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Puttable and Extendible Bonds : Developing Interest Rate Derivatives for Emerging Markets
Neftci, Salih N. - 2003
interest-rate derivative markets, and their use by governments. Their stabilizing properties imply that, when bond prices fall …
Persistent link: https://www.econbiz.de/10014404000
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Fixing the Fixings : What Road to a More Representative Money Market Benchmark?
Brousseau, V. - 2013
Interest rate derivatives on major currencies, with notional outstanding amounts adding up to hundreds of trillions, are mostly indexed on Libor and Euribor benchmarks, as are hundreds of billions in loans to enterprises, mortgages and other retail loans to the real economy. Yet, the prevailing...
Persistent link: https://www.econbiz.de/10014395189
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Modelling the Yield Curve
Taylor, Mark P. - 1991
under rational expectations. We also find that risk measures, in the form of conditional interest rate volatility, are …
Persistent link: https://www.econbiz.de/10014395929
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Fixing the fixings : what road to a more representative money market benchmark?
Brousseau, Vincent; Chailloux, A.; Durré, Alain - 2013
Persistent link: https://www.econbiz.de/10009756774
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Impact of interest rate cap on financial inclusion in Cambodia
Heng, Dyna; Chea, Serey; Heng, Bomakara - 2021
Interest rate caps, despite their intended objective of broadening financial inclusion, can have undesirable effects on financial inclusion under certain conditions. This paper examines the effect of microfinance-loan interest rate caps on financial inclusion in Cambodia. Based on a...
Persistent link: https://www.econbiz.de/10012604813
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Understanding Chinese Bond Yields and their Role in Monetary Policy
Porter, Nathan - 2011
interest rates. While bond yields are not fully efficient?reflecting regulation, liquidity, and segmentation?we find they …: changes in PBC rates influence the structure of Treasury, financial, and corporate bond yield curves, which are then …
Persistent link: https://www.econbiz.de/10014398318
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German bond yields and debt supply : is there a "bund premium"?
Paret, Anne-Charlotte; Weber, Anke - 2019
, which is more pronounced for higher maturities and when risk aversion proxied by bond market volatility is high. Going …
Persistent link: https://www.econbiz.de/10012154614
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The long-run impact of sovereign yields on corporate yields in emerging markets
Li, Delong; Magud, Nicolas; Werner, Alejandro M.; … - 2021
We analyze the long-run impact of emerging-market sovereign bond yields on corporate bond yields, finding that the …
Persistent link: https://www.econbiz.de/10012612337
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Equity Prices, Credit Default Swaps, and Bond Spreads in Emerging Markets
Chan-Lau, Jorge A. - 2004
This paper examines equilibrium price relationships and price discovery between credit defaul swap (CDS), bond, and … equity markets for emerging market sovereign issuers. Findings suggest that CDS and bond spreads converge despite various … bond and CDS markets and the equity markets. As for price discovery, our results are mixed. This stands in contrast to the …
Persistent link: https://www.econbiz.de/10014404117
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The term structure of growth-at-risk
Adrian, Tobias; Grinberg, Federico; Liang, Jean Nellie; … - 2018
Using panel quantile regressions for 11 advanced and 10 emerging market economies, we show that the conditional distribution of GDP growth depends on financial conditions, with growth-at-risk (GaR)-defined as growth at the lower 5th percentile-more responsive than the median or upper...
Persistent link: https://www.econbiz.de/10011905883