Search Results - subject_exact:"Gilts"

Market transparency and dealer behavior : lessons from MiFID II/MiFIR transparency requirements

Lindner, Vincent; Lucke, Konrad; Pelizzon, Loriana - 2026

This policy paper examines the effects of the introduction of the MiFID II / MiFIR framework on the transparency regime for sovereign bonds. The main purpose of the framework is to provide markets with real-time information and lower market asymmetries, thereby increasing liquidity in the...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015617983

When long-run trends are unknown : bond pricing implications

Ahonon, Borel; Roussellet, Guillaume - 2026

We propose a macro-finance model in which inflation, growth, and the policy rate are driven by unobservable long-run trends and transitory cycles that investors must infer from aggregate data. Their subjective estimates of these trends, and the uncertainty surrounding them, are priced into the...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015618078

Intraday price pressure and order flow around U.S. Treasury auctions

Fleming, Michael J.; Liu, Weiling; Nguyen, Giang H. - 2026

Using 33 years of intraday Treasury data, we provide the first high-frequency evidence on auction-day price pressure: yields rise in the hours before auction and reverse afterward. This pressure strengthens when dealers face tighter risk-bearing constraints and weakens when investor demand is...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015618080

Sovereign bond spreads and climate risk : an empirical analysis in the Euro Area

Capriotti, Alessio; Muzzioli, Silvia - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015654388

Long memory in Latin American sovereign risk : daily evidence on the EMBI

Asturias Schaub, Luis Rodrigo; Caporale, Guglielmo Maria; … - 2026

This paper analyses the long-memory properties of sovereign bond spreads in 17 Latin American countries as well as two regional aggregates using daily EMBI (Emerging Markets Bond Index) data from April 2013 to January 2026 (3,163 observations per series). Parametric methods show that all 19...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015654662

The effects of increased Korea Treasury Bond issuance on the yield curve

Kim, Meeroo; Hong, Jong Soo - 2026

This study examines the impact of the sharp increase in Korea Treasury Bond (KTB) issuance following the COVID-19 crisis and analyzes the effects of bond buybacks as a policy countermeasure. Using a dynamic Nelson-Siegel model with macroeconomic factors, we estimate the effects of changes in the...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015654796

Pricing climate risks : evidence from wildfires and municipal bonds

Woongchan, Jeon; Barrage, Lint; Walsh, Kieran - 2026

How are public finances affected by climate-driven wildfire risk changes? Using high-resolution meteorological forecasts, land use data, and US municipal bond spreads, we find that municipalities facing greater future wildfire exposure already incur higher borrowing costs: A one standard...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015654869

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Pricing climate risks : evidence from wildfires and municipal bonds

Woongchan, Jeon; Barrage, Lint; Walsh, Kieran - 2025

Book / Working Paper

Pricing climate risks : evidence from wildfires and municipal bonds

Woongchan, Jeon; Barrage, Lint; Walsh, Kieran - 2024

Book / Working Paper

Kicking away the green ladder : the asymmetric sovereign risk from nature degradation

Wollenweber, Alexander; Wang, Dieter; Ranger, Nicola - 2026 - Version: March 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015609600

Transfer learning of discount curves between bonds and swaps : an empirical study

Camenzind, Nicolas; Filipović, Damir - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015609770

Sovereign debt dynamics at the brink of default and the special role of supranational lenders

Zwart, Sanne - 2026

Compared with the relatively straightforward definition of a default event, assessing sovereign debt sustainability remains a grey area. The interaction between fiscal choices, lenders' expectations and economic uncertainty creates a setting in which-particularly when a default...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015610720

Will central clearing change the market structure of U.S. Treasury repo to become more standardized and trade on an all-to-all basis?

Patel, Ketan - 2026

This paper examines whether the SEC's mandate for central clearing of U.S. Treasury repo transactions could enable all-to-all trading and support the development of a standardized term repo market. By mitigating counterparty risk through central clearing, cash lenders may become more willing to...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015611478

Determinants of sovereign bond issuance in emerging markets

Wong, Ka Lok; Manger, Mark S.; Panizza, Ugo - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015617105

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Determinants of sovereign bond issuance in emerging markets

Wong, Ka Lok; Manger, Mark S.; Panizza, Ugo - 2026

Book / Working Paper

The usage of security lending facilities under unconventional monetary policy : evidence from Sweden

Blix Grimaldi, Marianna; Schneider, Fabienne; Vestin, David - 2026 - Last updated: March 6, 2026

This paper examines the interaction between quantitative easing (QE) and the securities lending facility (SLF) using a detailed dataset on Riksbank QE purchases, Swedish DMO SLF transactions and OTC repo deals. A theoretical model further shows how excess demand for assets and search frictions...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015612289

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The usage of security lending facilities under unconventional monetary policy : evidence from Sweden

Blix Grimaldi, Marianna; Schneider, Fabienne; Vestin, David - 2026

Book / Working Paper

Greener but thinner? : assessing green bond market liquidity

Dulak, Thomas; Wolff, Guntram B. - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015614426

Open-ended treasury purchases : from market functioning to financial easing

D'Amico, Stefania; Gillet, Max; Schulhofer-Wohl, Sam; … - 2026

We assess whether the Fed's asset purchases can be tailored to either restore market functioning or provide economic stimulus. When the communicated goal is restoring market functioning and purchases' implementation is flexible, flow effects are significant: relative price deviations narrow....

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015614721

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Open-ended treasury purchases : from market functioning to financial easing

D'Amico, Stefania; Gillet, Max; Schulhofer-Wohl, Sam; … - 2024

Book / Working Paper

Heterogeneous effects of monetary policy surprises on bond fund flows

Blanco, Sébastien; Koomen, Miriam; Yeşin, Pınar - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015615519

The spillovers of LSAPs on banks in the euro area

Graziano, Marco; Koechlin, Marius; Tischbirek, Andreas - 2026

We study the spillovers of large-scale asset purchases (LSAPs) in the U.S. on financial intermediation in the euro area using bank-level supervisory data and high-frequency identified policy surprises. Our detailed panel data permit us to trace the impact of LSAPs through bank balance sheets. We...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015592007

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The spillovers of LSAPs on banks in the euro area

Graziano, Marco; Koechlin, Marius; Tischbirek, Andreas - 2026

Book / Working Paper

The role of investor composition in sovereign bond pricing : evidence from an emerging market

Botero-Ramírez, Oscar - 2026

This paper quantifies how demand and supply shocks transmit to yields in Colombia's sovereign bond market by estimating investor-level demand elasticities and translating them into equilibrium price effects. Using investor-security microdata and two complementary identification strategies, I...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015592495

Private money and public debt. U.S. Stablecoins and the global safe asset channel

Ferrari, Massimo Minesso; Siena, Daniele - 2026

This paper studies the international macro-financial implications of U.S. dollar-backed payment stablecoins. These digital assets create a new global safe asset channel that links private money creation and global payment needs directly to U.S. public debt. By reshaping the demand for safe...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015592687

Capital inflow shocks and convenience yields

Ben Zeev, Nadav; Ben-Ze'ev, Noam; Nathan, Daniel - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015593005

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Capital inflow shocks and convenience yields

Ben Zeev, Nadav; Ben-Ze'ev, Noam; Nathan, Daniel - 2025

Book / Working Paper

Riesgo de crédito gestionado por medio de un modelo de espacio-estado aplicado a un portafolio soberano

Tapia V., Pablo; Vargas P., Diego - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015591169

Foreign bonds, territorial change and repudiation : the Silesian Bonds saga

Bindseil, Ulrich; Gulati, Mitu - 2026

Once a famous tale of conquest, law and foreign bond markets, the saga of the Silesian Bonds of 1734-37 is missing from the literature on sovereign debt. The Silesian Bonds were among the earliest foreign currency sovereign bonds issued. They go into the market 84 years prior to the 1818...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015620325

Inflation targeting and the dynamics of inflation risk premia in South Africa's bond market

Allison, Chloë; Wet, Theuns de - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015624793

Who's in? : household-targeted government policies and the role of financial literacy in market participation

Filippin, Maria Elena - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015625014

Fiscal sustainability of transition finance : implications for the GX economy transition bonds in Japan

Fukuda, Shin'ichi; Ino, Akio - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015626417

Safety switches : the macroeconomic consequences of time-varying asset safety

Foschi, Andrea - 2026

I develop a model-based definition of time-varying sovereign bond safety, and apply it empirically by constructing a news-based index, the FLY, that measures global safe-assets demand. The FLY captures flight-to-safety episodes, the savings glut, and natural interest rate declines. Estimated FLY...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015626787

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Safety switches : the macroeconomic consequences of time-varying asset safety

Foschi, Andrea - 2026

Book / Working Paper

Public debt sustainability in the Eurozone : an empirical assessment using macroeconomic indicators

Mutai, Noah Cheruiyot; Ibeh, Lawrence; Farag, Karim; … - 2026

This study examines public debt sustainability in the Eurozone by estimating fiscal reaction functions that assess how fiscal balances respond to rising public debt under heterogeneous macroeconomic conditions. Using annual panel data for 20 EU countries from 2000 to 2024, we employ fixed...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015628390

Optimal supermajority threshold for suspending fiscal rule

Arawatari, Ryo; Ono, Tetsuo - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015628403

Hedging against inflation : international evidence on investor clientele effects

Boermans, Martijn; Swinkels, Laurens - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015638014

Government of Canada fixed-income market ecology II : Government of Canada bond dealing

Kocourek, Petr; Walton, Adrian - 2026 - Last updated: March 10, 2026

This paper describes the organization of the market for trading Government of Canada (GoC) bonds. We outline the role of investment dealers in intermediating trading, distributing GoC securities and providing liquidity across the yield curve. We describe the key features of GoC bond trading and...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015638767

Bonds or Credits? : risk management and sovereign lending in the Euromarkets : evidence from Mexico, 1973-1982

Alverez, Sebastian; Molteni, Marco - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015640074

Complexity-aware vector-valued machine learning of state-level bond returns : evidence on South African trade spillovers under SALT and OBBBA

Dash, Gordon; Kajiji, Nina; Vonella, Domenic; Zhou, Helper - 2026

This study examines the impact of international trade shocks from South Africa and recent U.S. federal tax reforms on state-level municipal bond returns within the United States. Employing a unique transaction-level dataset comprising more than 50 million municipal bond trades from 2020 to 2024,...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015640447

Currency differences in the determinants of corporate bond spreads : evidence from Peruvian issuers

Cisneros Rojas, Gerald Alex - 2026

This paper provides issuance-level evidence from an emerging economy with a dual-currency primary bond market, showing that currency denomination not only affects the level of corporate bond spreads but also fundamentally reshapes the transmission of macro-financial shocks across credit ratings....

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015647186

The state-contingent debt premium : evidence from French public bonds

Mitchener, Kris; Pina, Goncalo - 2026

State-contingent debt (SCD) instruments have been proposed as an improvement to sovereign debt markets, but their issuance costs are not well understood. We estimate the SCD premium at issuance and for more than a decade thereafter, employing a quasi-twin bond strategy that uses two very similar...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015635498

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The state-contingent debt premium : evidence from French public bonds

Mitchener, Kris; Pina, Gonçalo - 2026

Book / Working Paper

The state-contingent debt premium: evidence from french public bonds

Mitchener, Kris; Pina, Gonçalo - 2026

Book / Working Paper

The contagion effect of natural disasters in the Sovereign CDS market : which causes?

Di Tommaso, Caterina; Foglia, Matteo; Pacelli, Vincenzo - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015647428

Optimal default in a small open economy : Senegal's hidden debt crisis

Coulibaly, Louphou; Ndiaye, Abdoulaye - 2026

Hidden public liabilities can reprice sovereign risk abruptly upon revelation. We study optimal default following such a revelation in a quantitative sovereign default model and apply the framework to Senegal's 2024 debt audit, which revised government debt upward by 50 percentage points of GDP....

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015651315

Biodiversity, governance, and municipal bonds

Shi, Yanghua - 2026 - This version: April 30, 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015652064

The value of bonding at work : evidence from a field experiment

Belot, Michèle; Hakimov, Rustamdjan - 2026

We design an intervention to foster social ties at work and evaluate its impact on performance and retention. We run a cluster-randomized field experiment in a large microfinance firm, providing small subsidies for geographically spread offices to organize biweekly social activities over three...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015652407

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The value of bonding at work : evidence from a field experiment

Belot, Michèle; Hakimov, Rustamdjan - 2025

Book / Working Paper

The causal effect of debt on interest rates

Bhatt, Abhik; Diercks, Anthony M.; Eyal, Benjamin; … - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015653194

Sovereign green bonds : risk-mitigating sustainability instruments in emerging markets

Nevatia, Vedanshi - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015632226

Impact of climate vulnerability on fiscal risk : do religious tensions and financial development matter?

Saadaoui, Jamel; Beirne, John; Park, Donghyun; Uddin, … - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015632704

Russia's banking sector in wartime

Solanko, Laura - 2026

Russia's isolation from global financial markets and government programmes to support bank lending initially fuelled a wartime lending boom in Russia. With economic growth now stalled and borrowing costs rising, lending growth has slowed. This shift, in conjunction with increased public sector...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015632799

On the limits of hedging inflation risk in investment portfolios

Chen, Damiaan H. J.; Beetsma, Roel; Wijnbergen, Sweder van - 2026 - This version: April 9, 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015632820

Collateral policy surprises

Hüttl, Pia; Ider, Gökhan; Kaldorf, Matthias - 2026

Central bank collateral policy specifies which assets banks can pledge as collateral to obtain central bank funding and is an important determinant of liquidity in the banking system. We propose a high-frequency identification approach to study the systematic effects of central bank collateral...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015633026

Transparency and dealer behavior : the case of MiFID II and the bund market

Lucke, Konrad - 2026

We study how the introduction of pre- and post-trade transparency requirements affected dealer behavior and market liquidity in the German sovereign bonds market. Using regulatory data on bond transactions collected under EU's Markets in Financial Instruments Regulation (MiFIR) and limit order...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015633933

East versus west : impact of geopolitical shocks on European sovereign yields

Panciriovaitė, Rytė; Jurkšas, Linas - 2026

How do geopolitical factors ripple through the European sovereign bond yields? And does this effect differ between Eastern and Western European markets? These two crucial, but not yet fully answered questions motivated us to investigate the link between geopolitical factors and sovereign bond...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015636837

How to sell debt (but not money)

Daripa, Arupratan - 2026

Multi-unit common value auctions in which bidders submit demand functions are used for a variety of purposes, including selling government debt (Treasury auctions) and allocating liquidity (repo auctions). Typically, either a discriminatory or a uniform-price format is used. In this paper, we...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015636907

Treasury supply shocks: propagation through debt expansion and maturity adjustment

Bi, Huixin; Phillot, Maxime; Zubairy, Sarah - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015636951

Determinants of liquidity in the japanese government bond market : an interpretable machine learning approach

Kojima, Satoko; Sakiyama, Toshiyuki - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015636987

Expansionary fiscal rules under sovereign risk

Esquivel, Carlos; Samano, Agustin - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015574597