Search Results - subject_exact:"Rentenmarkt"

Green bond market performance : does investor sentiment contagion matter?

Le Thuy Duong Ha; Hoque, Ariful; Le, Thi - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015618423

A market-based assessment of the outlook for inflation : expectations and monetary policy in South Africa

Christensen, Jens H. E.; Steenkamp, Daan - 2026

Using a novel arbitrage-free dynamic term structure model of nominal and real bond prices that accounts for bond-specific liquidity risk premia, this paper provides estimates of bond investors' inflation expectations and associated inflation risk premia in South African sovereign bonds. The...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015612457

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A market-based assessment of the outlook for inflation expectations and monetary policy in South Africa

Christensen, Jens H. E.; Steenkamp, Daan - 2026

Book / Working Paper

A market-based assessment of the outlook for inflation expectations and monetary policy in South Africa

Christensen, Jens H. E.; Steenkamp, Daan - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015636702

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A market-based assessment of the outlook for inflation : expectations and monetary policy in South Africa

Christensen, Jens H. E.; Steenkamp, Daan - 2026

Book / Working Paper

Greener but thinner? : assessing green bond market liquidity

Dulak, Thomas; Wolff, Guntram B. - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015614426

The Global South's sustainable finance gap : the role of financial development

Yilmaz, Fatih - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015579008

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

Allison, Chloë; Wet, Theuns de - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015624793

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://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

Artificial intelligence and local debt : Evidence from five OECD bond markets

Dougherty, Sean - 2026

This paper examines whether local investments in artificial intelligence (AI) improve subnational borrowing terms in an international setting. Building on U.S. evidence that AI-intensive countries experience lower municipal bond yields and stronger local fiscal capacity, the analysis is extended...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015629095

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://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://ebvufind01.dmz1.zbw.eu/10015647186

The evolution of the corporate bond market : a theoretical analysis

Kargar, Mahyar; Lester, Benjamin; Üslü, Semih; Weill, … - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015650609

Asymmetric spillovers between US sector stocks, Islamic stock index, conventional bond, green bond, and commodity markets

Mensi, Walid; El Khoury, Rim; Alshater, Muneer Maher; … - 2026

This study examines asymmetric spillovers among U.S. sector stocks, the Islamic stock index, conventional bonds, green bonds, and commodity markets. Using the TVP-VAR connectedness approach, we decompose total connectedness into positive and negative spillovers to capture asymmetric market...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015651758

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://ebvufind01.dmz1.zbw.eu/10016072372

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Collateral policy surprises

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

Book / Working Paper

Collateral policy surprises

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

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015633026

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Collateral policy surprises

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

Book / Working Paper

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://ebvufind01.dmz1.zbw.eu/10015633933

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

Kojima, Satoko; Sakiyama, Toshiyuki - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015636987

Demand disagreement

Heyerdahl-Larsen, Christian; Illeditsch, Philipp - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015573684

Financial stability limits on fiscal space

Zampolli, Fabrizio - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015668198

Spillover dynamics between ESG returns and ethical fixed-income securities amid geopolitical and market volatility

Sutrisno, Bambang; Balli, Faruk; Ridhwan, Masagus M.; … - 2026

By analyzing the connectedness of environmental, social, and governance (ESG)-rated firm returns with green bond, conventional sukuk, and green sukuk markets, this study extends prior work on sustainable and Islamic finance. Using weekly data from April 2020 to December 2024, we find that ESG...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015668240

Green bond market development and stock market reactions in Asia : a descriptive and event-study analysis

Elam, Latansa Izzata Dien; Nardon, Martina - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015670809

The dynamic impact of oil price volatility on China's green bond market : an empirical analysis during economic shocks

Zhao, Xin; Shu, Xin; Zong, Xiaolei; Gatto, Andrea; Lee, … - 2026

The progressive financialization of oil, in tandem with the advancement of economic globalization, has led to a sharp increase in oil prices. The growing volatility in the global economic and financial landscape has had some impact on the green bond market. Emerging markets, such as China, are...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015672099

Safe-haven flows into the German bond market and the role of policy disagreement

Röder, Jana; Tillmann, Peter; Winker, Peter; Yun, Jinyeong - 2026

German government debt is considered a safe asset in times of turbulence. We estimate the impact of changes in the risk appetite of global investors on weekly investment fund flows into the German sovereign bond market. Our key contribution is to allow the impact of such shocks to depend on the...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015625777

Global pension asset allocations and debt markets

Ding, Ding; Fang, Xiang; Hardy, Bryan; Lewis, Karen K. - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015667793

Wars, threats, and the sovereign bond market

Federle, Jonathan-Julian; Greenwood, Robin; Meyer, Josefin - 2026

We study how wars and military threats affect financial markets. Leveraging more than 300,000 monthly price observations since 1822, we create an external currency bond index for more than 90 countries - the EXBI. Using the EXBI, we document large effects of wars on returns and borrowing costs....

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015670016

How much risk in U.S. government bond markets is transmitted to their Canadian counterparts?

Feunou, Bruno; Fontaine, Jean-Sébastien; Hill, Robert A. - 2026

We address this question by jointly modeling the distributional dynamics of the U.S. and Canadian term premia. Our approach combines a flexible marginal specification-the Skewed Generalized Error Distribution-with a flexible bivariate copula (BB7) to capture evolving cross-market dependence. We...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015676683

A European safe asset? : not without the investors

Bonfanti, Giovanni; Marcucci, Juri - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016061471

Integrated management of air-quality monitoring processes as a framework for disclosure quality in green bond markets

Nicolici, Venera-Stanca; Adjal, Ahmed; Ionel, Ioana; … - 2026

In the last 10 years, the global green bond market has reached an estimated value of USD 6.8 trillion. However, credibility concerns persist due to greenwashing risks and issues regarding the reporting system. The current measurement, reporting, and verification systems (MRV) have high...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016061705

Do conventional bonds respond more strongly to ESG information than green bonds? : evidence from China

Kythreotis, Alexios; Di, Zhou; Černohorská, Liběna; … - 2026

This study examines the relationship between Environmental, Social, and Governance (ESG) performance and financing and pricing outcomes in green and conventional bond markets in China over the period of 2017-2024. Drawing on signaling theory, information asymmetry theory, and market segmentation...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016064574

Elastic in cash, inelastic in repo : hedge funds in the treasury and repo markets

Poinelli, Andrea; Pelizzon, Loriana; Tomio, Davide; … - 2026 - This draft: August 7, 2026

Sovereign bond markets are a cornerstone of the financial system, and their functioning is tightly linked to repo markets, where investors finance long positions and source bonds for short sales. We show, theoretically and empirically, that repo prices are set in the cash bond market: when...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016064688

Bayesian Integrated Nested Laplace Approximation (INLA) longevity bonds market model

Sithole, Yethu; Gyamerah, Samuel Asante - 2026

Pricing coupon longevity bonds (CLBs) is challenging in illiquid markets due to the incompleteness of insurance markets and the unavailability of longevity payout data. In addition, pension funds may experience significant surges in annual mortality-improvement reserves (MIRs), consistent with...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016087197

How do the uncertainties affect the connectedness between the green bond market and conventional financial markets? : evidence from the Russian-Ukrainian war

Aleknevičienė, Vilija; Staugaitis, Algirdas Justinas; … - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015618370

Government bond risk and return in the US and China

Carpenter, Jennifer N.; Lu, Fangzhou; Whitelaw, Robert F. - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015580480

Riskless principal trades in corporate bond markets

Craig, Louis; Harris, Larry; Shohfi, Thomas - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015650610

Asset allocation, diversification, and co-movement effects : a global analysis of bonds and equities issued by the same firm

Liu, Lewis; Clarkson, Peter M. - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015485850

Does the issuance of green bonds improve stock price efficiency? : evidence from China's green bond market

Wen, Chunran; Wu, Xiao - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015650712

Does liquidity management induce fragility in treasury prices? : evidence from bond mutual funds

Huang, Shiyang; Jiang, Wenxi; Liu, Xiaoxi; Liu, Xin - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015371019

Examining the transmission of credit and liquidity risks : a network analysis for EMU sovereign debt markets

Fernandez-Perez, Adrian; Gómez Puig, Marta; … - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015374489

Treasury bond pricing via no arbitrage arguments and machine learning : evidence from China

Zhang, Liangliang; Tian, Ruyan; Zhang, Weiping; Yang, Qing - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015559932

Expectation-driven term structure of equity and bond yields

Zeng, Ming; Zhao, Guihai - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015561067

Modelling jumps with CARMA(p,q)-Hawkes : an application to corporate bond markets

Mercuri, Lorenzo; Perchiazzo, Andrea; Rroji, Edit - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015210073

"Good" inflation, "bad" inflation : implications for risky asset prices

Bonelli, Diego; Palazzo, Berardino; Yamarthy, Ram S. - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015271346

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Good inflation, bad inflation : implications for risky asset prices

Bonelli, Diego; Palazzo, Berardino; Yamarthy, Ram - 2025

Book / Working Paper

Bond and stock risk premium cycles : implications for asset allocation

Kumar, Pravesh; Rudin, Alexander - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016072986

Decoding the nexus : how fintech and AI stocks drive the future of sustainable finance

Ma, Chao-Qun; Liu, Xukang; Klein, Tony; Ren, Yi-Shuai - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015330832

Factors in the cross-section of Chinese corporate bonds : evidence from reduced-rank analysis

Jin, Xuejun; Chen, Yifan; Liu, Xiaobin; Zeng, Tao - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016064087

Global pension asset allocations and debt markets

Lewis, Karen K.; Ding, Ding; Fang, Xiang; Hardy, Bryan - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015670160

Carbon emission disclosure and carbon premium : evidence from the Chinese bond market

Si, Xiaohan; Zhang, Shuai - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015330833

What Do Asset Prices in April 2025 Say About Demand for the Dollar?

Kekre, Rohan; Lenel, Moritz - 2026

We interpret exchange rate and yield curve responses to the April 2, 2025 U.S. tariff announcement through the lens of an equilibrium model capturing the portfolio balance mechanism. Disciplined by price elasticities from QE announcements, a 3-12% decline in the demand for dollar bonds (relative...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016063262

Bond defaults in China : using machine learning to make predictions

Cui, Bei; Ge, Li; Grecov, Priscila - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015334622

When to bet against beta? : ask Google

Piccoli, Pedro - 2025

In this paper, I document that investor attention negatively predicts betting against beta returns. Using Google Search Volumes toward US market indices as my proxy to attention, I find that this relation holds after controlling for competitive factors and different search terminologies and in...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015337410

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When to Bet Against Beta? Ask Google

Piccoli, Pedro - 2023

Book / Working Paper

When to Bet Against Beta? Ask Google

Piccoli, Pedro - 2021

Book / Working Paper

Geopolitical risk and global green bond market growth

Mertzanis, Charilaos; Tebourbi, Imen - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015338076