

Domestic and External Sectoral Portfolios : Network Structure and Balance-Sheet Contagion

Heipertz, Jonas - 2018

This paper uses a unique comprehensive database on French security assets and liabilities to study the dynamics of domestic and external sectoral portfolios, their network structure, and their role in the propagation of shocks. We first show how the sharp deterioration of the net external...

Persistent link: https://www.econbiz.de/10012906433