sovereign yields
Eurozone bond market dynamics, ECB monetary policy and financial stress
... The objective of this paper is to assess the role of market sentiment and European Central Bank (ECB)’s policy of asset purchases on sovereign yields in the Eurozone and in 4 Eurozone countries (Germany, ...
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Sovereign Credit Ratings, the Macroeconomy and. Credit Default Swap Spreads
... With regard to the model, which includes the standard macroeconomic effects, the 10-year government bond yield can be seen as a monetary policy signal as well as a measure of fiscal policy. Gruber and Kamin (2011) found ...
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Juha Kilponen Helinä Laakkonen Jouko Vilmunen. Sovereign risk, European crisis resolution policies and bond yields
... the sovereign bond yields in ten euro area countries during the period from 31 July 2007 to 25 March ...the sovereign risk, but the actual amount of the package had not have a signi…cant e¤ect on ...
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The response of euro area sovereign spreads to the ECB unconventional monetary policies National Bank of Belgium Working Paper No 309
... bond yields into expected and term premium ...EA sovereign yield curve. We decompose sovereign yields variations into four components: (i) the expected component of the risk free curve, (ii) ...
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Short and Long-run Behaviour of Long-term Sovereign Bond Yields
... long-term sovereign bond yields in OECD countries, for the period ...regarding sovereign yields and its determinants, we resort to simulation and bootstrap methods for the ...in ...
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Yields on sovereign debt, fragmentation and monetary policy transmission in the euro area: A GVAR approach
... in sovereign bond yields on ...binding sovereign yields be- come for firms ...rising yields, leverage has to ...in sovereign yields in the ...in yields, such as the ...
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The term structures of global yields
... global sovereign bond market connectedness measures according to Diebold and Yilmaz ...10-year sovereign yields and their expected short rate and term premium components, respectively, for all 21 ...
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The effects of US unconventional monetary policies in Latin America
... EME sovereign yields (Table 8), inflation is the only macroeconomic variable with significant ...US sovereign yields and in high-yield bond ...of yields to US ...
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Mind the Gap: Disentangling Credit and Liquidity in Risk Spreads
... euro-area sovereign bond market, to determine whether – and to what extent – credit and liquidity potentially drive variation in country yield spreads (country yields relative to the euro-area average ...
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Essays in sovereign debt and sovereign credit ratings
... between sovereign yields and sovereign ratings in a given ...the sovereign yields, spreads and other measures of the market value on the sovereign ...
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Sovereign bond market integration: the euro, trading platforms and globalization
... area sovereign and private bond markets have become more integrated in the wake of monetary unifi- ...of sovereign bond yields in EMU with the German ...national sovereign bond markets are ...
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The European Central Bank, machinic enslavement, and the Greek public sector
... As sovereign Greek bond yields reached a new high in April 2010 and central European private banks, the main lenders to Greek banks and holders of said bonds, faced uncontrollable risk, it was obvious that ...
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Have Irish Sovereign Bonds Decoupled from the Euro Area Periphery, and Why?
... Ireland’s sovereign bonds have decoupled from other Euro Area sovereigns (Portugal, Italy, Greece and Spain – the ‘periphery’) with whom it was categorised during the sovereign bond market crisis of the ...
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Risk premia and European debt crisis: CDS-hedging, Ponzi public finance and a dynamic approach to sovereign default
... The (positive) scores induce two physical default probability measures that can be compared with CDS-implied default pobability by fitting bivariate VAR models. In case the two implied measures share similar properties ...
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The evolution of European bailout arrangements and its impact on sovereign bond yields in the aftermath of the euro crisis
... short-term yields are more likely to be affected by market sentiments and expectations about monetary policy decisions, while long-term yields reflect long-run structural ...
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Globalization and Changing Patterns in the International Transmission of Shocks in Financial Markets
... long-term sovereign bond yields and on an EMP measure of currency crises, an index of global stress, and impulse response functions from VARs estimated using weekly data on short-term interest rates, we ...
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2014 ARTICLE IV CONSULTATION STAFF REPORT; AND PRESS RELEASE. An Informational Annex prepared by the IMF.
... 12. Staff and the authorities concurred that, while Mexico’s integration in global financial markets confers important benefits, it also increases exposure to external shocks. Gross capital inflows have increased ...
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Sovereign debt default and bank risk in China
... on sovereign debt crises. The authors explained that sovereign debt may fall into a position where the government can repay old loans if it can sell new debts; the government will default on ...
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Download Download PDF
... its sovereign credit risks, very few papers have investigated the transmission and spillover of financial shocks between Japan and ASEAN ...for sovereign credit risks of Japan and those of selected ASEAN ...
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Credit Spread Interdependencies of European States and Banks during the Financial Crisis
... Ejsing and Lemke (2009): identify the common risk factor for the CDS spreads for Euro area sovereigns and banks. = ⇒ Cointegration Analysis The financial bailout packages decelerated the increase of risk premia for ...
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