Exchange RateIn emerging market economies, currency appreciation goes hand in hand with compressed sovereign bond spreads, even for local currency sovereign bonds. This yielHofmann, BorisShim, IlhyockShin, Hyun SongSocial Science Electronic Publishing...
Bond Risk Premia and the Exchange Rate In emerging market economies, currency appreciation goes hand in hand with compressed sovereign bond spreads, even for local currency sovereign bonds. This... B Hofmann,I Shim,H Shin - Econometric Modeling: Capital Markets - Risk eJournal 被引量: 0发表:...
forecasttheU.S.bondriskpremia, littleattentionhasbeenpaidtotheuseoftechnicalindicatorswhicharewidelyemployedby practitioners.Inthispaper,wefillthisgapbystudyingthepredictiveabilityofusingavariety oftechnicalindicatorsvis-´a-vistheeconomicvariables.Wefindthatthetechnicalindicators havestatisticallyandeconomically...
uncertainty about both Ricardian equivalence and the size of the government multiplier (Ulrich 2013b); and d) if government interventions involve public spending decisions, which in turn lead to positive bond term premia through a positive correlation between marginal utility and inflation (Bretscher ...
Using a rich data set for the UK for over a century, we find that the relation between the equity risk premium and the government bond maturity premium is nonlinear and subject to stochastic regime switching. We identify a regime in which both premia are jointly characterized by low volatility...
The reaction is base... B Lauterbach - 《International Journal of Chemical Kinetics》 被引量: 0发表: 1980年 Macro Factors in Bond Risk Premia Are there important cyclical fluctuations in bond market premiums and, if so, with what macroeconomic aggregates do these premiums vary? We use the ...
US municipal bonds are already trading at huge risk premia, and the first big government default hasn’t even hit yet. 美国的市政债券已经在以巨额的风险溢价进行交易,而第一次大规模的政府拖欠根本就还没有发生。 ProjectSyndicate We will work to strengthen debt management, and where appropriate ...
eurozone crisis: how banks and sovereigns came to be joined at the hip | Economic Policy | Oxford Academic public purse and the adverse impact on GDP. The role of global developments did not disappear, with the Lehman bankruptcy raising, for example, risk premia......
This paper examines the price differences between very liquid on-the-run U.S. Treasury securities and less liquid off-the-run securities over the entire on... D Goldreich,B Hanke,P Nath - 《Social Science Electronic Publishing》 被引量: 477发表: 2002年 Liquidity Risk Premia in Corporate Bo...
Lower liquidity in assets or markets raises liquidity risk premia, increasing transaction costs and bid-ask spreads. Investors may seek a premium for bearing liquidity risk, especially during systematic and persistent liquidity shocks. Liquidity encompasses executing large transactions with limited price ...