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The trading of bonds and swaps largely relies on bank dealers as core market-makers. Dealers provide liquidity and … bonds and swaps currently traded and how liquid are these markets?, (2) how do the structural changes affect the dealer … to their market-making activities. The ongoing challenges faced in ensuring resilient provision of liquidity were also …
Persistent link: https://www.econbiz.de/10014460615
dynamics of stock-bond return correlations poorly. Alternative factors, such as liquidity proxies, help explain the residual …
Persistent link: https://www.econbiz.de/10011617371
We analyze the relationship between unemployment rate changes and government bond yields during and after the most recent financial crisis across nine industrialized countries. The study is conducted on a weekly basis and we therefore nowcast unemployment data, which are only available once a...
Persistent link: https://www.econbiz.de/10013026660
We find evidence for time-varying risk premia across international bond markets. Local and global factors jointly predict returns. The global factor is closely linked to US bond risk premia and international business cycles. Movements in the global factor seem to drive risk premia and expected...
Persistent link: https://www.econbiz.de/10013038602
financial market roadblocks. This paper investigates the differential bond performance of green vs non-green bonds with (1) a … aggregate green bond and corporate energy time-series indices; as well as a cross-sectional set of individual bonds issued … between 1 January 2017, and 1 October 2020. The asset pricing model demonstrates that, in the long-run, the positive …
Persistent link: https://www.econbiz.de/10013041187
of GDP-linked bonds, looks at when it might be most beneficial to issue, how investors might benefit, and possible ways …
Persistent link: https://www.econbiz.de/10012981190
We document the existence of a global monetary policy factor in sovereign bond yields, related to the size of the aggregate balance sheet of nine major central banks of developed economies that have implemented programs of large-scale asset purchases. Balance sheet policies of these central...
Persistent link: https://www.econbiz.de/10013491890
studies global bonds to examine the effects of multimarket trading on corporate bond liquidity, prices, and the cost of debt … significant liquidity and price advantage over comparable domestic bonds. On average, global bonds trade at yields 15 to 25 basis …Global bonds are international securities designed to be traded and settled efficiently in multiple markets. This paper …
Persistent link: https://www.econbiz.de/10013142590
CAT bonds are important instruments for the insurance of catastrophe risk. Due to a low degree of deal standardization …, there is uncertainty about the determination of the CAT bond premium. In addition, it is not apparent how CAT bonds react … Katrina an increased risk perception for hurricanes can be observed. -- CAT bonds ; financial crisis ; catastrophe events …
Persistent link: https://www.econbiz.de/10009615124
Persistent link: https://www.econbiz.de/10003556922