Log in

Relevant bibliographies by topics / Sovereign bond markets / Dissertations / Theses

To see the other types of publications on this topic, follow the link: Sovereign bond markets.

Dissertations / Theses on the topic 'Sovereign bond markets'

Author: Grafiati

Published: 4 June 2021

Last updated: 13 February 2022

Create a spot-on reference in APA, MLA, Chicago, Harvard, and other styles

Select a source type:

Consult the top 30 dissertations / theses for your research on the topic 'Sovereign bond markets.'

Next to every source in the list of references, there is an 'Add to bibliography' button. Press on it, and we will generate automatically the bibliographic reference to the chosen work in the citation style you need: APA, MLA, Harvard, Chicago, Vancouver, etc.

You can also download the full text of the academic publication as pdf and read online its abstract whenever available in the metadata.

Browse dissertations / theses on a wide variety of disciplines and organise your bibliography correctly.

1

Sigaux, Jean-David. "Essays on Sovereign Bond Markets." Thesis, Université Paris-Saclay (ComUE), 2017. http://www.theses.fr/2017SACLH005/document.

Full text

Abstract:

Dans le premier chapitre, j'examine si les vendeurs à découvert sont mieux informés à propos des enchères d'obligation souveraines que le marché. Je trouve, en moyenne, une forte augmentation de la demande de vente à découvert avant les enchères. Néanmoins, la demande de vente à découvert ne prédit pas une augmentation future du rendement. Les vendeurs à découvert ne sont donc pas mieux informés sur le résultat des enchères et n'interprètent pas mieux que le marché.Dans le second chapitre, je développe et teste un modèle expliquant la baisse graduelle des prix observée dans les jours qui condu

APA, Harvard, Vancouver, ISO, and other styles

2

Sun, Zhuowei. "Essays on sovereign bond markets." Thesis, Queen's University Belfast, 2016. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.709846.

Full text

Abstract:

This thesis contains a number of in-depth studies of the two largest sovereign bond markets in the world - The U.S. Treasury market and the European sovereign bond market. It examines aspects of the development of these important markets over recent decades when fundamental technological changes are prevalent. There is heightened competition between different trading platforms and regulators seek more transparency. While technology improves many aspects of liquidity and transparency, it also increases network externalities that have some negative consequences during the 2007-2009 financial cri

APA, Harvard, Vancouver, ISO, and other styles

3

Schumacher, Julian. "Enforcement in sovereign debt markets." Doctoral thesis, Humboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät, 2015. http://dx.doi.org/10.18452/17388.

Full text

Abstract:

Die Arbeit befasst sich mit ökonomischen Effekten der rechtlichen Durchsetzung von Staatsschulden. Die Literatur nimmt weitgehend an, dass diese größtenteils irrelevant sind. Die Dissertation präsentiert neu erstellte Datensätze über Anlegerklagen in den USA und UK, und verbindet diese mit Finanzmarktdaten. Die zentralen Ergebnisse sind: (1) Staatsschuldenkrisen sind zunehmend begleitet von Anlegerklagen, wenn auch die Zahl gering ist. Klagen sind wahrscheinlicher wenn Regierungen hohe Verluste auf ihre Gläubiger abwälzen. Sie können zudem signifikante Kosten durch die Versperrung des Finanzma

APA, Harvard, Vancouver, ISO, and other styles

4

Mirghaemi, M. "Bayesian learning in financial markets : economic news and high-frequency European sovereign bond markets." Thesis, University College London (University of London), 2012. http://discovery.ucl.ac.uk/1344061/.

Full text

APA, Harvard, Vancouver, ISO, and other styles

5

Badaoui, Saad. "Sovereign default and liquidity risks in the bond and CDS markets." Thesis, Imperial College London, 2013. http://hdl.handle.net/10044/1/10686.

Full text

Abstract:

This thesis focuses on the different liquidity issues specific to the sovereign Credit Default Swap (CDS) market. As a first step, we present an empirical study of the pricing effect of liquidity and systematic liquidity risk in the sovereign CDS spreads. We do find a large evidence that the risk premium priced above the sovereign default risk is mainly driven by both bond and CDS liquidity risk, which implies that liquidity plays an important role in CDS spread movements. Secondly, we use a factor model in order to decompose sovereign CDS spreads into default risk, liquidity and correlation c

APA, Harvard, Vancouver, ISO, and other styles

6

Urban, Jörg [Verfasser], and M. [Akademischer Betreuer] Schienle. "Credit risk contagion and arbitrage: Evidence from sovereign bond and credit default swap markets / Jörg Urban ; Betreuer: M. Schienle." Karlsruhe : KIT-Bibliothek, 2017. http://d-nb.info/1138708674/34.

Full text

APA, Harvard, Vancouver, ISO, and other styles

7

Izadi, Selma. "Two Essays in Finance and Economics: “Investment Opportunities in Commodity and Stock Markets for G7 Countries” And “Global and Local Factors Affecting Sovereign Yield Spreads”." ScholarWorks@UNO, 2015. http://scholarworks.uno.edu/td/2087.

Full text

Abstract:

In chapter 1, I investigate the return links and dynamic conditional correlations between the equity and commodity returns for G7 countries from 2000:01 to 2014:10. The commodity futures include BCOM Index which contains the futures and spot price of 22 commodities, Brent and Crude oil futures, gold and silver futures, Wheat, Corn and Soybean futures and CRB index. The finding indicates that during the full sample period GOLD, WHEAT and CORN have the smallest dynamic conditional correlations with all the Equity indexes. In addition, the correlations between the GOLD/Equity pairs are negative d

APA, Harvard, Vancouver, ISO, and other styles

8

Balima, Weneyam Hippolyte. "Essays on economic policies and economy of financial markets in developing and emerging countries." Thesis, Université Clermont Auvergne‎ (2017-2020), 2017. http://www.theses.fr/2017CLFAD024/document.

Full text

Abstract:

Cette thèse s'intéresse aux questions d'accès aux marchés financiers dans les économies émergentes et en développement. La première partie donne un aperçu général des conséquences macroéconomiques de l'un des régimes de politique monétaire le plus favorable au marché - le ciblage d'inflation - en utilisant le cadre d'analyse de la méta-analyse. La deuxième partie analyse le risque et la stabilité des marchés obligataires des États. La troisième et dernière partie examine les effets disciplinaires résultant de la participation aux marchés obligataires souverains. Plusieurs résultats émergent. A

APA, Harvard, Vancouver, ISO, and other styles

9

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.

Full text

Abstract:

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

APA, Harvard, Vancouver, ISO, and other styles

10

Ferraz, Flávia Coelho Branco Junqueira. "Análise dos determinantes dos spreads soberanos dos países emergentes." reponame:Repositório Institucional do FGV, 2011. http://hdl.handle.net/10438/9770.

Full text

Abstract:

Submitted by Flávia Coelho Branco Junqueira Ferraz (fla_ferraz@hotmail.com) on 2011-10-11T19:18:35Z No. of bitstreams: 1 Dissertacao_Versao_Final_Flavia_Ferraz_2011_PDF.pdf: 402008 bytes, checksum: 1a3fe2225f59266cad2f3a3d5bfd1554 (MD5)<br>Approved for entry into archive by Vitor Souza (vitor.souza@fgv.br) on 2011-11-17T19:21:57Z (GMT) No. of bitstreams: 1 Dissertacao_Versao_Final_Flavia_Ferraz_2011_PDF.pdf: 402008 bytes, checksum: 1a3fe2225f59266cad2f3a3d5bfd1554 (MD5)<br>Made available in DSpace on 2012-05-09T19:38:43Z (GMT). No. of bitstreams: 1 Dissertacao_Versao_Final_Flavia_Ferraz_2

APA, Harvard, Vancouver, ISO, and other styles

11

Cooke, Christopher. "Is Free Riding affecting Market Discipline in the Euro Sovereign Bond Market?" Thesis, London Metropolitan University, 2009. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.515327.

Full text

Abstract:

The aim of this research is to investigate how the failure of the members of the EMU to uphold the goals of the Stability and Growth Pact (SGP) has affected the Euro sovereign bond markets and its ability to enforce market discipline. To date 7 of the 11 member states of the Euro zone have violated the principles of this pact, and yet the bond market has shown little appetite to punish those with high deficits and national debts. The danger going forward is that each country will find ways to justify growing fiscal deficits, contented in the knowledge that there will be no formal pressure from

APA, Harvard, Vancouver, ISO, and other styles

12

Sambalaibat, Batchimeg. "Essays in Financial Economics: Currency Risk and Pricing Kernal Volatility, CDS and Sovereign Bond Market Liquidity, CDS as Sovereign Debt Collateral." Research Showcase @ CMU, 2014. http://repository.cmu.edu/dissertations/351.

Full text

Abstract:

Essay 1: CDS and Sovereign Bond Market Liquidity During the recent debt crisis in Europe, policy makers responded to the controversy surrounding CDS by implementing a series of policies that banned CDS trading. I use these bans as quasi-natural experiments to identify how derivative markets affect liquidity of the underlying cash market. I document that a temporary CDS ban increased bond market liquidity but a permanent ban instead decreased bond market liquidity. To explain these patterns, I build a dynamic search-theoretic model of over-the-counter bond and CDS markets that features an endog

APA, Harvard, Vancouver, ISO, and other styles

13

Beirão, José Diogo Gaivão de Melo. "Sovereign spreads, monetary and fiscal policy events : evidence for EU." Master's thesis, Instituto Superior de Economia e Gestão, 2014. http://hdl.handle.net/10400.5/7846.

Full text

Abstract:

Mestrado em Economia Monetária e Financeira<br>Este estudo oferece uma análise empírica sobre o impacto da comunicação de política económica conduzida pelo BCE e a Comissão Europeia no mercado de títulos de divida soberana. Com este objetivo, foram recolhidas noticias relacionadas com a política monetária e orçamental desde do início do Euro até 2013. Os resultados do estudo mostram que os spreads dos títulos de divida soberana refletem três tipos de risco, risco de crédito através da atividade económica e competitividade, risco de liquidez e risco internacional. Os eventos de política monetár

APA, Harvard, Vancouver, ISO, and other styles

14

Machač, Erik. "Atraktivita českých státních dluhopisů pro zahraniční investory." Master's thesis, Vysoká škola ekonomická v Praze, 2010. http://www.nusl.cz/ntk/nusl-15437.

Full text

Abstract:

Thesis deals with the attraction of Czech government bonds from the perspective of foreign investors in relation with the current economic development in CEE region, and further in the rest of the world. Analysis is targeted to issue of the Czech government bonds in turn of 2009 and 2010. After the analysis and description of foreign investors representing huge part of the entire demand for the Czech government bonds on the domestic and foreign markets the paper further covers individual pros and cons of the instrument. The empirical analysis is conducted as the comparison of the yields and ri

APA, Harvard, Vancouver, ISO, and other styles

15

BRITO, JEFFERSON GOMES DE. "THE SOVEREIGN ISSUANCE S IMPACT ON THE LIQUIDITY OF BRAZILIAN CORPORATE BONDS ISSUED IN THE INTERNATIONAL MARKET." PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 2015. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=25424@1.

Full text

Abstract:

PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO<br>Muitos pesquisadores acreditam haver relação entre os mercados de dívida externa soberana e corporativa. Esta idéia é corroborada pela observação em países desenvolvidos, cujos mercados de títulos privados são frequentemente acompanhados de ativa negociação e emissão de títulos do governo. A literatura acadêmica sobre o tema sugere que títulos soberanos possuem um papel de referência para a determinação do valor dos ativos corporativos. Em um contexto de mercado favorável para o Brasil, caracterizado pela obtenção do grau de investimento e

APA, Harvard, Vancouver, ISO, and other styles

16

Du, Wenxin. "Essays in International Finance." Thesis, Harvard University, 2013. http://dissertations.umi.com/gsas.harvard:10902.

Full text

Abstract:

This dissertation consists of three essays in international finance. The first two essays study emerging market sovereign risk with a focus on local currency denominated sovereign bonds. The third essay examines econometric tools for robust inference in the presence of missing observations, an issue frequently encountered by researchers in international finance.<br>Economics

APA, Harvard, Vancouver, ISO, and other styles

17

Oosterlinck, Kim. "Sovereign debts in trouble times." Doctoral thesis, Universite Libre de Bruxelles, 2003. http://hdl.handle.net/2013/ULB-DIPOT:oai:dipot.ulb.ac.be:2013/211300.

Full text

APA, Harvard, Vancouver, ISO, and other styles

18

Moazzin, Ghassan. "Networks of capital : German bankers and the financial internationalisation of China (1885-1919)." Thesis, University of Cambridge, 2017. https://www.repository.cam.ac.uk/handle/1810/267734.

Full text

Abstract:

This dissertation examines the hitherto neglected role foreign, and specifically German, bankers played in the Chinese economy and the history of modern economic globalisation in China during the late 19th and early 20th centuries. By following the history of the German Deutsch-Asiatische Bank (DAB) during the last two decades of the Qing dynasty and the first years of the Chinese republic, this dissertation shows how the interaction between foreign bankers and Chinese officials, bankers and entrepreneurs led to the rapid internationalisation of Chinese finance, both in terms of public finance

APA, Harvard, Vancouver, ISO, and other styles

19

Berg, Florian. "Extra-Financial Risk Factors and the Cost of Debt." Thesis, Paris Sciences et Lettres (ComUE), 2016. http://www.theses.fr/2016PSLED030/document.

Full text

Abstract:

Cette thèse a pour ambition d’analyser si la performance environnementale, sociale et de gouvernance (ESG) est intégrée par les marchés de la dette d'entreprise et souveraine. Le premier chapitre se concentre sur les informations ESG publiés à contenu négatif et leur impact négatif sur le coût de la dette. Plus exactement, dans les secteurs industriels et utilitaires les événements négatifs sociaux et de gouvernance font augmenter le coût de la dette. Également, un bon niveau général de performance ESG agit comme un mécanisme d'assurance contre ces événements négatifs. Dans un deuxième chapitr

APA, Harvard, Vancouver, ISO, and other styles

20

Sawadogo, Pegdéwendé Nestor. "Fiscal policy and financing for development in developing countries." Thesis, Université Clermont Auvergne‎ (2017-2020), 2020. http://www.theses.fr/2020CLFAD007.

Full text

Abstract:

Cette thèse se pose la question de savoir comment la politique budgétaire pourrait être utilisée à des fins de financement du développement. Elle identifie et explore les canaux par lesquels les pays en développement peuvent efficacement mobiliser les ressources (internes et externes) pour le financement du développement. Pour cela, nous conduisons des recherches axées sur les politiques économiques (en utilisant des outils statistiques et économétriques appropriés) et nous formulons des recommandations de politiques économiques aux pays en développement. La première partie de cette thèse s’in

APA, Harvard, Vancouver, ISO, and other styles

21

Ho, PeiTzu, and 何培慈. "The Dynamic Relation Between Credit Default Swaps And Sovereign Bond Markets." Thesis, 2012. http://ndltd.ncl.edu.tw/handle/48563846427337569254.

Full text

Abstract:

碩士<br>東海大學<br>財務金融學系<br>100<br>This paper analyzes the dynamic interrelation between sovereign bond and their associated credit default swaps (CDS) among PIIGS by the ADCC-MGARCH model, and by that time the investors’ emotion are in a high mood and in panic, the impact on the markets, and researches the relationships of credit and liquidity spread between CDS and sovereign bond markets by the VAR methodology. The results as following: There is a positive feedback relationship between CDS and bond markets. And CDS plays an important role in price-return and information spillover. As investors a

APA, Harvard, Vancouver, ISO, and other styles

22

Vieira, Tiago Alexandre Rodrigues de Sousa. "Forecasting sovereign bonds markets using machine learning: forecasting the portuguese government bond using machine learning approach." Master's thesis, 2021. http://hdl.handle.net/10362/112036.

Full text

Abstract:

Dissertation presented as the partial requirement for obtaining a Master's degree in Statistics and Information Management, specialization in Risk Analysis and Management<br>Financial markets, due to their non-linear, volatile and complex nature turn any type of forecasting into a difficult task, as the classical statistical methods are no longer adequate. Many factors exist that can influence the government bonds yields and how these bonds behave. The consequence of the behaviour of these bonds are extended over geographies and individuals. As the financial markets grow bigger, more inve

APA, Harvard, Vancouver, ISO, and other styles

23

Moniz, Ana Carlota Bicoito Vargas. "I just ran 24.000 regressions: evidence on financial contagion in the Euro Area." Master's thesis, 2021. http://hdl.handle.net/10362/121892.

Full text

Abstract:

Using daily data from 2002-2020, this study tests for contagion in the Eurozone using a binary stress indicator for extreme occurrences of sovereign bond yields. Contagion is evaluated by the significance of a country’s stress indicator in explaining other countries’ stress periods, controlling for push and pull factors in order to disentangle contagion from interdependence, and following Sala-i-Martin (1997) to obtain robust results. We find evidence of contagion, albeit diverging from the well-documented Eurozone core-periphery dichotomy, with relationships normutual nor exclusive. We find

APA, Harvard, Vancouver, ISO, and other styles

24

Guerreiro, Pedro Gustavo Campaniço da Palma. "Measuring divergence/convergence within the Economic and Monetary Union." Master's thesis, 2015. http://hdl.handle.net/10071/11828.

Full text

Abstract:

JEL no: F36, F45<br>The Economic and Monetary Union was an advance stage towards a complete integration across European countries. We are interested in understand to what extent the common currency has contributed to strengthen the co-movement between Euro area countries. Ehrmann et al.(2011) study convergence by looking at the sovereign bond markets. The authors consider the four Eurozone largest economies, for three different maturities and using high-frequency data. This dissertation extends their research through an updated dataset. As expected we obtain the exact same results for t

APA, Harvard, Vancouver, ISO, and other styles

25

Walsh, James P. "An empirical analysis of contagion in sovereign debt markets /." 2001. http://gateway.proquest.com/openurl?url_ver=Z39.88-2004&res_dat=xri:pqdiss&rft_val_fmt=info:ofi/fmt:kev:mtx:dissertation&rft_dat=xri:pqdiss:3019975.

Full text

APA, Harvard, Vancouver, ISO, and other styles

26

Barcinski, Alexandre. "Credit spreads on the secondary market of sovereign bonds of emerging market countries /." 2001. http://gateway.proquest.com/openurl?url_ver=Z39.88-2004&res_dat=xri:pqdiss&rft_val_fmt=info:ofi/fmt:kev:mtx:dissertation&rft_dat=xri:pqdiss:3029472.

Full text

APA, Harvard, Vancouver, ISO, and other styles

27

Kuo, Yi-Chun, and 郭怡君. "The Linkage Effect between European Sovereign Debt Crisis and European Government Bond Market." Thesis, 2013. http://ndltd.ncl.edu.tw/handle/08328155846839470648.

Full text

Abstract:

碩士<br>國立臺灣大學<br>經濟學研究所<br>101<br>This paper examines linkages between government bond markets of 7 European countries (United Kingdom, Germany, France, Portugal, Italy, Spain and Ireland) by using the vector autoregression (VAR) model, granger causality test and impulse response function during the European sovereign debt crisis period from 15 February 2011 to 13 February 2013. The empirical results show that there are significant linkage effects between United Kingdom, Germany and France and between Portugal, Italy, Spain and Ireland. But the linkage effects between the two groups are not sig

APA, Harvard, Vancouver, ISO, and other styles

28

Silva, Ana Maria Caria da. "The determinants of the portuguese sovereign debt spread." Master's thesis, 2015. http://hdl.handle.net/10071/11282.

Full text

Abstract:

Classificação: G15, E62<br>Esta dissertação consiste numa análise mensal da evolução das yields de obrigações emitidas, a 10 anos, pela Republica Portuguesa, comparativamente aos títulos, com a mesma maturidade, suportados pelo Governo Alemão. Através deste estudo pretendemos identificar os principais determinantes, e analisar a evolução, dos juros da divida Portuguesa durante o período Janeiro de 2007 a Dezembro de 2014. Factores de risco específico e agregado são ambos importantes para um estudo explicativo da evolução das yields associadas à divida soberana do estado Português. No entanto,

APA, Harvard, Vancouver, ISO, and other styles

29

Jia-WeiHuang and 黃家維. "The dynamic relationship between sovereign bonds and credit default swaps markets under high and low volatility states." Thesis, 2015. http://ndltd.ncl.edu.tw/handle/27954479300338743180.

Full text

Abstract:

碩士<br>國立成功大學<br>財務金融研究所<br>103<br>This investigation is intended to examine the dynamic relationship between sovereign bonds and CDS markets under high and low volatility states using the Markov-switching vector error correction model (MS-VECM). Four countries in mature markets, including the U.S., the U.K., Germany and France, are selected as the main research sample in this study, and three countries in emerging markets, including China, Mexico and South Africa, are also selected, and their empirical results are also reported in this study. The empirical results of this study are shown as fo

APA, Harvard, Vancouver, ISO, and other styles

30

Ho, Yin-Ju, and 何殷如. "International Linkage of Government Bond Market in the Euro Area and the Driving Forces in the European Sovereign Debt Crisis." Thesis, 2011. http://ndltd.ncl.edu.tw/handle/97255034026395376709.

Full text

Abstract:

碩士<br>國立臺灣大學<br>經濟學研究所<br>100<br>Abstract The main objective of this paper is to examine the international linkages of the government bond market in the euro area as well as the driving forces behind the European sovereign debt crisis during the period from 2008 to 2010. First of all, short- and long-term government bond interest rates in the euro area countries are used to investigate the causal relationships based on the straightforward Granger non-causality procedure developed by Toda and Yamamoto (1995) from 1999, the beginning of the implementation of Monetary Union, to October 2010. Our

APA, Harvard, Vancouver, ISO, and other styles

We offer discounts on all premium plans for authors whose works are included in thematic literature selections. Contact us to get a unique promo code!