government bond
Convergence of Government Bond Yields in the Euro Zone: The Role of Policy Harmonization
... nominal government bond yield and expected ...nominal government bond yields through their influence on expected ...general government fiscal balance as a share of nominal GDP, the ...
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Czech Government Bond yields under FX pressure
... Keywords: yield curve estimation, zero–coupon yields, Czech bond market, Czech National Bank, ECB JEL: C51, E43, G12.. The Czech Government bond secondary market offers an opportunity to[r] ...
9
Consumption, wealth, stock and government bond returns : international evidence
... concerns government bond returns, our analysis suggests that we can cluster the countries in two ...that government debt is a component of asset ...in government bond returns rather as ...
29
Fundamental indexation for developed, emerging, and frontier government bond markets
... of government debt related to country fundamentals differs substantially in these markets, thus providing valuable information for an out-of-sample ...emerging bond markets, while De Jung and Wu (2014) ...
29
REPORT TO THE PARLIAMENT ON THE MANAGEMENT OF THE GOVERNMENT BOND SINKING FUND
... The amounts that move through the budget are transferred to account number 522, at the Bank of Italy and in the name of the Fund, by way of decrees of variation between income and expenditures, registered by the State ...
5
Expectations and systemic risk in EMU government bond spreads
... 10-year government bonds returns for "non-core countries" have seen a rapid and persistent increase of spreads level and volatility in the period fol- lowing the …nancial ...crisis government ...
48
Spillover Effects on Government Bond Yields in Euro Zone Does Full Financial Integration Exist in European Government Bond Markets?
... European government bond market integra- tion by employing multivariate GARCH ...other bond markets, in euro markets the default(credit) risk factor and other macroeconomic and fiscal indi- cators ...
47
Determinants of government bond spreads in new EU countries
... affect government bond ...of government bond spreads of the new EU countries to changes in equity market volatility on euro area markets may reflect portfolio reallocations between bonds, ...
42
Forecasting Government Bond Yields with Large Bayesian VARs
... rates, which exploits the information contained in a large panel of government bond yields. Focusing on the U.S., we show that our proposed strategy produces systematically better forecasts than all the ...
56
Liquidity of China’s Government Bond Market: Measures and Driving Forces
... China’s government and agency bonds during the past two decades by constructing a bond liquidity index based on price and quantity ...that bond market liquidity condition after 2010 appears to be ...
29
Volatility Forecasting in European Government Bond Markets
... European government bond markets using intraday data covering the period from January 2005 up until October ...pean government bond ...
69
Oil prices and government bond risk premiums
... This article analyses the impact of oil price on bond risk premiums issued by emerging economies. No empirical study has yet focussed on the effects of the oil price on government bond risk premiums. ...
32
Government bond risk premia and the cyclicality of fiscal policy
... the government debt to output ratio D Y , the government consumption to output ratio G Y , lump-sum transfers T R Y , and the decay parameter δ c , which controls the maturity of the government ...
59
European government bond market integration in turbulent times
... European government bond markets with the euro ...each bond market with the euro area, the higher the degree of ...the bond markets group over the sample period (comprising a tranquil period, ...
26
Consumption risk and the cross-section of government bond returns
... by government bonds. Second, our test assets, which are a set of government bond portfolios with di¤erent maturities rather than a single index of government bonds, allow us to study the ...
43
The impact of fiscal policy on government bond spreads in emerging markets
... in bond spreads gives an empirical answer to the analy- sis of fi scal sustainability for all countries are planned to be covered in this paper, which are, including Croatia: Bulgaria, the Czech Republic, Hungary, ...
28
Exploring the benefits of international government bond portfolio diversification strategies
... G7 government bonds nor the inflation- linked bond index make a significant incremental contribution to the CER performance when added to the investment universe in the presence of no short selling ...
39
Comovements in Government Bond Markets: A Minimum Spanning Tree Analysis
... developed-country government bond ...major bond markets are also covered: Australia, Canada, Japan, New Zealand, Norway, Switzerland, and the ...on government 10-year benchmark bonds, for the ...
29
Sovereign risk premia in the European government bond market
... German government bond yields are still below those of bonds issued by governments with much better debt ...that bond yields do not reflect fiscal performance appropriately (Reuters, June ...German ...
39
Sovereign Risk Premiums in the European Government Bond Market
... German government bond yields are still below those of bonds issued by governments with much better debt ...that bond yields do not reflect fiscal performance appropriately (Reuters, June ...German ...
31