We analyze the impact of the introduction of credit default swaps (CDS) on real decision making within the firm, taking into consideration differences in firms' local economic and legal environments. We extend the model of Bolton and Oehmke (2011) to take into account uncertainty whether the...

Controlling for bond characteristics and liquidity, clientele effects in Malaysian bonds cause Islamic sovereign bonds to have a 4.8 bps higher yield than their conventional counterparts. Using transaction-level bond data, we document three channels for these effects: First, from the selling of...

We analyze the impact of the introduction of credit default swaps (CDS) on real decision making within the firm, taking into consideration differences in firms' local economic and legal environments. We extend the model of Bolton and Oehmke (2011) to take into account uncertainty whether the...

This paper documents the pricing of liquidity and identifies its drivers in the four main segments of the interbank and exchange credit bond markets in China. First, we find that liquidity effects are priced in credit bond yield spreads, and differ significantly across these four segments....

We study the impact of sovereign bond auctions on secondary markets and their feedback to the sovereigns' debt cost. This linkage is established through the actions of primary dealers, participating in the auctions, and also acting as market-makers. We model financially-constrained primary...

We analyze the impact of option trading and margin rules on the behavior of informed traders and on the microstructure of stock and option markets. In the absence of binding margin requirements, the introduction of an options market causes informed traders to exhibit a relative trading bias...

We investigate the Japanese yen and U.S. dollar interest rate swap markets during the period 1990-2000, by examining the spreads of the swap rates over comparable treasury yields (on Japanese Government Bonds (JGBs) and U.S. Treasury bonds, respectively) for different maturities. We then analyze...

In this paper, we investigate Japanese yen and U.S. dollar interest rate swap markets during the period 1990-99. We measure the spreads of the swap rates over comparable treasury yields (on Japanese Government Bonds (JGBs) and U.S. Treasury bonds, respectively) for different maturities. We then...

In this paper, we investigate Japanese yen and U.S. dollar interest rate swap markets during the period 1990-99. We measure the spreads of the swap rates over comparable treasury yields (on Japanese Government Bonds (JGBs) and U.S. Treasury bonds, respectively) for different maturities. We then...

We build a multi-factor, no-arbitrage model of the term structure of interest rates. The stochastic factors are the short-term interest rate and the premia of the futures rates over the short-term interest rate. In the three-factor version of the model, for example, the first factor is the...