The European Central Bank (ECB) has prolonged its large-scale asset purchase programs for public and private bonds in December 2016 until the end of 2017. Otherwise the programs would have expired in March 2017. Due to its strong focus on the inflation target of below, but close to 2 percent,...

This paper studies the determinants of shifts in debt composition among emerging market non-financial corporates. We show that the determinants of bond market access in EMs vary with global cyclical conditions and across local and foreign currency markets. We find that the role for institutions...

We explore the term structures of claims to a variety of cash flows: U.S. government bonds (claims to dollars), foreign government bonds (claims to foreign currency), inflation-adjusted bonds (claims to the price index), and equity (claims to future equity indexes or dividends). Average term...

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...

Cover -- Title -- Copyright -- Contents -- Figures and Tables -- Tables -- 1 Publicly Offered Bonds Outstanding -- 2 Issuance of Publicly Offered Bonds -- 3 Trading Volume of Publicly Offered Bonds -- 4 Liberalization of the Japanese Yen and the Corporate Bond Market -- 5 Publicly Offered...

Amid increasing regulation, structural changes of the market and Quantitative Easing as well as extremely low yields, concerns about the market liquidity of the Eurozone sovereign debt markets have been raised. We aim to quantify illiquidity risks, especially such related to liquidity dry-ups,...

Cover -- Title -- Copyright -- Contents -- Tables, Figures, and Box -- Tables -- 2.1 Examples of Securities Market Legislation in Each Legislative Tier -- 2.2 Identification of Securities and Exchange Commission, Thailand Regulations-First Abbreviation -- 2.3 Identification of Securities and...

Cover -- Title -- Copyright -- Contents -- Tables, Figures, and Boxes -- Tables -- 2.1 Examples of Securities Market Legislation by Legislative Tier -- 2.2 Regulatory Processes by Issuer Type -- 3.1 Segmentation of the Market-Outstanding Value by Type of Bond, Note, or Sukuk -- 3.2 Segmentation...

Cover -- Title -- Copyright -- Contents -- Tables and Figures -- Tables -- 2.1 Examples of Securities Market Legislation in Each Legislative Tier -- 2.2 Authorities Involved in Regulatory Processes by Corporate Issuer Type -- 3.1 Characteristics of Singapore Government Securities -- 3.2...

The paper analyzes the integration of euro area sovereign bond markets during the European sovereign debt crisis. It tests for contagion (i.e., an intensification in the transmission of shocks across countries), fragmentation (a reduction in spillovers) and flight-to-quality patterns, exploiting...

The paper analyzes the integration of euro area sovereign bond markets during the European sovereign debt crisis. It tests for contagion (i.e., an intensification in the transmission of shocks across countries), fragmentation (a reduction in spillovers) and flight-to-quality patterns, exploiting...

The concept of best-estimate, prescribed by regulators to value insurance liabilities for accounting and solvency purposes, has recently been discussed extensively in the industry and related academic literature. To differentiate hedgeable and non-hedgeable risks in a general case, recent...

Financial conditions in the emerging markets (EMs) have become more dependent on the 'world' long-term interest rate, which has been driven down by monetary policies in the advanced economies - notably Quantitative Easing (QE) - and by several non-monetary factors. This paper analyses some new...

We describe and assess two dimensions of the current state of bond market development in developing Asia: the role of bond markets in overall financial systems and a comparison of the salient features of bond market development in developing Asia and other regions. We highlight key drivers and...

We present a new monthly index of the yield on junk (high yield) bonds from 1910-1955. We then use the index to reexamine some of the main debates about the financial history of the interwar years. A close look at junk bond yields: (1) strengthens the view that the decline in lending standards...