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Why Do Emerging Economies Borrow Short Term?
Broner, Fernando; Lorenzoni, Guido; Schmukler, Sergio L. - Barcelona Graduate School of Economics (Barcelona GSE) - 2011
We argue that one reason why emerging economies borrow short term is that it is cheaper than borrowing long term. This is especially the case during crises, as in these episodes the relative cost of long-term borrowing increases. We construct a unique database of sovereign bond prices, returns,...
Persistent link: https://www.econbiz.de/10010851419
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Why do emerging economies borrow short term?
Broner, Fernando; Lorenzoni, Guido; Schmukler, Sergio L. - Department of Economics and Business, Universitat … - 2003
We argue that one reason why emerging economies borrow short term is that it is cheaper than borrowing long term. This is especially the case during crises, as in these episodes the relative cost of long-term borrowing increases. We construct a unique database of sovereign bond prices, returns,...
Persistent link: https://www.econbiz.de/10005772447
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Why Do Emerging Economies Borrow Short Term?
Broner, Fernando A; Lorenzoni, Guido; Schmukler, Sergio - C.E.P.R. Discussion Papers - 2007
We argue that emerging economies borrow short term due to the high risk premium charged by bondholders on long-term debt. First, we present a model where the debt maturity structure is the outcome of a risk sharing problem between the government and bondholders. By issuing long-term debt, the...
Persistent link: https://www.econbiz.de/10005789190
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Why Do Emerging Economies Borrow Short Term?
Broner, Fernando A.; Lorenzoni, Guido; Schmukler, Sergio L. - Barcelona Graduate School of Economics (Barcelona GSE) - 2004
We argue that emerging economies borrow short term due to the high risk premium charged by international capital markets on long-term debt. First, we present a model where the debt maturity structure is the outcome of a risk sharing problem between the government and bondholders. By issuing...
Persistent link: https://www.econbiz.de/10010547257
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Nominal Term Structure and Term Premia. Evidence from Chile
Ceballos, Luis; Naudon, Alberto; Romero, Damian - Volkswirtschaftliche Fakultät, … - 2014
developed and developing economies. To understand the behavior of the nominal yield curve in Chile, we rely on an affine dynamic …
Persistent link: https://www.econbiz.de/10011108020
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The Bond Yield Conundrum : Alternative Hypotheses and the State of the Economy
Eijffinger, Sylvester; Mahieu, Ronald; Raes, Louis - Tilburg University, Center for Economic Research - 2010
We study the bond yield conundrum in a macro-finance framework. Building upon a exible and non-structural macro …-finance model, we test the hypothesis that the bond yield conundrum is connected to various sources of uncertainty in the financial …
Persistent link: https://www.econbiz.de/10011090282
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Term Structure Persistence
Abbritti, Mirko; Gil-Alana, Luis; Lovcha, Yuliya; … - School of Economics and Business Administration, … - 2012
Stationary I(0) models employed in yield curve analysis typically imply an unrealistically low degree of volatility in … structure model with a two-fold source of persistence in the yield curve: Long-memory and short-memory. Our model, based on an I …
Persistent link: https://www.econbiz.de/10010599199
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The bond yield conundrum: alternative hypotheses and the state of the economy
Eijffinger, Sylvester C W; Mahieu, Ronald J; Raes, Louis - C.E.P.R. Discussion Papers - 2010
We study the bond yield conundrum in a macro-finance framework. Building upon a flexible and non-structural macro …-finance model, we test the hypothesis that the bond yield conundrum is connected to various sources of uncertainty in the financial …
Persistent link: https://www.econbiz.de/10008682889
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Forecasting inflation from the term structure
Carstensen, Kai; Hawellek, Julia - In: Review of World Economics (Weltwirtschaftliches Archiv) 139 (2003) 2, pp. 306-323
Persistent link: https://www.econbiz.de/10005390792
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A fractional cointegration analysis of Fisher hypothesis: evidence from Turkey
Kiran, Burcu - In: Quality & Quantity: International Journal of Methodology 47 (2013) 2, pp. 1077-1084
cointegration and fractional cointegration approaches. The findings from Engle and Granger cointegration test indicate that … inflation and nominal interest rate series are cointegrated. Since the conventional cointegration tests do not provide strong … evidence on the long run relationship, we also use fractional cointegration definition suggested by Cheung and Lai (J Bus Econ …
Persistent link: https://www.econbiz.de/10010993128