Search Results - subject_exact:"Sovereign bonds"

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://ebvufind01.dmz1.zbw.eu/10015617983

Exploitation of Eurosystem loopholes and their quantitative reconstruction

Svozil, Karl - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015373443

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://ebvufind01.dmz1.zbw.eu/10015609600

The impact of hurricane strikes on Caribbean sovereign bond returns

Huesler, Joel - 2025

This article analyzes the influence of hurricane strikes on the returns of sovereign bonds issued by Cuba, the Dominican Republic and Haiti between 1905 and 1930. The study uses a fixed effects regression model to isolate the impact of hurricane-induced destruction on bond returns, providing a...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015605357

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

Capriotti, Alessio; Muzzioli, Silvia - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015654388

Hedging against inflation : international evidence on investor clientele effects

Boermans, Martijn; Swinkels, Laurens - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015638014

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://ebvufind01.dmz1.zbw.eu/10015654796

Quantitative easing and preferred habitat investors in the euro area bond market

Boermans, Martijn; Carrera de Souza, Tomás; Vermeulen, … - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015190355

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Quantitative easing and preferred habitat investors in the euro area bond market

Boermans, Martijn; Vermeulen, Robert - 2018

Book / Working Paper

Hedging against inflation : international evidence on investor clientele effects in the bond market

Boermans, Martijn; Swinkels, Laurens - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015416210

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://ebvufind01.dmz1.zbw.eu/10015628390

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

Which exchange rate matters to global investors?

Jansen, Kristy A. E.; Shin, Hyun Song; Von Peter, Goetz - 2024

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015079803

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

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

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015647428

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

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

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015624377

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

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

Lucke, Konrad - 2026

Book / Working Paper

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

Nevatia, Vedanshi - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015632226

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://ebvufind01.dmz1.zbw.eu/10015654662

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://ebvufind01.dmz1.zbw.eu/10015632704

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://ebvufind01.dmz1.zbw.eu/10015636837

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://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

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://ebvufind01.dmz1.zbw.eu/10015636907

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

Camenzind, Nicolas; Filipović, Damir - 2026

Persistent link: https://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://ebvufind01.dmz1.zbw.eu/10015610720

Expansionary fiscal rules under sovereign risk

Esquivel, Carlos; Samano, Agustin - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015574597

Institutional ownership and bond pricing : evidence from China

Wang, Yulin; Zhang, Xueying; Walker, Thomas; Liedtke, Gerrit - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015559920

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://ebvufind01.dmz1.zbw.eu/10015611478

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

Determinants of sovereign bond issuance in emerging markets

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

Emerging market economies (EMEs) regularly tap domestic and international capital markets through scheduled sovereign bond auctions. In this paper, we leverage a novel dataset covering over 75,000 sovereign issuance events and 20,000 securities from 20 EMEs between the early 2000s and 2023 to...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015611520

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Determinants of sovereign bond issuance in emerging markets

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

Book / Working Paper

An underestimated policy lever : the ECB's collateral policy supports financial markets and reduces uncertainty

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

A central bank's collateral policy determines which assets banks may use as collateral for refinancing operations. Thus, it is a critical tool for providing the banking system with liquidity while simultaneously stabilizing it. Using a high-frequency identification approach, this study examines...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015675192

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://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

Short-term reversal in government bonds : evidence of state-dependent risk from an emerging market

Munawi, Ahmad Syarif; Achsani, Noer Azam; Sembel, Roy; … - 2026

This study investigates whether short-term reversal exists in an emerging government bond market and whether its returns are consistent with a risk-based explanation. Using Indonesian government bonds from January 2010 to December 2025, the results show that loser portfolios outperform winner...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015676706

Greener but thinner? : assessing green bond market liquidity

Dulak, Thomas; Wolff, Guntram B. - 2026

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

Two decades of research on sustainability and sovereign ratings : trends, research puzzles and future directions

Arfa, Insaf; Khiari, Wided; Ballouk, Houssein; Ben … - 2026

The article provides a systematic and bibliometric review of the literature on the relationship between countries' ESG scores and their sovereign ratings. The study, which follows the PRISMA 2020 guidelines, employs a bibliometric methodology using a sample of 168 peer-reviewed articles sourced...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016061279

Heterogeneous effects of monetary policy surprises on bond fund flows

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

Persistent link: https://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://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

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

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://ebvufind01.dmz1.zbw.eu/10015592495

Financial market development during the full-scale war in Ukraine : examining the crowding out effect

Bychkova, Nataliia; Shenderova, Anastasiia - 2026

This study empirically assesses the relevance of the "crowding-out" hypothesis in Ukraine during the full-scale Russian invasion. Using a monthly dataset (January 2018 - November 2025), we investigate the dynamic interdependencies among central government securities holdings, bond yields, and...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016064383

Is the Government always greener?

Di Tommaso, Caterina; Perdichizzi, Salvatore; Vigne, Samuel - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015616992

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Is the government always greener?

Di Tommaso, Caterina; Perdichizzi, Salvatore; Vigne, Samuel - 2023

Book / Working Paper

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://ebvufind01.dmz1.zbw.eu/10015592687

Assessing investor preferences for environmental and sustainability bonds in Japan : a discrete choice experiment approach

Aruga, Kentaka; Islam, Md. Monirul - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015618322

Capital inflow shocks and convenience yields

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

Persistent link: https://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

Green bonds and their effectiveness : mitigating emissions and enhancing sovereign ESG scores

Berdiev, Urol - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015618395

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://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://ebvufind01.dmz1.zbw.eu/10015620325

Chilean government bond yields : an econometric analysis

Akram, Tanweer; Uddin, Syed Helal - 2025

This paper econometrically models the dynamics of Chilean government bond (CLGB) yields from a Keynesian perspective. It applies a generalized autoregressive conditional heteroscedasticity (GARCH) approach to monthly macroeconomic and financial data to examine whether the current short-term...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015618500

The role of rare earth and metallic mineral prices and sovereign inflation-linked bonds in AI-driven fintech industrial development amid the Russia-Ukraine conflict : a dynamic quantile analysis approach

Islam, Md. Monirul; Ahmed, Faroque; Al Mahmud, Abdulla; … - 2025

AI-driven fintech industries face critical vulnerabilities from volatile rare earth and metallic mineral prices, geopolitical instability, and inflationary pressures. Sovereign inflation-linked bonds serve as incentives for investors in technological industries, despite the risks associated with...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015654725

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

Leveraging financial interdependencies in emerging markets via graph neural networks

Jessen, Nicolai Bloch - 2025

This study examines the role of interdependencies in forecasting sovereign yield spreads in emerging markets using Graph Neural Networks (GNNs). Sovereign yield spreads reflect economic conditions and investor sentiment, making accurate predictions crucial for investors, policymakers, and...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015654816

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

Filippin, Maria Elena - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015625014