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International yield co-movements
Bekaert, Geert; Ermolov, Andrey - 2021
Persistent link: https://www.econbiz.de/10012590876
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Liquidity, government bonds and sovereign debt crises
Molteni, Francesco - 2015
Persistent link: https://www.econbiz.de/10011414434
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How does sovereign bond market integration relate to fundamentals and CDS spreads?
Chaieb, Ines; Errunza, Vihang R.; Gibson, Rajna - 2016
We find that the degree and dynamics of sovereign bond market integration across 21 developed and 18 emerging countries is significantly heterogeneous. We show that better spanning can significantly enhance market integration through dissipating local risk premiums. Integration of the sovereign...
Persistent link: https://www.econbiz.de/10011618981
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The long-run impact of sovereign yields on corporate yields in emerging markets
Li, Delong; Magud, Nicolas; Werner, Alejandro M. - In: Journal of international money and finance 130 (2023), pp. 1-15
Persistent link: https://www.econbiz.de/10014248777
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Essays on real estate and financial crisis : from the US housing market downturn to the global financial crisis
Witt, Christian - 2015
The thesis studies three pivotal episodes in the evolution of what became the Global Financial Crisis of 2008-09. These three events - the collapse of the US housing market, the breakdown of the repo money market, and the banking crash - are indispensable for understanding some of the key...
Persistent link: https://www.econbiz.de/10011346892
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Sovereign ratings and their impact on recent financial crises
Kräussl, Roman - 2000
Persistent link: https://www.econbiz.de/10001467266
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Mind the gap in sovereign debt markets : the U.S. Treasury basis and the Dollar risk factor
Krishnamurthy, Arvind; Lustig, Hanno - 2019
The U.S. dollar exchange rate clears the global market for dollar-denominated safe assets. We find that shifts in the demand and supply of safe dollar assets are important drivers of variation in the dollar exchange rate, bond yields, and other global financial variables. An increase in the...
Persistent link: https://www.econbiz.de/10012244483
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How safe was the "safe haven"? : Financial market liquidity during the 1998 turbulences
Upper, Christian - 2000
liquidity provision mechanism in many markets under severe strain. As part of the large-scale portfolio rebalancing that took … examines the liquidity of the secondary market for four German benchmark government bonds during this period. The analysis is …
Persistent link: https://www.econbiz.de/10001455520
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How safe was the "safe haven"? : financial market liquidity during the 1998 turbulences
Upper, Christian - 2000
liquidity provision mechanism in many markets under severe strain. As part of the large-scale portfolio rebalancing that took … examines the liquidity of the secondary market for four German benchmark government bonds during this period. The analysis is … year German government bonds, indicating a reduction in liquidity. Nevertheless, the market was able to handle a …
Persistent link: https://www.econbiz.de/10011418740
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The "worldwide equity premium: a smaller puzzle" and "History and equity risk premium": discussion
LeRoy, Stephen F. - In: Handbook of the equity risk premium, (pp. 530-534). 2008
Persistent link: https://www.econbiz.de/10003599039