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://www.econbiz.de, 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://www.econbiz.de, 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

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

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

Yilmaz, Fatih - 2026

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

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://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015625777

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

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://www.econbiz.de, 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://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 evolution of the corporate bond market : a theoretical analysis

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

Persistent link: https://www.econbiz.de, 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://www.econbiz.de, 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://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

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

Demand disagreement

Heyerdahl-Larsen, Christian; Illeditsch, Philipp - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015573684

Global pension asset allocations and debt markets

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

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015667793

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://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015618370

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://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015485850

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://www.econbiz.de, 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://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015374489

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

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

Persistent link: https://www.econbiz.de, 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://www.econbiz.de, 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

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://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015330832

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

Si, Xiaohan; Zhang, Shuai - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015330833

Bond defaults in China : using machine learning to make predictions

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

Persistent link: https://www.econbiz.de, 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://www.econbiz.de, 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://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015338076

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

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

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015190355

Forecasting China bond default with severe class-imbalanced data : a simple learning model with causal inference

Peng, Mike W.; Stern, Elisheva R.; Hu, Hanwen - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015195157

Climate-linked bonds

Broeders, Dirk; Dimitrov, Daniel; Verhoeven, Niek - 2025

Climate-linked bonds, issued by governments and supranational organizations, are pivotal in advancing towards a net-zero economy. These bonds adjust their payoffs based on climate variables such as average temperature and greenhouse gas emissions, providing investors a hedge against long-term...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015181854

The German and Italian government bond markets : the role of banks versus non-banks : a joint study by Banca d'Italia and Bundesbank

Abbassi, Puriya; Bianchi, Michele Leonardo; Della … - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015195670

Re-examining China and the u.s.'s respective green bond markets in extreme conditions : evidence from quantile connectedness

Wang, Mei-Chih; Jiang, Peiyun; Chang, Tsangyao - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015359774

The price of trust: greenium and greenwashing in Asia's green bond markets

Dryden, Alexander; Pulieri, Enrico - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015359876

Sovereign debt markets and resilience in a heterogeneous union : on the interaction of European economic and national fiscal policies

Spronsen, Josha van - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015325839

Essays on banking, credit risk, and debt markets

Gao, Zhuolu - 2025 - First edition

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015416538

Sovereign risk mispricing and investor herding : MENA debt markets

Moustafa, Eman; El-Shal, Amira - 2025

In response to the scarce evidence regarding herd behaviour in emerging and frontier debt markets, this paper investigates the potential mispricing of MENA sovereign risk. We explore whether this mispricing results from international investor herding, where MENA debt assets are collectively...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015471337

Time-varying performance of betting against beta (BAB) and other risk-based anomalies : evidence from Asia

Rakhyani, Sarika; Sehgal, Sanjay; Deisting, Florent - 2025

This study examines the performance of trading strategies based on beta, idiosyncratic volatility (IVOL), MAX (lottery behavior), skewness, and tail risk in five major Asian markets, using data from 1999 to 2021. The most important determinant of cross-sectional differences in strategy premiums...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015472234

Green bond market in Vietnam : barriers to corporate issuers, attractiveness to investors and potential growth

Hong Minh Le; Vivian, Andrew - 2025

This study investigates the challenges impeding the development of an effective green bond market in Vietnam and evaluates its potential to support the country's transition from carbon-intensive industries to a greener economy, in line with its climate commitments.This study uses a qualitative...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015472299

Superior forecasting with simple AR(1) models in a low-volatility environment : evidence from the CAT bond market

Gürtler, Marc; Witowski, Eileen - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015447813

The pricing of sustainability-linked bonds on the primary and secondary bond markets

Poggensee, Jannis - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015447939

Foreign investor trading and spillovers to local-currency bond markets in SEACEN economies : a case study approach

Morozumi, Atsuyoshi - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015450539

Consumption growth persistence and the stock-bond correlation

Jones, Christopher S.; Pyun, Sungjune - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015451379

Beyond fragmentation : unraveling the drivers of yield divergence in the euro area

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

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015407097

Interest rate sensitivity of callable bonds and higher-order approximations

Dow, Scott S.; Orfanos, Stefanos C. - 2025

Certain fixed-income securities, such as callable bonds and mortgage-backed securities subject to prepayment, typically exhibit negative convexity at low yields and cannot be adequately immunized through duration and convexity-matching alone. To address this residual risk, we examine the...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015408396

(In)frequently traded corporate bonds and pricing implications of liquidity dry-ups

Ivashchenko, Alexey - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015408405

On the relationship between geopolitical risks and euro area sovereign bond yields

Papavassiliou, Vassilios G. - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015408524

Bond supply, yield drifts, and liquidity provision before macroeconomic announcements

Lou, Dong; Pinter, Gabor; Üslü, Semih; Walker, Danny - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015409212

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Bond supply, yield drifts, and liquidity provision before macroeconomic announcements

Lou, Dong; Pinter, Gabor; Uslu, Semih; Walker, Danny - 2024

Book / Working Paper

Investors as a liquidity backstop in corporate bond markets

Comerton-Forde, Carole; Ford, Billy; Foucault, Thierry; … - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015409633

Fund Investor Types and Bond Market Volatility

Mosk, Benjamin - 2025

This note explores the connection between the varied investor profiles of exchange-traded funds (ETFs) and open-ended mutual funds (OEMFs) and the return volatility of the securities they hold. Based on the security-level data of US ETF and OEMF holdings, the analysis suggests that, on...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015411407