sovereign bond yield spreads
Sovereign bond spread drivers in EU market in the aftermath of the global financial crisis
... on sovereign bond yield spreads with respect to ...affects spreads positively but the effect is not statistically ...in sovereign bond ...of sovereign debt (yields ...
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Sovereign bond spread drivers in the EU market in the aftermath of the global financial crisis
... of sovereign yield spreads in the recent empirical literature, both with their pros and cons (Maltritz, ...the sovereign yield spreads with respect to the “anchor country” by the ...
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Sovereign risk modelling and applications
... for sovereign risk 1.1 Introduction The European sovereign debt crisis (often also referred to as the Eurozone crisis or the European debt crisis) is an on-going multi-year debt crisis which took place at ...
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Environmental, Social and Governance (ESG) performance and sovereign bond spreads: an empirical analysis of OECD countries
... and sovereign bond ...by sovereign bond ...lower sovereign bond ...government bond yield spreads turns out to be stronger than between short-term government ...
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Does the composition of government expenditures matter for sovereign bond spreads' evolution in developing countries?
... 1980s sovereign debt crisis, investors lowered purchases of securities issued by DCs owing to their high ...high yield for holding debt instruments issued by ...
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Crisis-Robust Bond Portfolios
... The difference between the U.S. and Euro portfolio composition is probably attributable to the 2000-2002 “anomaly” mentioned earlier. In fact, in the U.S. during quiet times, IG bond volatility appears lower than ...
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Liquidity Contagion. The Emerging Sovereign Debt Markets example
... Abstract Financial markets are today so interconnected that they are fragile to contagion. Massive investment funds with very short horizons in -and out- flows can generate contagion effects between markets. Since 2010, ...
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Sovereign Wealth Funds and the Global Financial System
... Established in 1981, the Government of Singapore Investment Corporation (more commonly GIC) has grown over the years to become one of the most influential SWFs in the world. With a wide diversified portfolio in corporate ...
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Liquidity Contagion. The Emerging Sovereign Debt Markets example
... EM Sovereign Debt markets and we investigate the re-correlation phenomena that the sovereign debt market experiences during liquidity turmoils using a dynamic model based on a regime ...the Bond ...
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Sovereign wealth funds : governance, performance and durability
... that sovereign funds act differently than rational investors, and therefore there shouldn’t be any concerns regarding SWF ...35 sovereign funds between 1986 and September ...
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Managing Commodity Risk : Can Sovereign Funds Help ?
... a sovereign fund only to be commandeered later on by the government to boost ...a sovereign fund was a condition set by the World Bank for providing pipeline and oilfield ...
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Determinants of credit spreads on U.S. dollar-denominated Asian corporate bonds
... For country-specific factors, I include sovereign risk and macroeconomic indicators because economic conditions could be an important criterion for global investors in [r] ...
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Price functionals with bid–ask spreads : an axiomatic approach
... Furthermore they characterize the absence of arbitrage opportunities in the model by the existence of a process lying between the bid and the ask price processes and of an equivalent pro[r] ...
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Modeling the Dynamics of Credit Spreads with Stochastic Volatility
... credit spreads on corporate ...credit spreads as stochastic, and also allows us to capture higher moments of credit ...corporate bond prices for 108 ...corporate bond credit spreads, ...
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A valence bond description of the bromine halogen bond
... The obtained geometries for the RBr⋅⋅⋅NH3 dimers have been afterwards exploited to perform single point spin-coupled calculations with only 10 active electrons (corresponding to valence electrons in equations (5) and ...
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An analysis of the municipal bond market, factors influencing municipal bond participation
... suggested.1 These solutions, by and large, have been discussed and.. proposed all too frequently with little or no success. In 1975 and 1976, despite the problems in the[r] ...
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Skewness risk and bond prices
... 1-period bond and 0:09 percentage points for the 8-period ...reduce bond prices and increase yields with quantitatively di erent e ects across maturities: the e ect on prices increases monotonically with ...
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A Reduced Form Model of Default Spreads with Markov-Switching Macroeconomics Factors
... Treasury bond rate minus the Fed funds rate) on government debt and stock returns provided advance warning on the 2001 recession but fall short of providing a signal of previous recessions (Stock and Watson, ...
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A theory of bond portfolios
... The problem of optimal portfolios of zero coupon bonds is solved for general utility functions, under a condition of no-arbitrage in the zero coupon market.. A mutual fund theorem is pro[r] ...
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A Reduced Form Model of Default Spreads with Markov-Switching Macroeconomics Factors
... corporate yield spread literature seeks to measure the proportion of the spread that can be explained by factors such as the possibility of default, liquidity, tax differentials and market ...of yield ...
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