bond spreads
The impact of fiscal policy on government bond spreads in emerging markets
... government bond spreads there were through an evaluation of panel ...government bond spreads when panel data are em- ...government bond sprea- ...a spreads. The authors consider ...
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The Impact of the ECB’s Asset Purchase Programmes on Sovereign Bond Spreads in the Euro Area Bruges European Economic Research Papers 35/2015
... sovereign bond spreads in the euro area between 2008 and 2015 using a country-by-country GARCH ...sovereign bond spreads across the euro ...sovereign bond spreads, except for ...
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High- and Low-Frequency Correlations in European Government Bond Spreads and Their Macroeconomic Drivers
... All the macroeconomic variables considered capture very well the worsening macroeco- nomic conditions starting from the last quarter of 2008, with the dramatic drop of the level of employment for Spain and the strong ...
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Determinants Of Sovereign Bond Spreads A Comparative Analysis During The Global Financial Crisis
... The main focus of this paper is to examine the effect of the recent global financial crisis on emerging countries’ borrowing costs by implementing a panel data analysis. We propose an empirical assessment over the period ...
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Macroannouncements, Bond Auctions and Rating Actions in the European Government Bond Spreads
... government bond auctions and rating actions on the 10-year government bond spreads for Belgium, France, Italy, the Netherlands, Spain with respect to ...
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Convenience yield on government bonds and unconventional monetary policy in Japanese corporate bond spreads
... corporate bond market in ...corporate bond market, were downgraded due to the high uncertainty over their future ...corporate bond market in Japan not only through principal issuers dropping out, but ...
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Environmental, Social and Governance (ESG) performance and sovereign bond spreads : an empirical analysis of OECD countries
... sovereign bond spreads, we distinguish between short-run and long-run ...government bond yields can temporarily deviate from their long-run equilibrium levels because of market overreaction during ...
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The pricing of G7 sovereign bond spreads – the times, they are a changin
... yield spreads in the context of a Markov switching approach, which allows a country’s probability of jumping to a crisis state to depend on the occurrence of a crisis in other countries, and find this to be the ...
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Expectations and systemic risk in EMU government bond spreads
... government bond spreads inside the euro area have identi…ed a number of explanatory ...corporate bond spread, was found mostly important during the …nancial turbulence that followed the Lehman ...
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Disappearing government bond spreads in the eurozone - Back to normal? CEPS Working Document No. 396, May 2014
... Since the announcement of the Outright Monetary Transactions (OMT) programme by Mario Draghi, President of the ECB, in 2012, the government bond spreads began a strong decline. This paper finds that most of ...
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Bond spreads and economic activity in eight European economies
... to bond spreads to influence real GDP growth versus alternative ...the bond spreads; and c) an autoregressive model in which the growth of real GDP is predicted by lagged values of ...
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Bond spreads and economic activity in eight European economies
... of bond spreads may therefore reflect idiosyncratic shocks to the net worth of firms, which de Bondt (2004) calls ‘balance sheet’ effects, discussed in a structural DSGE context by Gilchrist et ...the ...
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The chicken or the egg? A note on the dynamic interrelation between government bond spreads and credit default swaps
... First, unlike the previous studies on corporate bonds, it uses data on 10-year government yield spreads over a benchmark bond rate and their underlying CDS, and focuses on the four South[r] ...
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Macroannouncements, Bond Auctions and Rating Actions in the European Government Bond Spreads
... Permanent repository link: http://openaccess.city.ac.uk/6973/ Link to published version: http://dx.doi.org/10.1016/j.jimonfin.2015.01.004 Copyright and reuse: City Research Online aims t[r] ...
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Rules and risks in the euro area. Bruegel Working Paper 2011/10, 4 October 2011
... government bond spreads in the euro ...sovereign bond yields as such (regression ...sovereign bond yields relative to ...sovereign bond yields, as do higher general government budget ...
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Government Bond Market Integration in ASEAN Countries
... government bond yield in the ...government bond spreads in the four ASEAN ...government bond markets in the sample countries have maintained market discipline in the sense that investors ...
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Modelling the Conditional Variance and Asymmetric Response to Past Shocks in the Malaysian Bond Market**
... the spreads level within the market and also to notice which bond rating (at certain maturity) is currently being sought ...of bond is normally undertaken over the counter where spreads is ...
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A Research on Eurozone Bond Market and Determinants of Sovereign Bond Yields
... sovereign bond spreads in the euro area countries is largely explained by a set of determinants of credit and liquidity risk and the degree of risk ...sovereign bond spreads and various ...
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Sovereign default Risk in the Euro Periphery and the Euro Candidate Countries
... government bond yields and sovereign risk premiums that focuses mainly on public debt"to"GDP ratio as a proxy of these fundamentals (Eichengreen/Mody, 2000; Codogno, et ...sovereign bond ...
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Model uncertainty in panel vector autoregressive models
... The issues of financial contagion and cross-country spillovers between sovereign debt markets in euro area economies have figured prominently in debates about the euro area debt crisis. A few examples of recent papers ...
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