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Year of publication
Subjects
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Anleihe 2,531 Bond 2,249 Theorie 587 Theory 579 USA 532 United States 515 Zinsstruktur 320 Yield curve 309 Portfolio-Management 292 Portfolio selection 286 Deutschland 200 Rentenmarkt 188 Festverzinsliches Wertpapier 184 Kapitaleinkommen 172 Capital income 171 Germany 169 Bond market 165 Public bond 158 Öffentliche Anleihe 158 Börsenkurs 144 Share price 140 Risikoprämie 133 Kreditrisiko 130 Risk premium 130 Finanzanalyse 129 Schätzung 129 Derivat 125 Derivative 125 Estimation 122 Financial analysis 122 Finanzmarkt 122 CAPM 121 Financial market 119 Credit risk 117 Kreditwürdigkeit 111 Credit rating 110 Zins 110 Interest rate 102 Aktie 100 Rendite 100
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Online availability
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Free 378 Undetermined 45
Type of publication
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Article 1,506 Book / Working Paper 1,146 Journal 16
Type of publication (narrower categories)
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Article in journal 1,293 Aufsatz in Zeitschriften 1,293 Graue Literatur 511 Non-commercial literature 511 Working Paper 423 Arbeitspapier 393 Dissertation 144 Thesis 144 Article in book 129 Aufsatz im Buch 129 Hochschulschrift 107 Lehrbuch 56 Collection of articles of several authors 45 Sammelwerk 45 Dissertation u.a. Prüfungsschriften 37 Bibliographie enthalten 27 Bibliography included 27 Handbook 20 Handbuch 20 Collection of articles written by one author 19 Sammlung 19 Amtsdruckschrift 14 Glossar enthalten 14 Glossary included 14 Government document 14 Bibliographie 12 Congress report 8 Kongressschrift 8 Mehrbändiges Werk 6 Multi-volume publication 6 Article 5 Kongress 5 Reprint 4 Case study 3 Commentary 3 Diskette 3 Fallstudie 3 Kommentar 3 Ratgeber 3 Statistics 3
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Language
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English 2,015 German 430 Undetermined 135 French 38 Italian 19 Russian 8 Spanish 8 Polish 6 Dutch 5 Danish 4 Portuguese 3 Arabic 1 Hungarian 1 Norwegian 1 Swedish 1
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Persons
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Fabozzi, Frank J. 63 Choudhry, Moorad 19 Altman, Edward I. 15 Bühler, Wolfgang 12 Rudebusch, Glenn D. 12 Gehde-Trapp, Monika 11 Campbell, John Y. 10 Swanson, Eric T. 10 Altavilla, Carlo 9 Belke, Ansgar 9 Caporale, Guglielmo Maria 9 Blake, David 8 Spagnolo, Nicola 8 Viceira, Luis M. 8 Gantenbein, Pascal 7 Giacomini, Raffaella 7 Hasler, Peter Thilo 7 Livingston, Miles 7 Spremann, Klaus 7 Ali, Faek Menla 6 Crabbe, Leland E. 6 Dowd, Kevin 6 Gouriéroux, Christian 6 Guidolin, Massimo 6 Jamshidian, Farshid 6 Martellini, Lionel 6 Monfort, Alain 6 Saunders, Anthony 6 Stock, Duane R. 6 Sundaresan, Suresh M. 6 Baele, Lieven 5 Bekaert, Geert 5 Cairns, Andrew J. G. 5 Das, Anupam 5 Eller, Roland 5 Elton, Edwin J. 5 Garbade, Kenneth D. 5 Heinke, Volker G. 5 Inghelbrecht, Koen 5 Jarrow, Robert A. 5
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Institutions
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Frank J. Fabozzi Associates <New Hope, Pa.> 11 Institut für Schweizerisches Bankwesen <Zürich> 4 Paribas Capital Markets Group <London> 3 Association for Investment Management and Research 2 Bank für Internationalen Zahlungsausgleich / Währungs- und Wirtschaftsabteilung 2 Centre for Financial Research <Köln> 2 Ekonomiska forskningsinstitutet <Stockholm> 2 European Bond Commission 2 Europäische Kommission 2 Frankfurt School of Finance & Management 2 Malaysia / Suruhanjaya Sekuriti 2 National Centre of Competence in Research - Financial Valuation and Risk Management 2 OECD 2 School of Accounting, Finance and Economics <Perth, Western Australia> 2 Springer Fachmedien Wiesbaden GmbH 2 Study Group on Fixed Income Markets 2 Trojka Dialog <Moskau> 2 Universität <Mannheim> / Behavioral Finance Group 2 epubli GmbH 2 Österreichische Nationalbank 2 Arbeitsgemeinschaft der Deutschen Wertpapierbörsen 1 Asian Development Bank 1 Associazione Operatori Bancari in Titoli 1 Bank of England 1 Bankhaus Friedrich Simon, Kommanditgesellschaft auf Aktien 1 Banque Paribas Capital Markets <London> 1 Basel Committee on Banking Supervision 1 Bundesministerium für Finanzen, Kapitalmarktausschuss 1 CFA Institute <Charlottesville, Va.> 1 Centre for Analytical Finance <Hyderabad> 1 Chancellor of the Exchequer 1 Charles A. Dice Center for Research in Financial Economics <Columbus, Ohio> 1 Columbia University / Graduate School of Business 1 Communautés Européennes, Comité Monétaire 1 Conference on Asset Securitization and Off-Balance Sheet Risks of Depository Institutions <1987, Evanston, Ill.> 1 Congress by the Comptroller General of the U. S. 1 DIRK - Deutscher Investor Relations Verband e.V. 1 Danmarks Nationalbank 1 Deutsche Bundesbank 1 Deutscher Sparkassen Giroverband 1
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Published in...
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Working paper 66 Journal of banking & finance 56 The journal of fixed income 43 The journal of finance : the journal of the American Finance Association 31 Die Bank : Zeitschrift für Bankpolitik und Praxis 25 Journal of financial economics 25 The review of financial studies 23 Discussion paper 17 Discussion paper / Centre for Economic Policy Research 17 Applied financial economics 16 International review of economics & finance : IREF 15 Journal of international money and finance 15 Journal of international financial markets, institutions & money 13 Advanced bond portfolio management : best practices in modeling and strategies 12 Corporate finance 12 International review of financial analysis 12 Wiley finance series 12 Gabler Edition Wissenschaft 11 Journal of financial and quantitative analysis : JFQA 11 Wirtschaftswissenschaftliches Studium : WiSt : Zeitschrift für Studium und Forschung 11 International journal of theoretical and applied finance 10 Journal of money, credit and banking : JMCB 10 Working papers series / Federal Reserve Bank of San Francisco 10 Applied economics letters 9 Economics letters 9 Journal of economics and finance 9 Journal of empirical finance 9 The journal of structured finance 9 Applied mathematical finance 8 BIS working papers 8 Bank-Archiv : Zeitschrift für das gesamte Bank- und Börsenwesen 8 Corporate finance : Finanzierung, Kapitalmarkt, Bewertung, Mergers & Acquisitions 8 Discussion papers 8 Finance and economics discussion series 8 International journal of economics and finance 8 Journal of mathematical finance 8 Pacific-Basin finance journal 8 Review of quantitative finance and accounting 8 Staff reports 8 The Frank J. Fabozzi series 8
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Sources
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ECONIS (ZBW) 2,413 USB Cologne (EcoSocSci) 171 USB Cologne (business full texts) 42 EconStor 35 RePEc 4 OLC EcoSci 3
Showing 1 - 50 of 2,668
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Dealer balance sheets and bond liquidity provision
Adrian, Tobias; Boyarchenko, Nina; Shachar, Or - 2017 - Revised March 2017
Do regulations decrease dealer ability to intermediate trades? Using a unique data set of dealer-bond-level transactions, we link changes in liquidity of individual U.S. corporate bonds to dealers’ transaction activity and balance sheet constraints. We show that, prior to the financial crisis,...
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The London Monetary and Economic Conference of 1933 and the end of the Great Depression : a "€œchange of regime"€ analysis
Edwards, Sebastian - 2017
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Pricing of bonds and equity when the zero lower bound is relevant
Kick, Heinrich - 2017
This paper investigates the joint dynamics of nominal bond yields, real bond yields and dividend yields from the 80s up to the aftermath of the financial crisis by mapping them on a set of macro factors. It builds on an existing discrete time affine Gaussian model of the term structure model of...
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Modeling euro area bond yields using a time-varying factor model
Adam, Tomáš; Lo Duca, Marco - 2017
In this paper, we study the dynamics and drivers of sovereign bond yields in euro area countries using a factor model with time-varying loading coefficients and stochastic volatility, which allows for capturing changes in the pricing mechanism of bond yields. Our key contribution is exploring...
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Beyond thirty : treasury issuance of long-term bonds from 1953 to 1965
Garbade, Kenneth D. - 2017
Ever since the emergence of regular and predictable issuance of coupon-bearing Treasury debt in the 1970s, thirty years has marked the outer boundary of Treasury bond maturities. However, longer-term bonds were not unknown in earlier years. Seven such bonds, including one with a forty-year term,...
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The long-run determinants of Indian government bond yields
Akram, Tanweer; Das, Anupam - 2017
This paper investigates the long-term determinants of Indian government bonds' (IGB) nominal yields. It examines whether John Maynard Keynes's supposition that short-term interest rates are the key driver of long-term government bond yields holds over the long-run horizon, after controlling for...
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The shifting drivers of global liquidity
Avdjiev, Stefan; Gambacorta, Leonardo; Goldberg, Linda S.; … - 2017
The post-crisis period has seen a considerable shift in the composition and drivers of international bank lending and international bond issuance, the two main components of global liquidity. The sensitivity of both types of flows to U.S. monetary policy rose substantially in the immediate...
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Is there a long-term relationship among European sovereign bond yields?
Schaeffer, Ian; Ramírez, Miguel D. - In: Business and Economic Research : BER 7 (2017) 1, pp. 68-86
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Financial crises and the dynamic linkages between stock and bond returns
Eraslan, Sercan; Ali, Faek Menla - 2017
This paper investigates the dynamic linkages in terms of the first and second moments between stock and bond returns, within a wide range of advanced economies, over the different phases of the recent financial crisis. The adopted empirical framework is a bivariate volatility model, where...
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The shifting drivers of global liquidity
Avdjiev, Stefan; Gambacorta, Leonardo; Goldberg, Linda S.; … - 2017
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Developing India's offshore local currency bond market : lessons from emerging countries
Kohli, Renu; Sahoo, Pravakar; Shuheb Khan, M. - 2017
After the 2008 financial crisis, macroeconomic positions and growth prospects weakened in the advanced economies; emerging market economies (EMEs) improved however. Offshore, local-currency bonds of EMEs became popular as result, with many EMEs exploiting the opportunity. India also launched its...
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The impact of Islamic securitization (Sukuk) on the banks' liquidity within Basel 3 requirements
Elkreem, Bakhita Hamdow Gad - In: International journal of finance & banking studies : JJFBS 6 (2017) 1, pp. 85-100
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Robust bond risk premia
Bauer, Michael D.; Hamilton, James D. - 2017
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Estimating the effects of the "flight to quality", with an application to German bond yields and interest payments
Boeing-Reicher, Claire; Boysen-Hogrefe, Jens - 2017
Recent calculations have suggested that the German federal government has saved roughly EUR 90-100 billion, cumulatively, due to low bond yields since the onset of the Euro crisis. In order to determine the contribution of the "flight to quality" to this sum, we define the flight to quality as a...
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Bond yield spillovers from major advanced economies to emerging Asia
Belke, Ansgar; Dubova, Irina; Volz, Ulrich - 2017
This paper explores the extent to which changes to long-term interest rates in major advanced economies have influenced long-term government bond yields in Emerging Asia. To gauge long-term interest spillover effects, the paper uses VAR variance decompositions with high frequency data. Our...
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The effects of U.S. monetary policy on emerging market economies' sovereign and corporate bond markets
Burger, John D.; Warnock, Francis E.; Warnock, Veronica C. - 2017
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Penalized adaptive method in forecasting with large information set and structure change
Li, Xinjue; Zbonakova, Lenka; Härdle, Wolfgang - 2017
In the present paper we propose a new method, the Penalized Adaptive Method (PAM), for a data driven detection of structure changes in sparse linear models. The method is able to allocate the longest homogeneous intervals over the data sample and simultaneously choose the most proper variables...
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Term structure analysis with big data
Andreasen, Martin Møller; Christensen, Jens H. E.; … - 2017
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Term structure analysis with big data
Andreasen, Martin Møller; Christensen, Jens H. E.; … - 2017
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To borrow or not to borrow? : an analysis of university leverage decisions
Rosen, Harvey S.; Sappington, Alexander J. W. - 2016
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What derives the bond portfolio value-at-risk : information roles of macroeconomic and financial stress factors
Tu, Anthony H.; Chen, Cathy Yi-Hsuan - 2016
This paper first develops a new approach, which is based on the Nelson-Siegel term structure factor-augmented model, to compute the VaR of bond portfolios. We then applied the model to examine whether information contained on macroeconomic variables and financial shocks can help to explain the...
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Soft budget constraints, European Central Banking and the financial crisis
Jäger, Jannik; Grigoriadis, Theocharis - 2016
During the European financial crisis, the European Central Bank implemented a series of unconventional monetary policy measures. We argue that these unconventional monetary policy measures created soft budget constraints for the Eurozone countries by lowering their bond yield spreads. This...
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The term structure of expectations and bond yields
Crump, Richard K.; Eusepi, Stefano; Mönch, Emanuel - 2016
How much do term premiums matter for explaining the dynamics of the term structure of interest rates? A lot. We characterize the expected path of nominal and real short-rates as well as inflation using the universe of U.S. surveys of professional forecasters covering more than 500 survey-horizon...
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Bond portfolio allocations in South Africa Emerging markets
Wang, Jinghua; Bilson, John F. - In: International journal of finance & banking studies : JJFBS 5 (2016) 1, pp. 73-80
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A heterogeneous agents equilibrium model for the term structure of bond market liquidity
Schuster, Philipp; Gehde-Trapp, Monika; Uhrig-Homburg, … - 2016
We analyze the impact of market frictions on trading volume and liquidity premia of finite maturity assets when investors differ in their trading needs. Our equilibrium model generates a clientele effect (frequently trading investors only hold short-term assets) and predicts i) a hump-shaped...
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Much ado about nothing : sovereign ratings and government bond yields in the OECD
Shagi, Makram el- - 2016
In this paper, we propose a new method to assess the impact of sovereign ratings on sovereign bond yields. We estimate the impulse response of the interest rate, following a change in the rating. Since ratings are ordinal and moreover extremely persistent, it proves difficult to estimate those...
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Dynamics of the European sovereign bonds and the identification of crisis periods
Chen, Zhenxi; Reitz, Stefan - 2016 - Version: Dec 2015
We develop an empirical model of heterogeneous agents to study the dynamics of the European sovereign bonds market. Agents make use of different information from the CDS market and the historical price movements of the sovereign bonds for their trading decisions. Subject to the perceived risk,...
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Forecasting the Brazilian yield curve using forward-looking variables
Vieira, Fausto; Chague, Fernando; Fernandes, Marcelo - 2016
This paper proposes a forecasting model that combines a factor augmented VAR (FAVAR) methodology with the Nelson and Siegel (NS) parametrization of the yield curve to predict the Brazilian term structure of interest rates. Importantly, we extract the principal components for the FAVAR from a...
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Robust bond risk premia
Bauer, Michael D.; Hamilton, James D. - 2016 - Revised: January 20, 2016
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Score-driven systemic risk signaling for European sovereign bond yields and CDS spreads
Lange, Rutger-Jan; Lucas, André; Siegmann, Adriaan Hendrik - 2016
We compute joint sovereign default probabilities as coincident systemic risk indicators. Instead of commonly used CDS spreads, we use government bond yield data which provide a longer data history. We show that for the more recent sample period 2008--2015, joint default probabilities based on...
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The equilibrium term structure of equity and interest rates
Doh, Taeyoung; Wu, Shu - 2016
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Costs of corporate bond issue in coal mining companies
Sierpińska-Sawicz, Agata; Bąk, Patrycja Barbara - In: Contemporary economics 10 (2016) 2, pp. 99-112
In Poland, more than 90% of electricity production is based on coal fuel. Meanwhile, the financial situation of the mining industry is quite challenging. Companies in this sector are in debt, generating losses caused by a sharp drop in coal prices and a simultaneous increase in extraction costs...
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Contagion in the EMU : the role of Eurobonds with OMTs
Favero, Carlo A.; Missale, Alessandro - In: Review of law and economics : publ. in cooperation with … 12 (2016) 3, pp. 555-584
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Public debt and borrowing : are governments disciplined by financial markets?
Afflatet, Nicolas - In: Cogent economics & finance 4 (2016) 1, pp. 1-14
With the announcement to intervene on financial markets to restore the monetary transmission mechanism, the ECB has attenuated the pressure of the markets on the endangered peripheral countries of the Eurozone. Critics argue that by eliminating the markets’ disciplining interest mechanism,...
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Islamic Sukuk and its role in supporting the budget deficit : case study on the central bank in the Jordan
Al-abedallat, Abedalfattah Zuhair - In: Journal of management research 8 (2016) 4, pp. 173-186
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A dynamic Nelson-Siegel model with forward-looking indicators for the Yield curve in the US
Vieira, Fausto; Chague, Fernando; Fernandes, Marcelo - 2016
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Bond premia, monetary policy and exchange rate dynamics
Munro, Anella - 2016
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Models and methods for automated credit rating prediction
Gangolf, Claude - 2016
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Bank funding strategies : the use of bonds and the bail-in effect
Crespi, Fabrizio; Mascia, Danilo V. - 2018
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Kapitalmarktanomalie Value versus Growth : eine empirische Analyse des Value Effekts bei Aktien und Anleihen
Schneider, Martin - 2018
Systematische Abweichungen zwischen gehandelten Marktpreisen und fundamentalen Werten von Wertpapieren zeigen bis heute, dass Kapitalmärkte weder vollkommen noch effizient sind. Sowohl die Finanzmarktforschung als auch die Investmentpraxis befassen sich weiter mit der Suche nach geeigneten...
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Renditesteigerung durch Steuerstundungseffekte bei Kuponanleihen und Nullkuponanleihen
Hoffmann, Steffen - 2015
In den meisten Steuersystemen werden Kapitalerträge aus Anleihen nach dem Zuflussprinzip besteuert. Gewinne oder Verluste durch Kursveränderungen der Anleihen werden demnach erst dann besteuert, wenn sie mit einer Veräußerung der Anleihe tatsächlich realisiert werden. Ein Anleger, der seine...
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Expectations and risk premia at 8:30AM : macroeconomic announcements and the yield curve
Hördahl, Peter; Remolona, Eli M.; Valente, Giorgio - 2015
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The determinants of long-term debt issuance by European banks : evidence of two crises
Rixtel, Adrian A. R. J. M. van; Romo González, Luna; … - 2015
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Impairments of Greek government bonds under IAS 39 and IFRS 9 : study for the ECON Comitee
Gebhardt, Günther - Europäisches Parlament / Generaldirektion Interne … - 2015
IFRS 9 introduces new impairment rules responding to the G20 critique that IAS 39 results in the delayed and insufficient recognition of credit losses. In a case study of a Greek government bond for the period 2009 to 2011 when Greeceś credit rating declined sharply, this study highlights the...
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Changes in the global investor base and the stability of portfolio flows to emerging markets
Brandao Marques, Luis; Gelos, Gaston; Ichiue, Hibiki; … - 2015
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Analysis of sovereign yield spreads behavior : the French bonds case
Vasilev, Aleksandar - 2015
The introduction of the Euro has led to price level stability and fostered growth within the European Union. Consequently, since its launch as a store of value and unit of account, there has been a clear convergence between the yield of France’s sovereign debt and German benchmark. This paper...
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Risks in macroeconomic fundamentals and excess bond returns predictability
De Rezende, Rafael B. - 2015 - February 2015
I provide evidence that risks in macroeconomic fundamentals contain valuable information about bond risk premia. I extract factors from a set of quantile-based risk measures estimated for US macroeconomic variables and document that they account for up to 31% of the variation in excess bond...
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Explaining bond and equity premium puzzles jointly in a DSGE model
Kaszab, Lorant; Marsal, Ales - 2015
We introduce costly firm-entry a la Bilbiie et al. (2012) into a New Keynesian model with Epstein-Zin preferences and show that it can jointly account for a high mean value of bond and equity premium without compromising the fit of the model to first and second moments of key macroeconomic...
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Does Keynesian theory explain Indian government bond yields?
Akram, Tanweer; Das, Anupam - 2015
John Maynard Keynes held that the central bank’s actions determine long-term interest rates through short-term interest rates and various monetary policy measures. His conjectures about the determinants of long-term interest rates were made in the context of advanced capitalist economies, and...
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The effects of contingent convertible (CoCo) bonds on insurers' capital requirements under Solvency II
Niedrig, Tobias; Gründl, Helmut - 2015 - This version: March 2015
The Liikanen Group proposes contingent convertible (CoCo) bonds as a potential mechanism to enhance financial stability in the banking industry. Especially life insurance companies could serve as CoCo bond holders as they are already the largest purchasers of bank bonds in Europe. We develop a...
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