sovereign bond
A Research on Eurozone Bond Market and Determinants of Sovereign Bond Yields
... of 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 ...securities. Sovereign bonds are also sensi- ...
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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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Environmental, Social and Governance (ESG) performance and sovereign bond spreads : an empirical analysis of OECD countries
... and sovereign bond spreads can broadly be categorised in two ...of sovereign default and investors would then charge a higher interest rate on ...
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Transparency Proposals for European Sovereign Bond Markets. ECMI Policy Brief No. 7, April 2007
... that sovereign bond markets are quite different from corporate bond ...in sovereign markets, issuers (governments or their agents) have largely dictated how the primary and secondary markets ...
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Correlation between Maltese and euro area sovereign bond yields
... German sovereign bonds. Dynamic correlations between different sovereign bond yields will explain whether yields move together, allowing the analysis of ...correlated sovereign bond ...
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Determinants of Sovereign Bond Yield Spreads in the EMU. An Optimal Currency Area Perspective
... economies belonging to the monetary union in what should be their aim of moving towards higher and higher degrees of economic integration, in order to ultimately tick the boxes necessary for OCA membership. Our estimates ...
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Dynamic Sources of Sovereign Bond Market Liquidity
... of sovereign bonds as a novelty in the sovereign fixed income ...the sovereign bond market ...aggregate bond market liquidity is confirmed by Granger causality ...
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Liquidity Issues in Indian Sovereign Bond Market
... Liquidity is one of the most important factors after credit risk that affects the bond yields. The paper uses various measures of liquidity to understand their determinants in Indian sovereign bond ...
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Determinants of sovereign bond yield spreads in the EMU: An optimal currency area perspective
... between bond yield spreads and its determinants, if we verify that the variables in equation (1) are indeed non-stationary, we need to determine whether these are linked by a cointegrating ...EMU sovereign ...
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Spillover in Euro Area Sovereign Bond Markets
... area sovereign bond ...area sovereign bond markets coinciding with the bailout of Bear Stearns in March ...state sovereign bond markets exercised a positive net influence on the ...
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Gains from Trade and the Sovereign Bond Market
... the sovereign debt literature, there is a number of prior studies incorporating inter- national trade in a model of sovereign debt ...a sovereign default leads to a real exchange rate depreciation ...
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Collective Action Clauses in International Sovereign Bond Contracts Whence the Opposition?
... The IMF (2002a, pp. 10), amongst others, suspected that there could have been a first mover problem associated with the adoption of CAC in markets where their use was not customary: “There is a general perception that ...
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CDS, bond spread and sovereign debt crisis in peripherial EU
... and bond spreads data is used for the period 11 January 2010 to 08 December ...in bond spread data for Italy and ...represents sovereign bond yield spreads for peripherial countries Greece, ...
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Exchange Rate Policy and Sovereign Bond Spreads in Developing Countries
... adjusted from di¤erences in the relative prices of nontradeables to tradeables attributed to di¤erences in factor endowments (i.e., the “Balassa-Samuelson” e¤ect). 19 Following Dollar (1992) and Aghion et al. (2009), we ...
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Rules and risks in the euro area. Bruegel Working Paper 2011/10, 4 October 2011
... Regressions I and J omit the year 2009, thereby rendering the regression ro- bust to special eects related to the economic and nancial crisis. As argued above, here we can safely consider the quality of rules-based scal ...
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Sovereign bond market integration: the euro, trading platforms and financial crises
... on bond integration with a small but growing literature on electronic trading and its implications for financial ...on sovereign bond market ...market bond trading ...
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CDS Bond Basis Dynamic and Credit Spread Price Discovery: A Test for European Corporate and Sovereign Bond Markets
... and bond spreads, with reference to both Eurozone sovereign and corporate markets, within the period ...underlying bond, and about the price dis- covery process of the credit risk between the CDS ...
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Sovereign Bond Yield Spillovers in the Euro Zone During the Financial and Debt Crisis
... between sovereign bond yield spreads exposures within the Euro zone during the financial and debt ...government bond yield spreads (BYS) between Euro zone countries over the period March 3, 2007 - ...
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The pricing of G7 sovereign bond spreads – the times, they are a changin
... In a nutshell, using the Consensus Economics forecast data, we are able to obtain monthly one- year ahead expectations for the debt to GDP ratio, the current account balance relative to GDP, real GDP growth, unemployment ...
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Managing sovereign credit risk in bond portfolios
... Capitalisation-weighted indices presenting clear drawbacks, we propose an alternative ap- proach to indexation, based on sovereign risk. Using the framework described previously, it is possible to decompose the ...
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