Literatura académica sobre el tema "Sovereign bond spreads"
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Artículos de revistas sobre el tema "Sovereign bond spreads"
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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.
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We enhance the modelling and risk assessment of sovereign bond spreads by taking into account quantitative information gained from macro-economic news sentiment. We investigate sovereign bonds spreads of five European countries and improve the prediction of spread changes by incorporating news sentiment from relevant entities and macro-economic topics. In particular, we create daily news sentiment series from sentiment scores as well as positive and negative news volume and investigate their effects on yield spreads and spread volatility. We conduct a correlation and rolling correlation analysis between sovereign bond spreads and accumulated sentiment series and analyse changing correlation patterns over time. Market regimes are detected through correlation series and the impact of news sentiment on sovereign bonds in different market circumstances is investigated. We find best-suited external variables for forecasts in an ARIMAX model set-up. Error measures for forecasts of spread changes and volatility proxies are improved when sentiment is considered. These findings are then utilised to monitor sovereign bonds from European countries and detect changing risks through time.
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Thazhugal 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.
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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 conditions in emerging markets, and there is more incremental information in the publicly available macroeconomic variables, which is much useful in predicting bond yield spreads than that embedded into the sovereign ratings. Practical implications The outcomes of the research have strategic implications for global investors and policymakers. The use of credit rating scores along with the macroeconomic fundamentals in emerging economies produces better predictions than the benchmark predictions solely based on the rating scores suggested by the previous research. Originality/value This study is the first one to address the issues related to sovereign ratings and bond yield spread in developing and emerging markets using the most recent ratings during the period of the economic recoveries, following the global financial crisis of 2008.
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Jeanneret, 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.
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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 depend on Euro-zone bond factors.
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Juodžiukynienė, 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.
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This paper provides an empirical assessment of the relationship between common European Union and country-specific risk factors of sovereign bond spreads for Central and Eastern European countries over the period of 2004-2014. The model, estimated using Pooled Mean Group techniques, that accounts for both common long-run determinants and cross-country heterogeneities in sovereign bond spreads, tends to suggest that country-specific and common factors are important in the long-run, but common European Union factors are the main determinants of bond spreads in the short-run, i.e., market volatility index series converges with changes of sovereign bond spreads and turns out to be the predominant factor in the short-run. Furthermore, countries with stronger fundamentals have a tendency for lower responsiveness to changes in global risk aversion.The decomposition of changes in spreads for the purpose to compare actual and estimated spreads specifies that during risk-on periods (when the increase of misalignment falls down) there is consistency for increasing of creditworthiness undervaluation.
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Docherty, 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.
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Eichler, 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.
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Pouzo, 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.
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This paper studies how international investors' concerns about model misspecification affect sovereign bond spreads. We develop a general equilibrium model of sovereign debt with endogenous default wherein investors fear that the probability model of the underlying state of the borrowing economy is misspecified. Consequently, investors demand higher returns on their bond holdings to compensate for the default risk in the context of uncertainty. In contrast with the existing literature on sovereign default, we match the bond spreads dynamics observed in the data together with other business cycle features for Argentina, while preserving the default frequency at historical low levels. (JEL E43, E44, F34, G12, G21, H63, O16)
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Liu, 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.
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Comelli, 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.
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Georgoutsos, 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"
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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.
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Mestrado em Economia Internacional e Estudos EuropeusUma 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.
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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 FinanceiraUm 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.
info:eu-repo/semantics/publishedVersion
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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 zero yield differences before crisis. After 2008 results show segmentation in euro zone countries with certain special characteristic for countries with high credit ratings.
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MACHADO, 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.
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O rating soberano pode ser definido como uma nota dada
pelas agências de
risco às obrigações do governo central de um país. Apesar
do primeiro rating
atribuído ao país datar de 1986, percebe-se que sua
importância cresceu muito a partir
de 1994, com a emissão dos brady bonds. Em teoria, as
agências de ratings teriam o
papel de antever acontecimentos no mercado, e
conseqüentemente, seriam suas
análises que influenciariam o comportamento dos mesmos; no
entanto, severas
críticas vêm sendo feitas no sentido de que elas apenas
reagem a acontecimentos já
amplamente conhecidos. Este trabalho tem, portanto, o
objetivo de analisar o impacto
das avaliações de risco do país emitidas por estas
agências sobre o principal título da
dívida externa brasileira, o c-bond. Para avaliar estes
impactos, foi analisado o
comportamento do spread do c-bond em períodos anteriores e
posteriores às
divulgações das análises destas agências. O estudo indicou
que os ratings soberanos
influenciam as cotações do c-bond, sendo os impactos de
suas alterações mais
significativas para os casos de downgrade ou rebaixamentos
das notas soberanas do
país.Sovereign 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.
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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.
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Mestrado em FinançasEste 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.
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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.
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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.
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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 during the financial crisis. This fact indicates the benefit of hedging the stock portfolios with gold futures while we have stress in the financial markets.
The results from hedging effectiveness suggest that all the commodity/stock portfolios provide better diversification benefits than the stock portfolios. In average, including CRB, BCOM and GOLD futures to the stock portfolios have the highest hedging effectiveness ratios.
Chapter 2 investigates the impact of global and local variables on the Sovereign bond spreads for 22 developed countries in North America, Europe and Pacific Rim Regions, using monthly data from January 2010 to March 2015.
There are a few main findings of this chaper. First, the global factors are considerably more important in déterminant the sovereign bond spreads for all the regions. Second, for the bond spread of each region over its local government bond, the countries’ domestic fundamentals are found to be more influential determinants of the spreads, compared to the spread over US government bond as a safe haven government bond. Third, the bond spreads in the Eurozone area is less influenced by the global factors compared to the other regions. Fourth, the sovereign bond spreads of all regions are positively related to the US corporate high yield spreads as a proxy of market sentiment and the log of VIX index as measurement for the investor risk aversion. The coefficient of the log of VIX index shows the strong power of the stock market implied volatility on determining the yield spreads in the fixed income market.
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Ferreira, 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.
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Master in FinanceIn 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.
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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.
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Mestrado em Economia Monetária e FinanceiraEste 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.
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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.
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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. Au chapitre 1, les résultats indiquent que la littérature sur les effets macroéconomiques du ciblage d'inflation est sujette à des biais de publication. Après avoir purgé ces biais, le véritable effet du ciblage d'inflation reste statistiquement et économiquement significatif à la fois sur le niveau de l'inflation et la volatilité de la croissance économique, mais ne l’est pas sur la volatilité de l'inflation ou le taux de croissance économique réel. Aussi, les caractéristiques des études déterminent l’hétérogénéité des résultats de l'impact du ciblage d’inflation dans les études primaires. Le chapitre 2 montre que l'adoption d'un régime de ciblage d'inflation réduit le risque souverain dans les pays émergents. Cependant, cet effet varie systématiquement en fonction du cycle économique, de la politique budgétaire suivie, du niveau de développement et de la durée dans le ciblage. Le chapitre 3 montre que les envois de fonds des migrants, contrairement aux flux d'aide au développement, permettent de réduire le risque souverain. Cette réduction est plus marquée dans un pays avec un système financier moins développé, un degré d'ouverture commerciale élevé, un espace budgétaire faible et sans effet dans les pays dépendants des envois de fonds. Le chapitre 4 montre que les pays ayant des contrats d’échange sur risque de crédit sur leurs dettes sont plus sujets à des crises de dette. Il constate également que cet effet reste sensible aux caractéristiques structurelles des pays. Le chapitre 5 montre que la participation aux marchés obligataires de long terme (domestiques et internationaux) encourage les gouvernements des pays en développement à accroître leurs recettes fiscales intérieures. Il révèle également que l'effet favorable dépend du niveau des recettes de seigneuriage, d’endettement, du régime de change, du niveau de développement économique, du degré d’ouverture financière, et du développement financier. Le chapitre 6 montre que la présence de marchés obligataires domestiques, de long terme et liquides réduit considérablement le degré de dollarisation financière dans les pays en développement. Cet effet est plus important dans les pays avec un régime monétaire de ciblage d’inflation ou de change flottant, et à règles budgétaires. Enfin, il constate que la présence de marchés obligataires domestiques réduit la dollarisation financière à travers la baisse du niveau et de la variabilité de l'inflation, de la variabilité du taux de change nominal, et des revenus de seigneuriageThis 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"
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Jahjah, Samir. Exchange rate policy and sovereign bond spreads in developing countries. [Washington, D.C]: International Monetary Fund, IMF Institute, 2004.
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Nathan, Sussman y Yafeh Yishay, eds. Emerging markets and financial globalization: Sovereign bond spreads in 1870-1913 and today. New York: Oxford University Press, 2006.
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Sy, 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.
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Emerging Markets and Financial Globalization: Sovereign Bond Spreads in 1870-1913 and Today. Oxford University Press, USA, 2008.
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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 market currency exchanges and bond market prices. Specifically, he examines and compares the premiums attached to the black market values of currencies in less stable economies and relates them to factors that promote destabilization of the equilibrium. Similarly, he compares the strip spreads on sovereign bonds as an indicator of government stability and instability.
Capítulos de libros sobre el tema "Sovereign bond spreads"
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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.
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Terceño, 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.
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Pepino, 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.
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Terceño-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.
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Yordanov, 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.
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Consoli, 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.
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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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Bellas, 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.
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Szarowská, 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.
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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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Favero, 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.
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Lange, 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"
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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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From this edition, the Financial Stability Report will have fewer pages with some changes in its structure. The purpose of this change is to present the most relevant facts of the financial system and their implications on the financial stability. This allows displaying the analysis more concisely and clearly, as it will focus on describing the evolution of the variables that have the greatest impact on the performance of the financial system, for estimating then the effect of a possible materialization of these risks on the financial health of the institutions. The changing dynamics of the risks faced by the financial system implies that the content of the Report adopts this new structure; therefore, some analyses and series that were regularly included will not necessarily be in each issue. However, the statistical annex that accompanies the publication of the Report will continue to present the series that were traditionally included, regardless of whether or not they are part of the content of the Report. In this way we expect to contribute in a more comprehensive way to the study and analysis of the stability of the Colombian financial system. Executive Summary During the first half of 2015, the main advanced economies showed a slow recovery on their growth, while emerging economies continued with their slowdown trend. Domestic demand in the United States allowed for stabilization on its average growth for the first half of the year, while other developed economies such as the United Kingdom, the euro zone, and Japan showed a more gradual recovery. On the other hand, the Chinese economy exhibited the lowest growth rate in five years, which has resulted in lower global dynamism. This has led to a fall in prices of the main export goods of some Latin American economies, especially oil, whose price has also responded to a larger global supply. The decrease in the terms of trade of the Latin American economies has had an impact on national income, domestic demand, and growth. This scenario has been reflected in increases in sovereign risk spreads, devaluations of stock indices, and depreciation of the exchange rates of most countries in the region. For Colombia, the fall in oil prices has also led to a decline in the terms of trade, resulting in pressure on the dynamics of national income. Additionally, the lower demand for exports helped to widen the current account deficit. This affected the prospects and economic growth of the country during the first half of 2015. This economic context could have an impact on the payment capacity of debtors and on the valuation of investments, affecting the soundness of the financial system. However, the results of the analysis featured in this edition of the Report show that, facing an adverse scenario, the vulnerability of the financial system in terms of solvency and liquidity is low. The analysis of the current situation of credit institutions (CI) shows that growth of the gross loan portfolio remained relatively stable, as well as the loan portfolio quality indicators, except for microcredit, which showed a decrease in these indicators. Regarding liabilities, traditional sources of funding have lost market share versus non-traditional ones (bonds, money market operations and in the interbank market), but still represent more than 70%. Moreover, the solvency indicator remained relatively stable. As for non-banking financial institutions (NBFI), the slowdown observed during the first six months of 2015 in the real annual growth of the assets total, both in the proprietary and third party position, stands out. The analysis of the main debtors of the financial system shows that indebtedness of the private corporate sector has increased in the last year, mostly driven by an increase in the debt balance with domestic and foreign financial institutions. However, the increase in this latter source of funding has been influenced by the depreciation of the Colombian peso vis-à-vis the US dollar since mid-2014. The financial indicators reflected a favorable behavior with respect to the historical average, except for the profitability indicators; although they were below the average, they have shown improvement in the last year. By economic sector, it is noted that the firms focused on farming, mining and transportation activities recorded the highest levels of risk perception by credit institutions, and the largest increases in default levels with respect to those observed in December 2014. Meanwhile, households have shown an increase in the financial burden, mainly due to growth in the consumer loan portfolio, in which the modalities of credit card, payroll deductible loan, revolving and vehicle loan are those that have reported greater increases in risk indicators. On the side of investments that could be affected by the devaluation in the portfolio of credit institutions and non-banking financial institutions (NBFI), the largest share of public debt securities, variable-yield securities and domestic private debt securities is highlighted. The value of these portfolios fell between February and August 2015, driven by the devaluation in the market of these investments throughout the year. Furthermore, the analysis of the liquidity risk indicator (LRI) shows that all intermediaries showed adequate levels and exhibit a stable behavior. Likewise, the fragility analysis of the financial system associated with the increase in the use of non-traditional funding sources does not evidence a greater exposure to liquidity risk. Stress tests assess the impact of the possible joint materialization of credit and market risks, and reveal that neither the aggregate solvency indicator, nor the liquidity risk indicator (LRI) of the system would be below the established legal limits. The entities that result more individually affected have a low share in the total assets of the credit institutions; therefore, a risk to the financial system as a whole is not observed. José Darío Uribe Governor