Relevant bibliographies by topics / Government bond yield spreads

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Academic literature on the topic 'Government bond yield spreads'

Author: Grafiati
Published: 4 June 2021
Last updated: 2 February 2022

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Journal articles on the topic "Government bond yield spreads"

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Priyo Adiwibowo and Pardomuan Sihombing. "DETERMINANT OF GOVERNMENT BOND YIELDS." Dinasti International Journal of Digital Business Management 1, no. 1 (2020): 86–99. http://dx.doi.org/10.31933/dijdbm.v1i1.85.

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This study aims to analyze the influence of determinant factors: (i) exchange rates, (ii) inflation, (iii) CDS spreads, (iv) bid-ask spreads, (v) overnight rate, (vi) CB’s rate (Central Bank Rate), and (vii) oil prices on Government bond yields. The data used are monthly data in the period 2012 - 2018. The research method used is the Vector Auto Regression (VAR) approach. Our analysis indicated that the determinant factors have impact on government bond yields. Based on the analysis of the impulse response function (IRF), the yield is to respond to any shocks given by the long term. While thro
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Lukić, Velimir. "Integration of Government Bond Market in the Euro Area and Monetary Policy." Journal of Central Banking Theory and Practice 5, no. 1 (2016): 71–97. http://dx.doi.org/10.1515/jcbtp-2016-0004.

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Abstract This paper combines analysis of evolution in euro area government bond market integration and interference of European Central Bank with functioning of respective market recently. Since the introduction of euro, government bond yields converged in the euro area, bonds of different countries have become close substitutes in the perception of investors, and overall integration of the market was rather high. At the end of 2008, dramatic shift occurred and ever since disintegrative forces were set in motion. The paper presents the following measures of integration of the government bond m
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Codogno, L., C. Favero, and A. Missale. "Yield spreads on EMU government bonds." Economic Policy 18, no. 37 (2003): 503–32. http://dx.doi.org/10.1111/1468-0327.00114_1.

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Heryan, Tomas, and Jan Ziegelbauer. "Volatility of yields of government bonds among GIIPS countries during the sovereign debt crisis in the euro area." Equilibrium 11, no. 1 (2016): 61. http://dx.doi.org/10.12775/equil.2016.003.

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The aim of the paper is to estimate, how the volatility of yields of the Greek bonds affects yields’ volatilities of bonds in selected European countries during the period of the sovereign debt crisis in the euro area. We obtained data for 10-year bonds in a weekly frequency from January 2006 till the end of December 2014. To make a comparison of pre-crisis period, we firstly investigate a bond yields’ volatility before 15th September 2008, when U.S. Leman Brothers bankrupted and the global financial crisis had been reflected in full. However, the period of the global financial crisis could al
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Wagner, Niklas. "Autoregressive conditional tail behavior and results on Government bond yield spreads." International Review of Financial Analysis 14, no. 2 (2005): 247–61. http://dx.doi.org/10.1016/j.irfa.2004.06.013.

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Craig, Karen Ann, and Brandy Hadley. "Political sensitivity and government oversight in the US corporate bond market: evidence from federal contractors." Corporate Governance: The International Journal of Business in Society 20, no. 7 (2020): 1173–89. http://dx.doi.org/10.1108/cg-07-2019-0217.

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Purpose This paper aims to investigate the political cost hypothesis and the effects of political sensitivity-induced governance in the US bond market by using yield spreads from bonds issued by a diverse sample of US government contractors. Design/methodology/approach Fixed effects regression analysis is used to test the relation between the political sensitivity of government contractor firms and their cost of debt. Findings Results illustrated that government contractors with greater political sensitivity are associated with larger yield spreads, indicating that bondholders require a premiu
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Saar, Dan, and Yossi Yagil. "Predicting Growth Components – Unemployment, Housing Prices and Consumption Using Both Government and Corporate Yield Curves." International Journal of Economics and Finance 10, no. 6 (2018): 180. http://dx.doi.org/10.5539/ijef.v10n6p180.

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In this study, we predict changes in specific segments of economic growth including the unemployment rate, the housing prices and changes in personal consumption by employing corporate and government bonds. Our hypothesis is that the use of yield curves of corporate bonds will improve the predictions over previous models that used only the yield curves of government bonds. Our results support that contention. We find that corporate bonds’ spreads actually help predicting the changes in both the unemployment rate and housing prices. We also find a significant positive relationship between bond
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Na, HyunJun. "Customer concentration types and public debt contracts." Review of Accounting and Finance 19, no. 2 (2020): 247–69. http://dx.doi.org/10.1108/raf-05-2019-0107.

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Purpose This paper aims to examine how a firm’s customer concentration, which is the amount of sales between a supplier firm and the major customers, affects corporate bond contracts. This study also investigates how the types of customer concentration have a significant impact on bond contracts. Design/methodology/approach The research uses the Compustat’s segment customer database and the Mergent fixed income securities database, which provides details about publicly offered US bond issues and issuers. The sample also includes the US Congressional committees’ data from the 96th to 115th cong
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Basci, Esref Savas. "Yield Spreads on Government Benchmark Bonds: Cross Country Evidence." Procedia Economics and Finance 30 (2015): 57–67. http://dx.doi.org/10.1016/s2212-5671(15)01255-1.

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Mitkova, Veronika, and Vladimír Mlynarovič. "Investment Opportunities Identification Based on Macroeconomic Development, the Multiple Criteria Decision Approach." Symmetry 11, no. 6 (2019): 827. http://dx.doi.org/10.3390/sym11060827.

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The aim of this work is to develop a “learning model” which outranks countries according to their confrontation of historical macroeconomic indicators for a given period of time with the spreads at the end of that time and to formulate a forward-looking investment strategy regarding government bonds for the following time period. The mechanism of identifying investment opportunities among government bonds is based on the multiple criteria decision making technique, and we look to the Promethee II method as a symmetry approach to country ordering. The spread is defined as the difference between
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Dissertations / Theses on the topic "Government bond yield spreads"

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LO, CONTE RICCARDO. "Government Bond Yield Spreads." Doctoral thesis, Università Cattolica del Sacro Cuore, 2009. http://hdl.handle.net/10280/639.

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Il presente lavoro raccoglie 4 contributi sul tema dei differenziali sui tassi di interesse esistenti tra i membri dell'unione monetaria europea.<br>I investigate the determinants of sovereign yield spreads in EMU.
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Abreu, Francisco Trigueiros Sampaio Farto e. "Government bond yield spreads in EMU countries: the story of an ephemeral convergence." Master's thesis, NSBE - UNL, 2014. http://hdl.handle.net/10362/11530.

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A Work Project, presented as part of the requirements for the Award of a Masters Degree in Economics from the NOVA – School of Business and Economics<br>The inception of the European Monetary Union appeared to have accomplished the yields’ convergence goal of Maastricht. Suddenly however, spreads against Germany started escalating towards the values of the early nineties. Through the usage of a fixed-effects Arellano-Bond dynamic panel estimation, this thesis tries to discern the role of liquidity and fiscal fundamentals in determining yield differentials for ten EMU countries. While markets t
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Rosa, João Daniel Esteves. "Determinants of the Portuguese government bond yield spread." Master's thesis, NSBE - UNL, 2014. http://hdl.handle.net/10362/11711.

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A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics<br>This paper seeks to find out the determinants of the 10 year Portuguese government bond yield spread for the period between the January of 2010 and December of 2012. Fundamental factors (debt ratio and government balance in % of GDP) and contagion effects are the main drivers behind the surge of the yield spread during the first two years of the sample. Liquidity risk (measured by the bid-ask spread) and the size of the banking system are also
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Wilkinson, Carter J. "Do Public Pensions Affect City Borrowing Costs? The Impact of Local Government Pension Contributions on Municipal Debt Yield Spreads." Scholarship @ Claremont, 2014. http://scholarship.claremont.edu/cmc_theses/973.

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This paper utilizes a sample of 6,185 locally-issued, general obligation municipal bonds to examine the relationship between a city’s cumulative pension contributions and its cost of borrowing. Following the Great Recession unfunded public pension liabilities have soared to record highs, which, in theory, represent additional credit risks and may hinder local governments’ ability to service their outstanding debt. After controlling for bond characteristics, bond ratings, and issuer characteristics, the empirical analysis finds a statistically significant correlation between pension costs and b
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Shevchuk, Yuliya. "The determinants of sovereign bond yield spreads in the EMU." Master's thesis, Instituto Superior de Economia e Gestão, 2019. http://hdl.handle.net/10400.5/18804.

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Mestrado em Economia Monetária e Financeira<br>Um conjunto de dados de painel de países da área do euro foi utilizado para avaliar os determinantes dos spreads de rentabilidade de títulos soberanos do primeiro trimestre de 1995 ao último trimestre de 2017. No período anterior à crise financeira, os spreads foram determinados principalmente pela dívida esperada em relação ao PIB, fator de risco de crédito e crescimento econômico. Com a erupção da crise financeira, a análise sugere que os mercados começaram a levar em consideração mais fundamentos para determinar o preço dos spreads, como risco
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Ågren, Gustaf, and Isak Roth. "Yield Spreads and Covenants : is there a negative relationship?" Thesis, Uppsala universitet, Företagsekonomiska institutionen, 2015. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-255975.

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Research concerning covenants has at large not examined what quantifiable relationship covenants have with yield spreads. We shed light on this topic as we evaluate Swedish bond indentures. By examining the relationship between covenants and yield spread, our results indicate whether covenants effectively mitigate the bondholder-stockholder conflict. The results from our OLS-model indicate that the poison put option and covenants restricting dividends and mergers have a positive relationship with the yield spread, and that the negative pledge has a negative relationship with the yield spread.
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Víťazka, Peter. "CAPITAL MARKET INTEGRATION Evaluation and Measurement: Sovereign Bond Market." Master's thesis, Vysoká škola ekonomická v Praze, 2013. http://www.nusl.cz/ntk/nusl-165972.

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The paper focuses on capital market integration at sovereign bond market in eleven selected euro zone countries (Austria, Belgium, Finland, France, Germany, Greece, Ireland, Italy, Netherlands, Portugal, and Spain). The first main objective is to test the degree of capital market integration before and after the crisis using Germany as a benchmark country and also among them as well. Secondly it evaluates and provides reasons of capital integration in time. The examination is applied through i) sigma convergence ii) yield spreads iii) correlation matrix iv) cointegration tests. I found almost
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Kalantari, Arian. "Government yield spread determinants in the eurozone and the effect of the European debt crisis." Thesis, KTH, Skolan för industriell teknik och management (ITM), 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-264178.

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The inception of the economic and monetary union (EMU) in January 1999 created new conditions for government debt. By eliminating currency exchange rate risk between the member states, the hope was to achieve a more sustainable and integrated government debt market in the euro area. Even though we witnessed relative stability for several years, the financial turmoil starting in 2008 and more so the European government debt crisis starting in late 2009 led to higher and more volatile yield differentials between the member states. This thesis explores the European government bond market to find
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Bethke, Sebastian [Verfasser], Alexander [Gutachter] Kempf, and Thomas [Gutachter] Hartmann-Wendels. "Essays on the Determinants of Corporate Bond Yield Spreads / Sebastian Bethke ; Gutachter: Alexander Kempf, Thomas Hartmann-Wendels." Köln : Universitäts- und Stadtbibliothek Köln, 2016. http://d-nb.info/1124132465/34.

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Renne, Jean-Paul. "Regime switching in bond yield and spread dynamics." Thesis, Paris 9, 2013. http://www.theses.fr/2013PA090038/document.

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Cette thèse développe différents modèles à changements de régimes de la structure par terme des taux d'intérêt. Un cadre général de modélisation des taux associés à différents émetteurs y est présenté (chapitre 2). Ce cadre est exploité afin d’analyser les taux d’État de dix pays de la zone euro entre 1999 et 2012 (chapitre 3). Un régime de crise permet d’expliquer l’accroissement de la volatilité des taux pendant la crise financière. Cette étude montre en outre que la liquidité des titres est déterminante pour leur valorisation. Le cadre de modélisation est complété afin d’étudier le lien de
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Books on the topic "Government bond yield spreads"

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Chan-Lau, Jorge A. Corporate bond risk and real activity: An empirical analysis of yield spreads and their systematic components. International Monetary Fund, International Capital Markets Department, 2001.

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Ariff, Mohamed. Handbook of Asian sovereign bond markets: Yield & risk. Universiti Putra Malaysia Press, 2013.

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Regan, Patrick M. A Perceptual Approach to Quality Peace. Oxford University Press, 2018. http://dx.doi.org/10.1093/oso/9780190680121.003.0003.

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This chapter tackles the problem of finding data-derived indicators to measure the quality of peace, versus a definition of peace simply as the absence of war. Conceptually, peace is seen as an equilibrium condition where resort to violence is minimal and where the highest quality of peace exists when the idea of armed violence approaches the unthinkable. The author draws upon the early work of Quincy Wright and Kenneth Boulding and progresses from there, establishing first their definitions of and conditions for peace. To put his theories to work, he introduces two proxy indicators: black mar
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Book chapters on the topic "Government bond yield spreads"

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Consoli, Sergio, Luca Tiozzo Pezzoli, and Elisa Tosetti. "Using the GDELT Dataset to Analyse the Italian Sovereign Bond Market." In Machine Learning, Optimization, and Data Science. Springer International Publishing, 2020. http://dx.doi.org/10.1007/978-3-030-64583-0_18.

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AbstractThe Global Data on Events, Location, and Tone (GDELT) is a real time large scale database of global human society for open research which monitors worlds broadcast, print, and web news, creating a free open platform for computing on the entire world’s media. In this work, we first describe a data crawler, which collects metadata of the GDELT database in real-time and stores them in a big data management system based on Elasticsearch, a popular and efficient search engine relying on the Lucene library. Then, by exploiting and engineering the detailed information of each news encoded in GDELT, we build indicators capturing investor’s emotions which are useful to analyse the sovereign bond market in Italy. By using regression analysis and by exploiting the power of Gradient Boosting models from machine learning, we find that the features extracted from GDELT improve the forecast of country government yield spread, relative that of a baseline regression where only conventional regressors are included. The improvement in the fitting is particularly relevant during the period government crisis in May-December 2018.
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Boffelli, Simona, and Giovanni Urga. "Evaluating Correlations in European Government Bond Spreads." In Mathematical and Statistical Methods for Actuarial Sciences and Finance. Springer International Publishing, 2014. http://dx.doi.org/10.1007/978-3-319-05014-0_8.

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Berger, Verena Anna. "Simulation of government bond spread increase." In Impact of Government Bonds Spreads on Credit Derivatives. Springer Fachmedien Wiesbaden, 2017. http://dx.doi.org/10.1007/978-3-658-20219-4_4.

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Fabozzi, Frank J., and Steven V. Mann. "Bond Analytics: Spot Rates, Forward Rates, Yield Spreads, and Valuation." In The Theory and Practice of Investment Management. John Wiley & Sons, Inc., 2011. http://dx.doi.org/10.1002/9781118267028.ch18.

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Hofmann, Roland. "Fiscal Federalism and Sub-national Bond Yield Spreads: The Swiss Case." In Global Encyclopedia of Public Administration, Public Policy, and Governance. Springer International Publishing, 2020. http://dx.doi.org/10.1007/978-3-319-31816-5_3927-1.

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Szarowská, Irena. "Importance of Fiscal Fundamentals for Sovereign Risk Spread." In Regaining Global Stability After the Financial Crisis. IGI Global, 2018. http://dx.doi.org/10.4018/978-1-5225-4026-7.ch007.

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The chapter examines the importance of fiscal fundamentals for sovereign risk spread in the period of 1995-2015, and its goal is to test whether stronger fiscal discipline reduces sovereign risk premiums. The empirical evidence is based on unbalanced annual panel data of 15 EU countries (its time span is divided into a pre-crisis and a post-crisis period). The study applies the generalized method of moments. Evidence shows that before the financial crisis, investors generally ignored bond risk factors in individual countries, but that the spreads sharply diverged starting from the year 2008. The results confirm a statistically significant impact of fiscal fundamentals on government bond yield spread. The improvement of the governments' fiscal position reduces sovereign yield spread. In a post-crisis period, findings report the raising of the importance of fiscal variables for spread, and GDP growth became a major determinant of government bond yield spreads, followed by the budget balance and debt development.
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Dialynas, Chris P., and David H. Edington. "Bond Yield Spreads:." In Streetwise. Princeton University Press, 2021. http://dx.doi.org/10.2307/j.ctv1mjqtwg.39.

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Dialynas, Chris P., and David H. Edington. "Bond Yield Spreads: A Postmodern View (Fall 1992)." In Streetwise. Princeton University Press, 1998. http://dx.doi.org/10.1515/9781400829408-037.

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"Approaches to Government Bond Trading and Yield Analysis1." In An Introduction to Bond Markets. John Wiley & Sons, Inc., 2015. http://dx.doi.org/10.1002/9781118371961.ch13.

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Diebold, Francis X., and Glenn D. Rudebusch. "Extensions." In Yield Curve Modeling and Forecasting. Princeton University Press, 2013. http://dx.doi.org/10.23943/princeton/9780691146805.003.0004.

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This chapter highlights aspects of the vibrant ongoing research program associated with the ideas developed in earlier chapters. It begins with a collage-style sketch of work involving Bayesian analysis, functional form for factor loadings, term structures of credit spreads, and nonlinearities. It then discusses in greater detail the incorporation of more than three yield factors. Next, it treats stochastic volatility in both dynamic Nelson–Siegel model (DNS) and arbitrage-free DNS (AFNS) environments, with some attention to the issue of unspanned stochastic volatility. Finally, it discusses the incorporation of macroeconomic fundamentals in their relation to bond yields. It also introduces aspects of modeling real versus nominal yields in DNS/AFNS environments, a theme treated in detail in Chapter 5.
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Conference papers on the topic "Government bond yield spreads"

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Ruihui, Pu, Chou I-Wen, and Siriwimon Wisutsakchai. "An analysis of Stock Price, Earning Yield and Long-term Government Bond Yield in Thailand." In International Conference on Economics and Management Innovations (ICEMI). Volkson Press, 2017. http://dx.doi.org/10.26480/icemi.01.2017.194.195.

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Zhou, Zikang, Qiangjin Zhang, and Heng Yang. "Analyzing Effects of Monetary Policy Change on Government Bond Yield Curve in Exchange by Using GRNN." In 2009 Fifth International Conference on Natural Computation. IEEE, 2009. http://dx.doi.org/10.1109/icnc.2009.366.

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"Analysing the impact of the component parts of the government bond yield on commercial real estate." In 21st Annual European Real Estate Society Conference. ERES, 2014. http://dx.doi.org/10.15396/eres2014_174.

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Reports on the topic "Government bond yield spreads"

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Bordo, Michael, and John Duca. How the New Fed Municipal Bond Facility Capped Muni-Treasury Yield Spreads in the Covid-19 Recession. National Bureau of Economic Research, 2021. http://dx.doi.org/10.3386/w28437.

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Guibaud, Stéphane, Yves Nosbusch, and Dimitri Vayanos. Bond Market Clienteles, the Yield Curve, and the Optimal Maturity Structure of Government Debt. National Bureau of Economic Research, 2013. http://dx.doi.org/10.3386/w18922.

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