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Journal articles on the topic 'Sovereign bond markets'

Author: Grafiati

Published: 4 June 2021

Last updated: 13 February 2022

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1

Dunne, Peter G. "Positive Liquidity Spillovers from Sovereign Bond-Backed Securities." Journal of Risk and Financial Management 12, no. 2 (2019): 58. http://dx.doi.org/10.3390/jrfm12020058.

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This paper contributes to the debate concerning the benefits and disadvantages of introducing a European Sovereign Bond-Backed Securitisation (SBBS) to address the need for a common safe asset that would break destabilising bank-sovereign linkages. The analysis focuses on assessing the effectiveness of hedges incurred while making markets in individual euro area sovereign bonds by taking offsetting positions in one or more of the SBBS tranches. Tranche yields are estimated using a simulation approach. This involves the generation of sovereign defaults and allocation of the combined credit risk

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2

Saadaoui, Amir, and Mohamed Kriaa. "Sovereign Credit_Rating Disclose and Bond Liquidity under Sovereign Debt Crisis." Business and Management Research 8, no. 2 (2019): 1. http://dx.doi.org/10.5430/bmr.v8n2p1.

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This study examines the effect of the informational content of local credit rating announcements in emerging markets on the liquidity of their bond markets. We analyze the bond liquidity markets across five countries such as Poland, Greece, Spain, Hungary and Turkey. The sample includes daily data about sovereign bonds over the period ranging from July 2009 to January 2014.We mainly focus on the period before and after the sovereign debt crisis. We note that the bond liquidity is affected due to the sign of the rating granted by the rating agencies for each country.

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3

Raja, Zubair Ali, William J. Procasky, and Renee Oyotode-Adebile. "The Relative Role of Sovereign CDS and Bond Markets in Efficiently Pricing Emerging Market Sovereign Credit Risk." Journal of Emerging Market Finance 19, no. 3 (2020): 296–325. http://dx.doi.org/10.1177/0972652720932772.

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Extant literature reports mixed findings on the relative efficiency of credit default swaps (CDS) and bond markets in pricing emerging market sovereign credit risk. Using a more comprehensive data set than analyzed earlier, we reexamine this issue and find that CDS dominate bonds in the price discovery of this risk, an advantage we attribute to the greater relative liquidity of that market. One exception is during the financial crisis, suggesting that when panic hits, sovereign markets price credit risk differently. However, even then, the CDS market has a greater impact on price discovery tha

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Jurkšas, Linas, Deimantė Teresienė, and Rasa Kanapickiene. "Liquidity risk: Intraday liquidity and price spillovers in euro area sovereign bond markets." Risk Governance and Control: Financial Markets and Institutions 11, no. 2 (2021): 18–31. http://dx.doi.org/10.22495/rgcv11i2p2.

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The purpose of this paper is to determine the cross-market liquidity and price spillover effects across euro area sovereign bond markets. The analysis is carried out with the constructed minute frequency order-book dataset from 2011 until 2018. This derived dataset covers the six largest euro area markets for benchmark 10-year sovereign bonds. To estimate the cross-market spillover effect between sovereign bonds, it was decided to use the empirical approach proposed by Diebold and Yilmaz (2012) and combine it with the vector error correction model (VECM). We also employed the panel regression

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Morsy, Hanan, Eman Moustafa, Tiguene Nabassaga, and Mustafa Yenice. "Investor Herding and Spillovers in African Debt Markets." AEA Papers and Proceedings 111 (May 1, 2021): 607–10. http://dx.doi.org/10.1257/pandp.20211118.

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Using high-frequency data for sovereign long-term bond yields and five-year credit default swap spreads, we estimate a regression model to identify a nonlinear link between cross-section deviation of market yield and extreme movements in African markets and other regions. Results indicate that African sovereign bonds have been subject to herding. International investors tend to lump African sovereign bonds into one asset class, pricing risk based on regional market performance instead of individual countries' performance. More over, we find evidence of herding spillovers from other regions. Af

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6

Jurksas, Linas, Deimante Teresiene, and Rasa Kanapickiene. "Liquidity Spill-Overs in Sovereign Bond Market: An Intra-Day Study of Trade Shocks in Calm and Stressful Market Conditions." Economies 9, no. 1 (2021): 35. http://dx.doi.org/10.3390/economies9010035.

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The purpose of this paper is to determine the liquidity spillover effects of trades executed in European sovereign bond markets and to assess the driving factors behind the magnitude of the spill-overs between different markets. The one minute-frequency limit order-book dataset is constructed from mid-2011 until end-2017 for sovereign bonds from the six largest euro area countries. It is used for the event study and panel regression model. The event study results revealed that liquidity spill-over effects of trades exist and vary highly across different order types, direction and size of the t

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7

Jurksas, Linas. "What Factors Shape the Liquidity Levels of Euro Area Sovereign Bonds?" Open Economics 1, no. 1 (2018): 154–66. http://dx.doi.org/10.1515/openec-2018-0009.

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Abstract The purpose of this paper is to determine the factors that shape the liquidity levels of euro area sovereign bonds. The values of liquidity measure and explanatory variables were calculated from the limitorder book dataset for almost five hundred bonds from six largest euro area sovereign bond markets. The created variables were used in a cross-sectional regression model. The results revealed that characteristics of sovereign bonds are indeed highly linked with bond liquidity levels, and these effects become even stronger during the regimes of lower market liquidity. Contrary to the s

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8

Chaieb, Ines, Vihang Errunza, and Rajna Gibson Brandon. "Measuring Sovereign Bond Market Integration." Review of Financial Studies 33, no. 8 (2019): 3446–91. http://dx.doi.org/10.1093/rfs/hhz107.

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Abstract We find that the degree and dynamics of sovereign bond market integration across 21 developed and 18 emerging countries is significantly heterogeneous. We show that better spanning can significantly enhance market integration through dissipating local risk premiums. Integration of the sovereign bond markets increases by about 10% on average, when a country moves from the 25th to the 75th percentile as a result of higher political stability and credit quality, lower inflation and inflation risk, and lower illiquidity. The 10% increase in integration leads to, on average, a decrease in

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9

Pereira, Inês Prates, and Sérgio Lagoa. "Flight-to-quality and contagion in the European sovereign debt crisis." Journal of Financial Economic Policy 11, no. 2 (2019): 193–217. http://dx.doi.org/10.1108/jfep-03-2018-0048.

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Purpose The purpose of this paper is to analyze the co-movements between the Portuguese, Greek, Irish and German government bond markets after the subprime crisis (2007 to 2013), with a special focus on the European sovereign debt crisis. It aims to assess the existence of contagion between the Portuguese, Greece and Irish bond markets and to explore the phenomenon of flight-to-quality from the Portuguese and Greek bond markets to the German market. Design/methodology/approach The analysis is undertaken using a DCC-GARCH model with daily data for 10-year yield government bonds. The change in c

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10

Nienhaus, Volker, and Abdullah Karatas. "Market perceptions of liquid sovereign Sukūk: a new asset class?" International Journal of Islamic and Middle Eastern Finance and Management 9, no. 1 (2016): 87–108. http://dx.doi.org/10.1108/imefm-03-2015-0027.

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Purpose This paper aims to explore whether the market perceives liquid international sovereign sukūk as distinct from comparable bonds and as an asset class of their own that could shield investors against turbulences in the bond markets. Design/methodology/approach If sukūk and bonds belong to the same asset class, then basically the same supply and demand factors determine inverstors’ activities in both markets. This should lead to matching patterns of yield curves for sukūk and bonds comparable in terms of issuers, maturity, currency, size, liquidity and rating. Only a rough analysis of hol

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11

De Pooter, Michiel, Robert F. Martin, and Seth Pruitt. "The Liquidity Effects of Official Bond Market Intervention." Journal of Financial and Quantitative Analysis 53, no. 1 (2018): 243–68. http://dx.doi.org/10.1017/s0022109017000898.

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To “ensure depth and liquidity,” the European Central Bank intervened in sovereign debt markets through its Securities Markets Programme (SMP), providing a unique opportunity to estimate the effects of large-scale asset purchases on sovereign bond liquidity premia. From reduced-form estimates, we find robust, economically significant impact and lasting reductions in sovereign bonds’ liquidity premia in response to official purchases. We develop a search-based asset-pricing model to understand our empirical results. The theory implies that bond liquidity premia fall in response to both official

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12

Ebeke, Christian, and Annette Kyobe. "Global Financial Spillovers to Emerging Market Sovereign Bond Markets." IMF Working Papers 15, no. 141 (2015): 1. http://dx.doi.org/10.5089/9781513552750.001.

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13

Ahwireng-Obeng, Asabea Shirley, and Frederick Ahwireng-Obeng. "Macroeconomic determinants of sovereign bond market development in African emerging economies." International Journal of Emerging Markets 15, no. 4 (2019): 651–69. http://dx.doi.org/10.1108/ijoem-07-2018-0400.

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Purpose Despite being a viable source of funds, African sovereign bond markets are relatively underexplored. The empirical literature fails to consider the impact of exclusively macroeconomic factors and the volatile contexts in which African markets operate. The purpose of this paper is to fill the vacuum by proposing a context-sensitive theoretical framework. The study targets, specifically, macroeconomic factors and assesses the extent to which they affect bond market development. Design/methodology/approach Using panel data on sovereign bond markets from 26 African economies, the study ext

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14

Andritzky, Jochen, and Julian Schumacher. "Long-Term Returns in Distressed Sovereign Bond Markets." IMF Working Papers 19, no. 138 (2019): 1. http://dx.doi.org/10.5089/9781498317375.001.

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Sovereign debt restructurings are perceived as inflicting large losses to bondholders. However, many bonds feature high coupons and often exhibit strong post-crisis recoveries. To account for these aspects, we analyze the long-term returns of sovereign bonds during 32 crises since 1998, taking into account losses from bond exchanges as well as profits before and after such events. We show that the average excess return over risk-free rates in crises with debt restructuring is not significantly lower than the return on bonds in crises without restructuring. Returns differ considerably depending

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15

Tampakoudis, Ioannis. "Sovereign Credit Default Swap and Bond markets." International Journal of Monetary Economics and Finance 11, no. 1 (2018): 1. http://dx.doi.org/10.1504/ijmef.2018.10012280.

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16

Zunino, Luciano, Aurelio Fernández Bariviera, M. Belén Guercio, Lisana B. Martinez, and Osvaldo A. Rosso. "On the efficiency of sovereign bond markets." Physica A: Statistical Mechanics and its Applications 391, no. 18 (2012): 4342–49. http://dx.doi.org/10.1016/j.physa.2012.04.009.

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17

González-Sánchez, Mariano. "Causality in the EMU sovereign bond markets." Finance Research Letters 26 (September 2018): 281–90. http://dx.doi.org/10.1016/j.frl.2018.02.020.

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18

Jaworski, Piotr, Kamil Liberadzki, and Marcin Liberadzki. "CONTAGION AND DIVERGENCE ON SOVEREIGN BOND MARKETS." Copernican Journal of Finance & Accounting 6, no. 4 (2018): 39. http://dx.doi.org/10.12775/cjfa.2017.022.

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19

Dunne, Peter G. "Transparency proposals for European sovereign bond markets." Journal of Financial Regulation and Compliance 15, no. 2 (2007): 186–98. http://dx.doi.org/10.1108/13581980710744075.

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20

Fernández-Rodríguez, Fernando, Marta Gómez-Puig, and Simón Sosvilla-Rivero. "Volatility spillovers in EMU sovereign bond markets." International Review of Economics & Finance 39 (September 2015): 337–52. http://dx.doi.org/10.1016/j.iref.2015.07.001.

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21

Nguyen, Ngan Bich. "The Price Discovery Mechanism between Sovereign Bond and Sovereign CDS Market: Studies in Selected Countries." Asian Journal of Finance & Accounting 9, no. 2 (2017): 270. http://dx.doi.org/10.5296/ajfa.v9i2.11636.

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This paper employs the multivariate VAR model to examine the mechanic work of price discovery process between sovereign CDS market and the associated sovereign bond market in contexts of five European and Asian countries, including Vietnam, Korea, Portugal, Italy and France from the beginning of 2008 to the end of April, 2017. The study accentuates on three aspects: the short-term interaction nexus between the sovereign CDS and the associated-sovereign bond market, the long-term co-movement between them and the discovery of which market plays the leading role in the pricing process. The result

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22

Lee, Hei Wai, Yan Alice Xie, and Jot Yau. "The impact of sovereign risk on bond duration: Evidence from Asian sovereign bond markets." International Review of Economics & Finance 20, no. 3 (2011): 441–51. http://dx.doi.org/10.1016/j.iref.2010.11.020.

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23

Aguiar, Mark, Manuel Amador, Hugo Hopenhayn, and Iván Werning. "Take the Short Route: Equilibrium Default and Debt Maturity." Econometrica 87, no. 2 (2019): 423–62. http://dx.doi.org/10.3982/ecta14806.

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We study the interactions between sovereign debt default and maturity choice in a setting with limited commitment for repayment as well as future debt issuances. Our main finding is that, under a wide range of conditions, the sovereign should, as long as default is not preferable, remain passive in long‐term bond markets, making payments and retiring long‐term bonds as they mature but never actively issuing or buying back such bonds. The only active debt‐management margin is the short‐term bond market. We show that any attempt to manipulate the existing maturity profile of outstanding long‐ter

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24

Ortobelli Lozza, Sergio, Filomena Petronio, and Sebastiano Vitali. "Price and market risk reduction for bond portfolio selection in BRICS markets." Investment Management and Financial Innovations 15, no. 1 (2018): 120–31. http://dx.doi.org/10.21511/imfi.15(1).2018.11.

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This paper focuses on classical portfolio strategies applied to five countries, which are Brazil, Russia, India, China and South Africa. These five countries form the so-called BRICS group. In particular, the authors investigate their corporate and sovereign bond market and evaluate whether these markets can represent a profitable investment for non-satiable and risk-averse investors. Two-step optimization is proposed to control price risk and market risk. For price risk management, classical immunization strategies and are obtained funds of bond are obtained that share the same risk measure.

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25

Alexandre, Paulo, Rui Dias, and Paula Heliodoro. "EUROPEAN FINANCIAL MARKET INTEGRATION: A CLOSER LOOK AT GOVERNMENT BONDS IN EUROZONE COUNTRIES." Balkans Journal of Emerging Trends in Social Sciences 3, no. 1 (2020): 78–86. http://dx.doi.org/10.31410/balkans.jetss.2020.3.1.78-86.

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This research aims to test the interdependencies between the Eurozone, US and Japanese debt markets, through the yields of 10-year sovereign bonds. The sample covers the period from 2002:01 to 2019:07. The analysis aims to provide answers to two questions: Has the global financial crisis accentuated the interdependencies in the Eurozone debt markets? If yes, how did it influence the movements in sovereign bond yields? The results suggest that the global financial crisis did not accentuate the levels of interdependence between the main Euro zone debt markets. In addition, the results suggest th

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Jeanneret, Alexandre. "The Dynamics of Sovereign Credit Risk." Journal of Financial and Quantitative Analysis 50, no. 5 (2015): 963–85. http://dx.doi.org/10.1017/s002210901500040x.

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AbstractThis article proposes a structural model for sovereign credit risk with endogenous sovereign debt and default policies. A maximum-likelihood estimation of the model with local stock market prices generates daily model-implied sovereign spreads. This approach explains two-thirds of the daily variation in observed sovereign spreads for emerging and European economies over the 2000–2011 period. Global factors help to further explain the time variation in sovereign credit risk. In particular, sovereign spreads in emerging markets vary with U.S. market uncertainty, whereas European spreads

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27

Thazhugal Govindan Nair, Saji. "Sovereign credit ratings and bond yield spreads in emerging markets." Journal of Financial Economic Policy 12, no. 2 (2019): 263–77. http://dx.doi.org/10.1108/jfep-04-2019-0068.

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Purpose This paper, using the model suggested by Cantor and Pecker (1996), aims to explore the relations between sovereign ratings and bond yield spreads in emerging markets. Design/methodology/approach The ordinary least square regression procedure administered on the most recent sovereign ratings of 46 countries demonstrates how the macroeconomic information embody in the sovereign rating scores predict their bond yield spreads relative to the yield on US Treasury bond. Findings The research finds that the assigned rating scores do not herald the complete elites of the macroeconomic conditio

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Agur, Itai, Melissa Chan, Mangal Goswami, and Sunil Sharma. "On International Integration of Emerging Sovereign Bond Markets." IMF Working Papers 18, no. 18 (2018): 1. http://dx.doi.org/10.5089/9781484338667.001.

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29

Dajcman, Silvo. "Nonlinear spillovers between euro area sovereign bond markets." Economics & Sociology 8, no. 1 (2015): 28–40. http://dx.doi.org/10.14254/2071-789x.2015/8-1/3.

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30

Agur, Itai, Melissa Chan, Mangal Goswami, and Sunil Sharma. "On international integration of emerging sovereign bond markets." Emerging Markets Review 38 (March 2019): 347–63. http://dx.doi.org/10.1016/j.ememar.2018.11.006.

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31

Grittersová, Jana. "Foreign banks and sovereign credit ratings: Reputational capital in sovereign debt markets." European Journal of International Relations 26, no. 1 (2019): 33–61. http://dx.doi.org/10.1177/1354066119846267.

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Sovereign credit ratings importantly influence the borrowing costs of governments in international capital markets. Yet, there is limited understanding of how credit-rating agencies determine sovereign bond ratings. I provide theoretical justification and empirical evidence to support the proposition that a substantial presence of established global banks, acting as foreign direct investors, enhances the perceived creditworthiness of the host countries that have weak domestic institutions. Foreign banks can render the host countries’ commitments to make good on their debt obligations more cred

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32

della Paolera, Gerardo, and Alan M. Taylor. "Sovereign debt in Latin America, 1820-1913." Revista de Historia Económica / Journal of Iberian and Latin American Economic History 31, no. 2 (2013): 173–217. http://dx.doi.org/10.1017/s0212610913000128.

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ABSTRACTThis paper examines sovereign lending to Latin America and the Caribbean from 1820 to 1913. We examine four waves of capital flows where defaults were followed by a return to market access. In spite of extended default, countries kept promising high returns that attracted international investors again and again: financial autarky thus gave way to eras of high integration to global markets as measured by sovereign risk pricing. We discuss imperfections of the sovereign debt institutional context in the region and discuss a menu of options that some countries used to seek funds in the gl

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33

Dajcman, Silvo. "Asymmetric correlation of sovereign bond yield dynamics in the Eurozone." Panoeconomicus 60, no. 6 (2013): 775–89. http://dx.doi.org/10.2298/pan1306775d.

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This paper examines the symmetry of correlation of sovereign bond yield dynamics between eight Eurozone countries (Austria, Belgium, France, Germany, Ireland, Italy, Portugal, and Spain) in the period from January 3, 2000 to August 31, 2011. Asymmetry of correlation is investigated pair-wise by applying the test of Yongmiao Hong, Jun Tu, and Guofu Zhou (2007). Whereas the test of Hong, Tu, and Zhou (2007) is static, the present paper provides also a dynamic version of the test and identifies time periods when the correlation of Eurozone sovereign bond yield dynamics became asymmetric. We ident

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34

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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35

Kregzde, Arvydas, and Gediminas Murauskas. "ANALYSIS OF LITHUANIAN CREDIT DEFAULT SWAPS." Journal of Business Economics and Management 16, no. 5 (2015): 916–30. http://dx.doi.org/10.3846/16111699.2014.890130.

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This paper studies international sovereign Credit Default Swaps (CDS) market focusing attention to the CDS of Central and East Europe. The main purpose of the study was to perform detail analysis of Lithuanian CDS in the global capital market. We compared the CDS markets of other countries and found some commonalities between them. We study the credit curve produced by CDS and volatility of CDS. A great attention is paid to investigate the relationship of CDS and the government bond market. Analysis of finding a leading role of CDS and the bond markets in the price discovering process is made.

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Saadaoui, Amir, Kais Saidi, and Mohamed Kriaa. "Transmission of shocks between bond and oil markets." Managerial Finance 46, no. 10 (2020): 1231–46. http://dx.doi.org/10.1108/mf-11-2019-0554.

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PurposeThis paper aims at looking into the transmission of shocks between bond and oil markets using a bivariate GARCH (BEKK and DCC) model. As lots of financial assets have been exchanged due to these index returns, it is essential for financial market participants to figure out the mechanism of volatility transmission through time and via these series for the purpose of taking optimal decisions of portfolio allocation. The outcomes drawn reveal an important volatility transmission between sovereign bond and oil indices, with great sensitivity during and after the subprime crisis period.Desig

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37

Kalteier, Eva-Maria, Stephan Molt, Tristan Nguyen, and Peter N. Posch. "Value-based assessment of sovereign risk." Qualitative Research in Financial Markets 6, no. 2 (2014): 157–72. http://dx.doi.org/10.1108/qrfm-12-2012-0033.

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Purpose – The purpose of this paper is to introduce a methodology to evaluate sovereign risk. Hereby, a value-based approach using different market measures is introduced. Design/methodology/approach – This study’s approach aims to provide a value-based assessment of sovereign risk, combining market measures from government bond, credit derivatives and other markets as well as economic indicators. Findings – The study finds that the assessment of sovereign risk is only possible when using information from different markets and adjusting according to the information included in these measures.

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Kinateder, Harald, Robert Bauer, and Niklas Wagner. "DRIVERS OF ILLIQUIDITY IN THE ASEAN SOVEREIGN BOND MARKET." Buletin Ekonomi Moneter dan Perbankan 23, no. 4 (2020): 501–24. http://dx.doi.org/10.21098/bemp.v23i4.1453.

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We study illiquidity in ASEAN-5 sovereign bond markets from 2008 to 2019 by using an illiquidity measure, which is based on a proxy of the amount of arbitrage capital available in sovereign bond markets. Our analysis identifies three drivers of illiquidity in Singapore, namely economic policy uncertainty, the default spread and the GDP growth rate. In contrast, liquidity of all other markets is mostly not characterized by economic drivers. It appears that overall liquidity is lower in the markets outside Singapore and therefore deviations in these yield curves are higher on average and arbitra

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Rehman, Seema, and Jameel Ahmed Khilji. "Why bond market couldn’t thrive in Pakistan." International Journal of Accounting and Economics Studies 5, no. 1 (2017): 33. http://dx.doi.org/10.14419/ijaes.v5i1.6501.

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Fixed income market has recently emerged in Pakistan. Onward 1990, prolusion of government securities paved a way for corporates to come forward with their debt papers and long term yield curve came in to existence by introducing FIB’s in 1992 followed by issuance of first Term Finance Certificates (TFC) in 1995. The TFCs’ coupon rate exhibits a wide range of different fixed and floating coupons related to numerous interest rates containing the discount rate, the Karachi Inter-bank Offer Rate (KIBOR) and Pakistan Investment Bond (PIB) rates. The SBP launched electronic trading platform for fix

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40

Manov*, Ann. "Shooing the vultures? The case for investment treaty protection of sovereign debt." Arbitration International 37, no. 1 (2021): 325–53. http://dx.doi.org/10.1093/arbint/aiaa048.

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Abstract This essay identifies a doctrinal trend away from subject-matter jurisdiction for sovereign debt in investment treaty arbitration: prominent voices have espoused the view that sovereign debt is not an ‘investment’ and therefore not protected. It rebuts that notion, making the first normative case for why sovereign bond protections advance international investment law’s goal of development. Combining the credible commitment model and efficient market hypothesis with empirical research on sovereign debt markets, it argues that by allowing high-risk, emerging-market countries to credibly

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Coppola, Andrea, Alessandro Girardi, and Gustavo Piga. "OVERCROWDING VERSUS LIQUIDITY IN THE EURO SOVEREIGN BOND MARKETS." International Journal of Finance & Economics 18, no. 4 (2012): 307–18. http://dx.doi.org/10.1002/ijfe.1454.

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42

Wehinger, Gert. "Sovereign Debt Challenges for Banking Systems and Bond Markets." OECD Journal: Financial Market Trends 2010, no. 2 (2011): 1–34. http://dx.doi.org/10.1787/fmt-2010-5kgk9qpp5bg5.

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43

De Santis, Roberto A., and Michael Stein. "Financial indicators signaling correlation changes in sovereign bond markets." Journal of Banking & Finance 56 (July 2015): 86–102. http://dx.doi.org/10.1016/j.jbankfin.2015.02.018.

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44

Dylan McGee, Christopher. "Sovereign bond markets with political risk and moral hazard." International Review of Economics & Finance 16, no. 2 (2007): 186–201. http://dx.doi.org/10.1016/j.iref.2005.03.002.

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45

Ahmad, Wasim, Anil V. Mishra, and Kevin J. Daly. "Financial connectedness of BRICS and global sovereign bond markets." Emerging Markets Review 37 (December 2018): 1–16. http://dx.doi.org/10.1016/j.ememar.2018.02.006.

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46

Schaeffer, Ian, and Miguel D. Ramirez. "Is there a Long-Term Relationship among European Sovereign Bond Yields?" Business and Economic Research 7, no. 1 (2017): 68. http://dx.doi.org/10.5296/ber.v7i1.10863.

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The integration of financial markets has been a recurring theme in academic and financial research. The majority of the literature has focused on equity markets. Literature on the integration of international bond markets is not as common, specifically regarding that of European bonds since the beginning of the common currency area in 1999.This paper estimates a fixed effects pooled model and then proceeds to undertake panel unit root and cointegration tests to determine the degree of co-movement of European sovereign bond yields. The reported estimates suggest that yields move together over t

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de Jong, Marielle, and Hongwen Wu. "Fundamental indexation for bond markets." Journal of Risk Finance 15, no. 3 (2014): 264–74. http://dx.doi.org/10.1108/jrf-05-2014-0060.

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Purpose – The purpose of this paper is to build alternative indices weighing using a measure of fundamental value rather than debt size. The official bond indices built to reflect general price trends are market weighted, meaning that the bonds are weighted by their debt size. The more indebted, the more weight in the index, which mechanically increments the investment risks that are inherent. Those market indices are shown to be return-to-risk inefficient in recent studies compared to indices with alternative weighting schemes. The authors contribute to this growing literature, which mostly f

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Layher, Nicoletta, and Eyden Samunderu. "The Impact of the Introduction of Uniform European Collective Action Clauses on European Government Bonds as a Regulatory Result of the European Sovereign Debt Crisis." Journal of Risk and Financial Management 14, no. 1 (2020): 1. http://dx.doi.org/10.3390/jrfm14010001.

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This paper conducts an empirical study on the inclusion of uniform European Collective Action Clauses (CACs) in sovereign bond contracts issued from member states of the European Union, introduced as a regulatory result of the European sovereign debt crisis. The study focuses on the reaction of sovereign bond yields from European Union member states with the inclusion of the new regulation in the European Union. A two-stage least squares regression analysis is adopted in order to determine the extent of impact effects of CACs on member states sovereign bond yields. Evidence is found that CACs

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Vukovic, Darko B., Edin Hanic, and Hasan Hanic. "Financial integration in the European Union - the impact of the crisis on the bond market." Equilibrium 12, no. 2 (2017): 195. http://dx.doi.org/10.24136/eq.v12i2.10.

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Research background: In our paper we have analyzed the influence of the crisis on the financial integration in the European Monetary Union. We have analyzed EMU capital market to show the impact of the crisis, with the focus on the bonds market. The determinants of the research are yields and standard deviations on medium-term and long-term triple-A bond markets, as well as CDS medium-term premiums. Purpose of the article: The aim of this paper is to show the volatility of researched deter-minants in periods of crisis in EMU zones.Methods: As a model we used a modified theoretical CAL portfoli

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Mihm, Benedikt. "Mispricing of Risk in Sovereign Bond Markets with Asymmetric Information." German Economic Review 17, no. 4 (2016): 491–511. http://dx.doi.org/10.1111/geer.12068.

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Abstract The likelihood that a government will repay its sovereign debt depends both on the amount of debt it issues and on the government’s future ability to repay. Whilst the former is publicly observable, the government may have more information about the latter than investors. This paper shows that this asymmetric information problem impairs the market’s ability to differentiate economies according to their fiscal sustainability, and can lead to a disconnect between bond prices and default risk. The model can help rationalise the behaviour of Eurozone bond prices prior to the recent Europe

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