Showing 1 - 10 of 2,779
Persistent link: https://www.econbiz.de/10014306488
By using an existing and a new convergence measure, this paper assesses whether bank loan and bond interest rates are … converging for the non-financial corporate sector across the euro area. Whilst we find evidence for complete bond market …
Persistent link: https://www.econbiz.de/10010427552
risk premia in the bond market. In order to estimate the dimensionality of the hidden risk factors jointly with the model … components therefore seems to reflect the degree of difficulty to diversify the individual bond risks. …
Persistent link: https://www.econbiz.de/10010293375
The paper provides an analysis of the euro area money and bond markets and their infrastructure since the introduction … notably regarding the bond market which lags behind in terms of liquidity, market completeness and overall size compared to … the US corporate bond market. Analysis of the barriers to integration, which do not seem to be specific to these markets …
Persistent link: https://www.econbiz.de/10011606153
This paper attempts to find an aggregate leading indicator to predict the spreads observed for high-yield (HY) bond …
Persistent link: https://www.econbiz.de/10010319718
We assess the effect of aggregate stock market illiquidity on U.S. Treasury bond risk premia. We find that the stock …
Persistent link: https://www.econbiz.de/10010326359
This paper investigates whether information from foreign yield curves helps forecast domestic yield curves out …-of-sample. A nested methodology to forecast yield curves in domestic and international settings is applied on three major countries …
Persistent link: https://www.econbiz.de/10011605090
in the stock market, the foreign exchange market, and the bond and money markets in various countries. We find that the …
Persistent link: https://www.econbiz.de/10011430064
The popular Nelson-Siegel (1987) yield curve is routinely fit to cross sections of intra-country bond yields, and …-specific factors. In an empirical analysis of term structures of government bond yields for the Germany, Japan, the U.K. and the U …
Persistent link: https://www.econbiz.de/10010303750
Recently, credit ratings have been enhancing the influence on issuers as well as the national economy. This paper … explains the historical development and several current features of the Japanese bond market, and discusses why credit ratings … gained a significant role in the 1990s. We also present empirical research on credit ratings in the Japanese bond market, and …
Persistent link: https://www.econbiz.de/10010332394