Literatura académica sobre el tema "Sovereign bond spreads"
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Artículos de revistas sobre el tema "Sovereign bond spreads"
Erlwein-Sayer, Christina. "Macroeconomic News Sentiment: Enhanced Risk Assessment for Sovereign Bonds". Risks 6, n.º 4 (7 de diciembre de 2018): 141. http://dx.doi.org/10.3390/risks6040141.
Texto completoThazhugal Govindan Nair, Saji. "Sovereign credit ratings and bond yield spreads in emerging markets". Journal of Financial Economic Policy 12, n.º 2 (25 de noviembre de 2019): 263–77. http://dx.doi.org/10.1108/jfep-04-2019-0068.
Texto completoJeanneret, Alexandre. "The Dynamics of Sovereign Credit Risk". Journal of Financial and Quantitative Analysis 50, n.º 5 (octubre de 2015): 963–85. http://dx.doi.org/10.1017/s002210901500040x.
Texto completoJuodžiukynienė, Greta. "The significance of country-specific and common risk factors for CEE government bond spreads changes". Ekonomika 95, n.º 1 (12 de abril de 2016): 84–111. http://dx.doi.org/10.15388/ekon.2016.1.9908.
Texto completoDocherty, Paul y Steve Easton. "State-varying illiquidity risk in sovereign bond spreads". Pacific-Basin Finance Journal 50 (septiembre de 2018): 235–48. http://dx.doi.org/10.1016/j.pacfin.2016.11.003.
Texto completoEichler, Stefan. "The political determinants of sovereign bond yield spreads". Journal of International Money and Finance 46 (septiembre de 2014): 82–103. http://dx.doi.org/10.1016/j.jimonfin.2014.04.003.
Texto completoPouzo, Demian y Ignacio Presno. "Sovereign Default Risk and Uncertainty Premia". American Economic Journal: Macroeconomics 8, n.º 3 (1 de julio de 2016): 230–66. http://dx.doi.org/10.1257/mac.20140337.
Texto completoLiu, Sha. "The Impact of Textual Sentiment on Sovereign Bond Yield Spreads: Evidence from the Eurozone Crisis". Multinational Finance Journal 18, n.º 3/4 (1 de diciembre de 2014): 215–48. http://dx.doi.org/10.17578/18-3/4-2.
Texto completoComelli, Fabio. "Emerging Market Sovereign Bond Spreads: Estimation and Back-testing". IMF Working Papers 12, n.º 212 (2012): 1. http://dx.doi.org/10.5089/9781475505627.001.
Texto completoGeorgoutsos, Dimitris A. y Petros M. Migiakis. "European sovereign bond spreads: financial integration and market conditions". Applied Financial Economics 23, n.º 20 (octubre de 2013): 1609–21. http://dx.doi.org/10.1080/09603107.2013.842637.
Texto completoTesis sobre el tema "Sovereign bond spreads"
Reis, Manuel Gerardo Belém Teles Roque dos. "Determinants of sovereign bond spreads in the EMU". Master's thesis, Instituto Superior de Economia e Gestão, 2015. http://hdl.handle.net/10400.5/10639.
Texto completoUma investigação empírica é apresentada sobre os determinantes das Obrigações do Tesouro de 11 estados-membro da UEM, vis-à-vis a Alemanha. Os determinantes dizem respeito às condições de crédito, liquidez, bem como a condições internacionais, e o objectivo é compreender se a determinação do preço é sensível ao país em questão, bem como ao tempo. É uma investigação que cobre o tempo de vida do Euro, até ao fim de 2014. As análises de painel e SUR, juntamente com variáveis qualitativas, confirmam que a avaliação da dívida Europeia não foi estática ao longo do tempo e foi sensível ao país em questão. Os participantes no mercado de Obrigações estão crescentemente conscientes dos fundamentais macro-económicos e orçamentais.
An empirical investigation is presented on the determinants of 10-year Sovereign bond yield spreads of 11 EMU member states, vis-à-vis Germany. The determinants cover credit, liquidity and international conditions and the goal is to understand if the pricing is country and time ?sensitive. It spans over the lifetime of the euro, up until the end of 2014. Panel and SUR analyses coupled with qualitative variables have confirmed the pricing of European debt has not been static across time and EMU countries. Market participants are increasingly aware of macro-economic and fiscal fundamentals.
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.
Texto completoUm 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 de liquidez e risco internacional. Concluiu-se também que existe uma diferença entre os determinantes do spread entre o grupo periferico e o grupo central.
A panel dataset of euro area countries was used to assess the determinants of sovereign bond yield spreads from first quarter of 1995 to the last quarter of 2017. In the period before the financial crisis, the government bond yield spreads were mostly determined by the expected debt to GDP, the credit risk factor and economic growth. With the eruption of the financial crisis, the analysis suggests that markets have started to take into consideration more fundamentals to determine the price of government bond yield spreads, such as liquidity risk and international risk. It was also concluded that there is a difference between the determinants of the government bond yield spread of core and periphery group.
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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.
Texto completoMACHADO, RENATA MORAES. "BRAZILIAN SOVEREIGN RATINGS: AN ANALYSIS ABOUT THE IMPACTS OF THEIR CHANGES ON C-BOND SPREADS". PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 2005. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=7384@1.
Texto completoSovereign rating can be defined as an assessment of the relative likelihood that a Government will default on its obligations. Although the first rating assigned to Brazil dates from 1986, the importance of sovereign rating increased as from 1994, by which time brady bonds were issued and begun to be actively traded. In theory, the role of credit rating would be to add new information to the market, and therefore, their analyses would influence market behaviour; however, several financial market observers have criticized them for just reacting to completely available information. This study therefore analyses the impacts of sovereign rating changes announcements on c-bond spreads. We analysed how c-bond spreads respond to the agencies´ announcements of changes in their sovereign risk assessments and our analyses indicate that the ratings changes do influence c-bond spreads, most significantly in downgrades events.
Silva, Paulo José Martins Jorge da. "Determinants of corporate risk using option-adjusted spreads : the case of Portugal". Master's thesis, Instituto Superior de Economia e Gestão, 2011. http://hdl.handle.net/10400.5/10215.
Texto completoEste estudo analisa os determinantes dos spreads de taxas de juro das obrigações de empresas no mercado obrigacionista português. A utilização da abordagem Option-Adjusted Spread ultrapassa as dificuldades na definição das emissões de dívida pública de referência para o cálculo dos spreads de taxa de juro e permite a comparação de obrigações com diferentes características. Os resultados do estudo sugerem que os indicadores das empresas que reflectem a gestão realizada, as características das obrigações, o risco soberano, as condições macroeconómicas do país e os efeitos externos, concorrem para a determinação dos níveis dos prémios de risco requeridos pelos investidores em obrigações de empresas. Os resultados obtidos apontam, também, para uma elevada dependência dos custos de financiamento do sector bancário local relativamente ao risco soberano e ao nível de endividamento público na economia.
This study analyses the determinants of corporate bond spreads in Portugal. Using an Option-Adjusted Spread (OAS) approach we overcome the difficulties of comparing bonds with different cash-flow characteristics. OAS considers credit risk and contingent cash-flow risks, which allows the determination of a contingent premium analysis based on the bond?s characteristics. Our findings suggest that corporate bond risk spreads are determined by firm specific factors, bond characteristics, sovereign risk, macroeconomic conditions and external variables. We also find evidence of high dependency of the banking industry implicit funding costs on the sovereign risk proxy variable and the ratio of Public Debt to GDP.
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.
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O objetivo deste trabalho é estimar os efeitos da crise financeira recente sobre os spreads dos títulos soberanos dos países emergentes. Os resultados corroboram a visão de que a atual crise financeira teve um impacto significativo sobre a percepção de risco dos países emergentes, elevando o prêmio de risco. A taxa de crescimento da economia, a taxa de câmbio real, as reservas internacionais, as dívidas interna e externa e o VIX também afetaram significativamente os spreads soberanos. Por fim, mostramos que a percepção de risco do Brasil foi menos afetada pela crise que nos demais países emergentes.
This study aims to estimate the effects of the recent economic crisis on the sovereign bonds spreads of emerging countries. The results support the view that the current financial crisis had a significant impact on the perception of emerging country risk, raising their risk premium. The economic growth rate, real exchange rate, international reserves, domestic and foreign debt and VIX also significantly affected the sovereign spreads. In addition, we also demonstrate that the perception of the Brazilian risk was less affected by the crisis than the remaining emerging countries.
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.
Texto completoFerreira, Simone Cristina de Macedo. "Spillovers across PIIGS bonds". Master's thesis, Instituto Superior de Economia e Gestão, 2012. http://hdl.handle.net/10400.5/4978.
Texto completoIn this project we test for evidence of contagion between the bond financial markets of the so-called PIIGS countries: Portugal, Ireland, Italy, Greece and Spain, since 2005 till the end of 2011. Despite the fact we look into all yield spread maturities, the focus will be on 5 year yield spread and credit-default-swap (CDS) spreads for 5 year senior debt. The reason why, is because 5 year CDS maturity is the most relevant and tradable (Wit, J. 2006), in the market and also to allow for comparison with yields. We find return spillovers through both an event study and the Vector Autoregressive methodology (VAR). This first analysis is qualitative, and just allows to conclude about patterns or directions. The event study investigates whether sovereign yields spreads and CDS spreads in a given country, react significantly to rating announcements of other countries. The VAR, gives impulse response functions which trace the effect over 10 days of each variable (yields and CDS spreads) of each country, after a one-time unexpected shock in yields or CDS spreads of the remaining countries. Later, also in consonance with this latter methodology, Granger causality tests were performed. Finally we construct a set of dummy variables and estimate some regressions, in order to make a quantitative approach of this study and to confirm the conclusions drawn previously.
Neste trabalho tentaremos testar se existe evidência de contágio no mercado obrigacionista dos já famosos, PIIGS: Portugal, Irlanda, Itália, Grécia e Espanha, de Janeiro de 2005 a Dezembro de 2011. Apesar do facto de começarmos por abranger todas as maturidades das yield spread, focar-nos-emos na yield spread a 5 anos e nos credit-default-swap (CDS) spreads (também a 5 anos). O motivo subjacente, assenta no facto de que os CDS a 5 anos são a maturidade mais relevante e transacionada no mercado, além de que, permite a comparação com o comportamento das yields spreads. Encontramos evidência de contágio ao nível dos retornos, através de um estudo de eventos e da metodologia do Vetor Auto Regressivo. Esta primeira análise é do tipo qualitativo e apenas permite aferir padrões de comportamento. O estudo de eventos testa se as yields spreads e CDS spreads dos países em estudo tendem a reagir significativamente a downgrades de rating de outros países. O Vetor autoregressivo, fornece as funções impulso-resposta que traçam a evolução ao longo de 10 dias de cada uma das variáveis (yields e CDS spreads) de cada um dos países, após um choque inesperado nas yields ou nos CDS dos restantes países em estudo. De seguida, também em consonância com esta última metodologia, foram realizados testes de causalidade de Granger. Por último, definimos algumas variáveis dummies e estimamos algumas regressões, de forma a abordar o tema de forma quantitativa e confirmar as conclusões tiradas anteriormente.
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.
Texto completoEste 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 monetária têm um papel relevante no mercado de títulos de divida soberana e parecem ser antecipados. Por outro lado, os eventos de política orçamental relacionados com os "braços" do PEC não têm um papel fundamental neste mercado.
This study provides an empirical analysis on how the communication of economic policy conducted by the ECB and the European Commission affects the European bond market. For this purpose, it was collected a set of periodic news from the beginning of the Euro until 2013, related with the monetary and fiscal policy events. The results of the study show that sovereign spreads reflect three sources of risk, credit risk through economic activity and competiveness, liquidity risk and international risk. The monetary events play a role in the bond market and they seem to be anticipated. On the other hand, fiscal policy events related with the "arms" of the SGP do not have a key role in this context.
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.
Texto completoThis thesis focuses on some critical issues of the access to international financial markets in developing and emerging market economies. The first part provides a general overview of the macroeconomic consequences of one of the most market-friendly monetary policy regime—inflation targeting—using a meta-regression analysis framework. The second part analyses government bond market risk and stability. The last part investigates the disciplining effects of government bond market participation—bond vigilantes. In Chapter 1, the results indicate that the literature of the macroeconomic effects of inflation targeting adoption is subject to publication bias. After purging the publication bias, the true effect of inflation targeting appears to be statistically and economically meaningful both on the level of inflation and the volatility of economic growth, but not statistically significant on inflation volatility or real GDP growth. Third, differences in the impact of inflation targeting found in primary studies can be explained by differences in studies characteristics including the sample characteristics, the empirical identification strategies, the choice of the control variables, inflation targeting implementation parameters, as well as the study period and some parameters related to the publication process. Chapter 2 shows that the adoption of inflation targeting regime reduces sovereign debt risk in emerging countries. However, this relative advantage of inflation targeting—compared to money or exchange rate targeting—varies systematically depending on the business cycle, the fiscal policy stance, the level of development, and the duration of countries’ experience with inflation targeting. Chapter 3 shows that remittances inflows significantly reduce bond spreads, whereas development aid does not. It also highlights that the effect of remittances on spreads arises in a regimes of lower developed financial system, higher degree of trade openness, lower fiscal space, and exclusively in non-remittances dependent regimes. Chapter 4 indicates that countries with credit default swaps contracts on their debts have a higher probability of experiencing a debt crisis, compared to countries without credit default swaps contracts. It also finds that the impact of credit default swaps initiation is sensitive to several structural characteristics including the level of economic development, the country creditworthiness at the timing of credit default swaps introduction, the public sector transparency, the central bank independence; and to the duration of countries’ experiences with credit default swaps transactions. Chapter 5 shows that bond markets participation encourages government in developing countries to increase their domestic tax revenue mobilization. Finally, it finds that bond markets participation improves the mobilization of internal taxes, compared to tax on international trade, and reduces their instability. Chapter 6 shows that the presence of domestic bond markets significantly reduces financial dollarization in domestic bond markets countries. This effect is larger for inflation targeting countries compared to non-inflation targeting countries, is apparent exclusively in a non-pegged exchange rate regime, and is larger when there is a fiscal rule that constrains the conduct of fiscal policy. Finally, it finds that the induced drop in inflation rate and its variability, nominal exchange rate variability, and seigniorage revenue are potential transmission mechanisms through which the presence of domestic bond markets reduces financial dollarization in domestic bond markets countries
Libros sobre el tema "Sovereign bond spreads"
Jahjah, Samir. Exchange rate policy and sovereign bond spreads in developing countries. [Washington, D.C]: International Monetary Fund, IMF Institute, 2004.
Buscar texto completoNathan, Sussman y Yafeh Yishay, eds. Emerging markets and financial globalization: Sovereign bond spreads in 1870-1913 and today. New York: Oxford University Press, 2006.
Buscar texto completoSy, Amadou N. R. Emerging market bond spreads and sovereign credit ratings: Reconciling market views with economic fundamentals. [Washington, D.C.]: International Monetary Fund, International Capital Markets Department, 2001.
Buscar texto completoEmerging Markets and Financial Globalization: Sovereign Bond Spreads in 1870-1913 and Today. Oxford University Press, USA, 2008.
Buscar texto completoRegan, Patrick M. A Perceptual Approach to Quality Peace. Oxford University Press, 2018. http://dx.doi.org/10.1093/oso/9780190680121.003.0003.
Texto completoCapítulos de libros sobre el tema "Sovereign bond spreads"
Alexopoulou, Ioana, Irina Bunda y Annalisa Ferrando. "Sovereign Bond Spreads in the New European Union Countries". En Sovereign Debt, 335–44. Hoboken, NJ, USA: John Wiley & Sons, Inc., 2011. http://dx.doi.org/10.1002/9781118267073.ch37.
Texto completoTerceño, Antonio, M. Teresa Sorrosal, Lisana B. Martinez y M. Glòria Barberà. "Sovereign Bond Spreads Evolution in Latin American Countries". En Modeling and Simulation in Engineering, Economics, and Management, 171–80. Berlin, Heidelberg: Springer Berlin Heidelberg, 2013. http://dx.doi.org/10.1007/978-3-642-38279-6_19.
Texto completoPepino, Silvia. "Bond Spreads, EMU Design and the Run-up to the Crisis". En Sovereign Risk and Financial Crisis, 53–72. London: Palgrave Macmillan UK, 2015. http://dx.doi.org/10.1057/9781137511645_3.
Texto completoTerceño-Gómez, Antonio, Lisana B. Martinez, M. Teresa Sorrosal-Forradellas y M. Belén Guercio. "Sovereign Bond Spreads and Economic Variables of European Countries Under the Analysis of Self-organizing Maps". En Advances in Intelligent Systems and Computing, 347–58. Cham: Springer International Publishing, 2015. http://dx.doi.org/10.1007/978-3-319-19704-3_28.
Texto completoYordanov, Vilimir. "Inside the EMs Risky Spreads and CDS-Sovereign Bonds Basis". En Innovations in Derivatives Markets, 315–31. Cham: Springer International Publishing, 2016. http://dx.doi.org/10.1007/978-3-319-33446-2_15.
Texto completoConsoli, Sergio, Luca Tiozzo Pezzoli y Elisa Tosetti. "Using the GDELT Dataset to Analyse the Italian Sovereign Bond Market". En Machine Learning, Optimization, and Data Science, 190–202. Cham: Springer International Publishing, 2020. http://dx.doi.org/10.1007/978-3-030-64583-0_18.
Texto completoBellas, Dimitri, Michael G. Papaioannou y Iva Petrova. "Determinants of Emerging Market Sovereign Bond Spreads". En Sovereign Debt and the Financial Crisis, 77–100. The World Bank, 2010. http://dx.doi.org/10.1596/9780821384831_ch04.
Texto completoSzarowská, Irena. "Importance of Fiscal Fundamentals for Sovereign Risk Spread". En Regaining Global Stability After the Financial Crisis, 127–46. IGI Global, 2018. http://dx.doi.org/10.4018/978-1-5225-4026-7.ch007.
Texto completoFavero, Carlo A. "Modelling sovereign bond spreads in the euro area: a nonlinear global VAR model". En The GVAR Handbook, 166–81. Oxford University Press, 2013. http://dx.doi.org/10.1093/acprof:oso/9780199670086.003.0011.
Texto completoLange, Rutger-Jan, André Lucas y Arjen Siegmann. "Score-driven Systemic Risk Signaling for European Sovereign Bond Yields and CDS Spreads". En Systemic Risk Tomography, 129–50. Elsevier, 2017. http://dx.doi.org/10.1016/b978-1-78548-085-0.50005-4.
Texto completoInformes sobre el tema "Sovereign bond spreads"
Financial Stability Report - September 2015. Banco de la República, agosto de 2021. http://dx.doi.org/10.32468/rept-estab-fin.sem2.eng-2015.
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