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Macro Factors in Corporate Bond Credit and Liquidity Spreads

Guo, Biao - 2019

spreads, and corporate bond liquidity spreads in a unified no-arbitrage framework. Four economic factors, monetary conditions …. During the pre-crisis period, volatility shocks decrease Treasury yields and widen both credit spreads and liquidity spreads … and real output become significant as well. Ignoring the liquidity component of corporate yield spreads is shown to lead …

Persistent link: https://www.econbiz.de/10012896270

Risk Managing the LIBOR Transition

Albanese, Claudio; Iabichino, Stefano; Mammola, Paolo - 2021

By halting the LIBOR's publication, large volumes of fixed income securities, from loans to derivatives, will fall back to an alternative fixing reference. The initial proposal of a SOFR fallback eliminated any degree of subjectivity but opened up funding risk. Overlaying a credit spread over...

Persistent link: https://www.econbiz.de/10013244857

Is Banks’ Home Bias Good or Bad for Public Debt Sustainability?

Asonuma, Tamon - 2015

Motivated by the recent increase in domestic banks' holdings of domestic sovereign debt (i.e., home bias) in the European periphery, this paper analyzes implications of banks' home bias for the sovereign's debt sustainability. The main findings, based on a sample of advanced (AM) and emerging...

Persistent link: https://www.econbiz.de/10013026316

The sovereign-bank diabolic loop and esbies

Brunnermeier, Markus Konrad; Garicano, Luis; Lane, Philip R. - 2016

We propose a simple model of the sovereign-bank diabolic loop, and establish four results. First, the diabolic loop can be avoided by restricting banks' domestic sovereign exposures relative to their equity. Second, equity requirements can be lowered if banks only hold senior domestic sovereign...

Persistent link: https://www.econbiz.de/10011560340

Nominal Term Structure and Term Premia. Evidence from Chile

Ceballos, Luis; Naudon, Alberto; Romero, Damian - Volkswirtschaftliche Fakultät, … - 2014

The downward trend exhibited in Chile’s nominal term structure since 2003 has been a common pattern shared by other developed and developing economies. To understand the behavior of the nominal yield curve in Chile, we rely on an affine dynamic term structure model (DTMS) which allows to...

Persistent link: https://www.econbiz.de/10011108020

Modelling Long Bonds - The Case of Optimal Fiscal Policy

Faraglia, Elisa; Marcet, Albert; Scott, Andrew - C.E.P.R. Discussion Papers - 2014

We show how to model portfolio models in the presence of long bonds. Specifically we study optimal fiscal policy under incomplete markets where the government issues bonds of maturity N 1. Assuming the existence of long bonds introduces an additional intertemporal mechanism that makes taxes...

Persistent link: https://www.econbiz.de/10011083295

A contribution to the study of the German treasury bills market

Leão, Emanuel R.; Lagoa, Sergio C. - In: Cogent economics & finance 3 (2015) 1, pp. 1-11

We study the yields in the German treasury bills market. We take a detailed look at the yield banks require to buy treasury bills in the primary market, and we also examine the yield households and nonbank firms demand to buy these bills in the secondary market. We use data from real world...

Persistent link: https://www.econbiz.de/10011449639

A portfolio-balance model of inflation and yield curve determination

Díez de los Ríos, Antonio - 2020 - Last updated: March 9, 2020

We propose a portfolio-balance model of the yield curve in which inflation is determined through an interest rate rule that satisfies the Taylor principle. Because arbitrageurs care about their real wealth, they only absorb an increase in the supply of nominal bonds if they are compensated with...

Persistent link: https://www.econbiz.de/10012177988

What can EMU countries’ sovereign bond spreads tell us about market perceptions of default probabilities during the recent financial crisis?

Dötz, Niko; Fischer, Christoph - 2010

loss component and a liquidity premium. Time-varying default probabilities are derived. The results suggest that the rise …

Persistent link: https://www.econbiz.de/10003974397

Liquidity premia in German government bonds

Ejsing, Jacob Wellendorph; Sihvonen, Jukka - 2009

find that on-the-run status has only a negligible effect on the liquidity and pricing once other factors have been … market, leads to significant liquidity spillovers. Specifically, we find that bonds which are deliverable into futures … during the recent financial crisis. -- Government bond ; liquidity ; liquidity premium ; futures market …

Persistent link: https://www.econbiz.de/10003963737