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Author : Marcello Pericoli
Publisher :
ISBN 13 :
Total Pages : 47 pages
Book Rating : 4.:/5 (746 download)
Download or read book Bond Risk Premia, Macroeconomic Fundamentals and the Exchange Rate written by Marcello Pericoli and published by . This book was released on 2009 with total page 47 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Oguzhan Cepni
Publisher :
ISBN 13 :
Total Pages : 28 pages
Book Rating : 4.:/5 (13 download)
Download or read book Local Currency Bond Risk Premia written by Oguzhan Cepni and published by . This book was released on 2019 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates the source of variation in emerging market (EM) local currency bond risk premium by employing panel fixed effects regression model. Moreover, we use the methodology of dynamic factor model for large datasets to investigate the possible linkages between excess bond return and economic activity. We provide evidence that macroeconomic and financial variables contain valuable information in explaining local currency bond excess returns. Additionally, we extend our analysis with a panel threshold estimation to investigate how the influence of different factors may vary in different states of the markets depending on the level of global risk appetite. The results show that investors pay more attention to changes in macroeconomic fundamentals when the global risk aversion is high. Also, the influence of exchange rate volatility is more pronounced during the time of market stress. On the other hand, positive credit rating changes decrease the country risk premium which results in lower bond risk premium in tranquil times. Overall, these findings imply that global investors view the local currency debt market as a separate asset class and explore potential diversification benefit from investing in emerging markets by differentiating meaningfully in terms of macroeconomic and financial fundamentals.
Author : Boris Hofmann
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (119 download)
Download or read book Bond Risk Premia and the Exchange Rate written by Boris Hofmann and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Sydney C. Ludvigson
Publisher :
ISBN 13 :
Total Pages : 22 pages
Book Rating : 4.:/5 (255 download)
Download or read book Macro Factors in Bond Risk Premia written by Sydney C. Ludvigson and published by . This book was released on 2005 with total page 22 pages. Available in PDF, EPUB and Kindle. Book excerpt: Empirical evidence suggests that excess bond returns are forecastable by financial indicators such as forward spreads and yield spreads, a violation of the expectations hypothesis based on constant risk premia. But existing evidence does not tie the forecastable variation in excess bond returns to underlying macroeconomic fundamentals, as would be expected if the forecastability were attributable to time variation in risk premia. We use the methodology of dynamic factor analysis for large datasets to investigate possible empirical linkages between forecastable variation in excess bond returns and macroeconomic fundamentals. We find that several common factors estimated from a large dataset on U.S. economic activity have important forecasting power for future excess returns on U.S. government bonds. Following Cochrane and Piazzesi (2005), we also construct single predictor state variables by forming linear combinations of either five or six estimated common factors. The single state variables forecast excess bond returns at maturities from two to five years, and do so virtually as well as an unrestricted regression model that includes each common factor as a separate predictor variable. The linear combinations we form are driven by both "real" and "inflation" macro factors, in addition to financial factors, and contain important information about one year ahead excess bond returns that is not captured by forward spreads, yield spreads, or the principal components of the yield covariance matrix.
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Author : Anella Munro
Publisher :
ISBN 13 :
Total Pages : 46 pages
Book Rating : 4.:/5 (962 download)
Download or read book Bond Premia, Monetary Policy and Exchange Rate Dynamics [electronic Resource] written by Anella Munro and published by . This book was released on 2016 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt: "The author proposes a model in which uncertainty about the value of ex-post payoffs drives a wedge - a short-term bond premium - between an observed short-term benchmark interest rate and the unobserved discount rate, that is used to allocate consumption over time. The model helps to explain disconnect between exchange rates and interest rate fundamentals; disconnect between measures of risk that price bonds and measures of risk that price currencies; and why exchange rates are 'too smooth' relative to the volatile discount rates implied by equity premia. In the model with risk, the exchange rate response to monetary policy is observationally similar, whether monetary policy moves the discount rate or the bond market premium. Between policy changes, interest rate stabilisation (i) isolates the currency from variation in the discount rate; and (ii) shifts the expression of bond risk from bond yields to the currency premium. Those tradeoffs provide a risk-based interpretation of the monetary policy trilemma."--Abstract.
Author : Lukas Wäger
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (81 download)
Download or read book Analysis of Bond Risk Premia written by Lukas Wäger and published by . This book was released on 2012 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The focus of this thesis is on bond return predictability and providing an empirical and economic understanding of bond risk premia. The thesis consists of an empirical analysis of time-varying bond risk premia along three major branches of the current term structure literature, namely yields-only, macro-finance and multi-currency term structure models. All these models belong to the well-known class of affine models introduced by Ang and Piazzesi (2003), whereas the latter two embed unspanned factors. Unspanned factors are state variables that have an effect on bond risk premia but do not span the cross-section of yields, as recently introduced by Duffee (2011), Joslin, Priebsch and Singleton (2011) and Boos (2011). The section concerning yields-only models contributes by providing evidence of three priced risk premia of bonds in the US market, extending the analysis of Cochrane and Piazzesi (2005) and Boos (2011). The section concerning macrofinance models adds to the new branch of models with unspanned macro factors and extends existing research by analyzing the effects of unspanned macro factors on risk premia beyond the level risk premium and extending into a broader and longer data set of macroeconomic variables. The section concerning multi-currency models firstly introduces unspanned factors into international models by taking mutually unspanned latent yield curve factors of domestic and foreign countries as state variables. The information in foreign yield curves is found to be partly unspanned by the domestic yield curve and improves bond return predictability beyond local models.
Author : John H. Cochrane
Publisher : Now Publishers Inc
ISBN 13 : 1933019158
Total Pages : 117 pages
Book Rating : 4.9/5 (33 download)
Download or read book Financial Markets and the Real Economy written by John H. Cochrane and published by Now Publishers Inc. This book was released on 2005 with total page 117 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial Markets and the Real Economy reviews the current academic literature on the macroeconomics of finance.
Author : Emanuel Kopp
Publisher : International Monetary Fund
ISBN 13 : 1484363671
Total Pages : 22 pages
Book Rating : 4.4/5 (843 download)
Download or read book A Macroeconomic Approach to the Term Premium written by Emanuel Kopp and published by International Monetary Fund. This book was released on 2018-06-15 with total page 22 pages. Available in PDF, EPUB and Kindle. Book excerpt: In recent years, term premia have been very low and sometimes even negative. Now, with the United States economy growing above potential, inflationary pressures are on the rise. Term premia are very sensitive to the expected future path of growth, inflation, and monetary policy, and an inflation surprise could require monetary policy to tighten faster than anticipated, inducing to a sudden decompression of term and other risk premia, thus tightening financial conditions. This paper proposes a semi-structural dynamic term structure model augmented with macroeconomic factors to include cyclical dynamics with a focus on medium- to long-run forecasts. Our results clearly show that a macroeconomic approach is warranted: While term premium estimates are in line with those from other studies, we provide (i) plausible, stable estimates of expected long-term interest rates and (ii) forecasts of short- and long-term interest rates as well as cyclical macroeconomic variables that are stunningly close to those generated from large-scale macroeconomic models.
Author : Ronald MacDonald
Publisher : Routledge
ISBN 13 : 1134838220
Total Pages : 334 pages
Book Rating : 4.1/5 (348 download)
Download or read book Exchange Rate Economics written by Ronald MacDonald and published by Routledge. This book was released on 2005 with total page 334 pages. Available in PDF, EPUB and Kindle. Book excerpt: ''In summary, the book is valuable as a textbook both at the advanced undergraduate level and at the graduate level. It is also very useful for the economist who wants to be brought up-to-date on theoretical and empirical research on exchange rate behaviour.'' ""Journal of International Economics""
Author : Iva Petrova
Publisher : International Monetary Fund
ISBN 13 : 1455252859
Total Pages : 28 pages
Book Rating : 4.4/5 (552 download)
Download or read book Determinants of Emerging Market Sovereign Bond Spreads written by Iva Petrova and published by International Monetary Fund. This book was released on 2010-12-01 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper analyses the determimants of emerging market sovereign bond spreads by examining the short and long-run effects of fundamental (macroeconomic) and temporary (financial market) factors on these spreads. During the current global financial and economic crisis, sovereign bond spreads widened dramatically for both developed and emerging market economies. This deterioration has widely been attributed to rapidly growing public debts and balance sheet risks. Our results indicate that in the long run, fundamentals are significant determinants of emerging market sovereign bond spreads, while in the short run, financial volatility is a more important determinant of sperads than fundamentals indicators.
Author : Carl Chiarella
Publisher : Routledge
ISBN 13 : 1135984506
Total Pages : 513 pages
Book Rating : 4.1/5 (359 download)
Download or read book Financial Markets and the Macroeconomy written by Carl Chiarella and published by Routledge. This book was released on 2009-06-02 with total page 513 pages. Available in PDF, EPUB and Kindle. Book excerpt: This important new book from a group of Keynesian, but nonetheless technically-oriented economists explores one of the dominant paradigms in financial economics: the ‘intertemporal general equilibrium approach’.
Author : Barry J. Eichengreen
Publisher : MIT Press
ISBN 13 : 9780262550598
Total Pages : 396 pages
Book Rating : 4.5/5 (55 download)
Download or read book Capital Flows and Crises written by Barry J. Eichengreen and published by MIT Press. This book was released on 2004 with total page 396 pages. Available in PDF, EPUB and Kindle. Book excerpt: An analysis of the connections between capital flows and financial crises as well as between capital flows and economic growth.
Author : John Caramichael
Publisher : International Monetary Fund
ISBN 13 : 1513579010
Total Pages : 34 pages
Book Rating : 4.5/5 (135 download)
Download or read book U.S. Dollar Currency Premium in Corporate Bonds written by John Caramichael and published by International Monetary Fund. This book was released on 2021-07-12 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt: We isolate a U.S. dollar currency premium by comparing corporate bonds issued in the dollar and the euro by firms o utside t he U .S. a nd e uro a rea. We make s everal empirical observations that dissect the perceived advantage of borrowing in the dollar. First, while the dollar dominates global debt issuance, borrowing costs in the dollar are more expensive without a currency hedge and about the same with a currency hedge when compared to the euro. This observed parity in currency-hedged corporate borrowing stands in contrast to the persistent deviation from covered interest parity in risk-free rates. Second, we observe a dollar safety premium in relative hedged borrowing costs, found in the subset of bonds with high credit ratings and short maturities, attributes similar to those of safe sovereigns. Finally, we find that firms flexibly adjust the currency mix of their debt issuance depending on the relative borrowing cost between dollar and euro debt. In sum, the disproportionate demand for U.S. dollar debt is reflected in higher issuance volumes that drive up the currency hedged dollar borrowing costs such that at the margin they equate to euro borrowing costs.
Author : Ms.Anastasia Guscina
Publisher : International Monetary Fund
ISBN 13 : 1498310680
Total Pages : 40 pages
Book Rating : 4.4/5 (983 download)
Download or read book First-Time International Bond Issuance—New Opportunities and Emerging Risks written by Ms.Anastasia Guscina and published by International Monetary Fund. This book was released on 2014-07-18 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: International bond issuance by debut issuers has risen in recent years. The uptick was a result of both demand and supply factors. The search for yield and demand for portfolio diversification have resulted in demand-driven easy financing conditions. At the same time, rising financing needs for many debut issuers, coupled with reduced access to concessional financing, relatively undeveloped domestic markets, and a favorable interest rate environment have made international bonds an attractive financing alternative for many countries. As bonds issued in the international markets are typically denominated in hard currencies, have large volumes and a bullet structure, exposure to exchange rate and refinancing risk has increased. Therefore, risk-mitigating policy actions are needed to prepare for redemption, support debt sustainability, and secure adequate debt management capacity.
Author : Gustavo Adler
Publisher : International Monetary Fund
ISBN 13 : 148433230X
Total Pages : 37 pages
Book Rating : 4.4/5 (843 download)
Download or read book The Cost of Foreign Exchange Intervention written by Gustavo Adler and published by International Monetary Fund. This book was released on 2016-04-12 with total page 37 pages. Available in PDF, EPUB and Kindle. Book excerpt: The accumulation of large foreign asset positions by many central banks through sustained foreign exchange (FX) intervention has raised questions about its associated fiscal costs. This paper clarifies conceptual issues regarding how to measure these costs both from an ex-post and an ex-ante (relevant for decision making) perspective, and estimates both marginal and total costs for 73 countries over the period 2002-13. We find ex-ante marginal costs for the median emerging market economy (EME) in the inter-quartile range of 2-5.5 percent per year; while ex-ante total costs (of sustaining FX positions) in the range of 0.2-0.7 percent of GDP per year for light interveners and 0.3-1.2 percent of GDP per year for heavy interveners. These estimates indicate that fiscal costs of sustained FX intervention (via expanding central bank balance sheets) are not negligible.
Author : Mahmood Pradhan
Publisher : International Monetary Fund
ISBN 13 : 1463935129
Total Pages : 45 pages
Book Rating : 4.4/5 (639 download)
Download or read book Policy Responses to Capital Flows in Emerging Markets written by Mahmood Pradhan and published by International Monetary Fund. This book was released on 2011-04-20 with total page 45 pages. Available in PDF, EPUB and Kindle. Book excerpt: Staff Discussion Notes showcase the latest policy-related analysis and research being developed by individual IMF staff and are published to elicit comment and to further debate. These papers are generally brief and written in nontechnical language, and so are aimed at a broad audience interested in economic policy issues. This Web-only series replaced Staff Position Notes in January 2011.
Author : Damir Filipovic
Publisher : Springer Science & Business Media
ISBN 13 : 3540680152
Total Pages : 259 pages
Book Rating : 4.5/5 (46 download)
Download or read book Term-Structure Models written by Damir Filipovic and published by Springer Science & Business Media. This book was released on 2009-07-28 with total page 259 pages. Available in PDF, EPUB and Kindle. Book excerpt: Changing interest rates constitute one of the major risk sources for banks, insurance companies, and other financial institutions. Modeling the term-structure movements of interest rates is a challenging task. This volume gives an introduction to the mathematics of term-structure models in continuous time. It includes practical aspects for fixed-income markets such as day-count conventions, duration of coupon-paying bonds and yield curve construction; arbitrage theory; short-rate models; the Heath-Jarrow-Morton methodology; consistent term-structure parametrizations; affine diffusion processes and option pricing with Fourier transform; LIBOR market models; and credit risk. The focus is on a mathematically straightforward but rigorous development of the theory. Students, researchers and practitioners will find this volume very useful. Each chapter ends with a set of exercises, that provides source for homework and exam questions. Readers are expected to be familiar with elementary Itô calculus, basic probability theory, and real and complex analysis.
