Is the EMU Government Bond Market a Playground for Asymmetries?

Is the EMU Government Bond Market a Playground for Asymmetries?
Author: Dionisis Philippas
Publisher:
Total Pages: 21
Release: 2013
Genre:
ISBN:

We investigate the volatility dynamics of some major European Monetary Union sovereign bond markets. We provide an endogenous characterization in terms of two Markov switching regimes for market volatility and analyze the impact of some institutional sector imbalances and policy actions on the persistence of volatility swings. The empirical findings indicate that net foreign assets' positions and trade balance developments were a matter of minor importance for these European Monetary Union sovereign bond markets. On the contrary, central banks' liquidity provision measures have important but asymmetrical effects on the persistence of the European Monetary Union's bond market volatility swings. Whether countries' specific government liquidity management affected volatility dynamics in a systematic and consistent way remains to a large extent inconclusive.

German Bond Yields and Debt Supply: Is There a “Bund Premium”?

German Bond Yields and Debt Supply: Is There a “Bund Premium”?
Author: Anne-Charlotte Paret
Publisher: International Monetary Fund
Total Pages: 34
Release: 2019-11-01
Genre: Business & Economics
ISBN: 1513518321

Are Bunds special? This paper estimates the “Bund premium” as the difference in convenience yields between other sovereign safe assets and German government bonds adjusted for sovereign credit risk, liquidity and swap market frictions. A higher premium suggests less substitutability of sovereign bonds. We document a rise in the “Bund premium” in the post-crisis period. We show that there is a negative relationship of the premium with the relative supply of German sovereign bonds, which is more pronounced for higher maturities and when risk aversion proxied by bond market volatility is high. Going forward, we expect German government debt supply to remain scarce, with important implications for the ECB’s monetary policy strategy.

Studies on the Sovereign Debt Market

Studies on the Sovereign Debt Market
Author: Bachar Fakhry & Christian R. Richter
Publisher: KSP Books
Total Pages: 135
Release: 2020-01-01
Genre: Business & Economics
ISBN: 6057736923

The Sovereign Debt Market is an essential section of the global financial market. In essence it is the main route for governments to cover any fiscal deficit in their budget. As of end of 2018, the market was US$188 trillion according to the IMF report on 17 December 2019. The market was long regarded as a safe haven for investors, especially the US treasuries and German Bunds. However in recent years the market has suffered several crises leaving investors questioning their high quality ratings. In this book we look at the efficiency and stability of the sovereign debt markets at the heart of the crises: US, German, Greek, Italian Portuguese and Spanish sovereign debt markets. We ask ourselves are these markets moving according to the Efficient Market Hypothesis or Behavioural Finance Theory?

International Financial Contagion

International Financial Contagion
Author: Stijn Claessens
Publisher: Springer Science & Business Media
Total Pages: 461
Release: 2013-04-17
Genre: Business & Economics
ISBN: 1475733143

No sooner had the Asian crisis broken out in 1997 than the witch-hunt started. With great indignation every Asian economy pointed fingers. They were innocent bystanders. The fundamental reason for the crisis was this or that - most prominently contagion - but also the decline in exports of the new commodities (high-tech goods), the steep rise of the dollar, speculators, etc. The prominent question, of course, is whether contagion could really have been the key factor and, if so, what are the channels and mechanisms through which it operated in such a powerful manner. The question is obvious because until 1997, Asia's economies were generally believed to be immensely successful, stable and well managed. This question is of great importance not only in understanding just what happened, but also in shaping policies. In a world of pure contagion, i.e. when innocent bystanders are caught up and trampled by events not of their making and when consequences go far beyond ordinary international shocks, countries will need to look for better protective policies in the future. In such a world, the international financial system will need to change in order to offer better preventive and reactive policy measures to help avoid, or at least contain, financial crises.

Collateral Frameworks

Collateral Frameworks
Author: Kjell G. Nyborg
Publisher: Cambridge University Press
Total Pages: 345
Release: 2017
Genre: Business & Economics
ISBN: 1107155843

The first book-length study of the importance of collateral frameworks in monetary policy, focusing on the Eurozone and euro crisis.

Handbook Of Global Financial Markets: Transformations, Dependence, And Risk Spillovers

Handbook Of Global Financial Markets: Transformations, Dependence, And Risk Spillovers
Author: Sabri Boubaker
Publisher: World Scientific
Total Pages: 828
Release: 2019-06-27
Genre: Business & Economics
ISBN: 9813236663

The objective of this handbook is to provide the readers with insights about current dynamics and future potential transformations of global financial markets. We intend to focus on four main areas: Dynamics of Financial Markets; Financial Uncertainty and Volatility; Market Linkages and Spillover Effects; and Extreme Events and Financial Transformations and address the following critical issues, but not limited to: market integration and its implications; crisis risk assessment and contagion effects; financial uncertainty and volatility; role of emerging financial markets in the global economy; role of complex dynamics of economic and financial systems; market linkages, asset valuation and risk management; exchange rate volatility and firm-level exposure; financial effects of economic, political and social risks; link between financial development and economic growth; country risks; and sovereign debt markets.

Monetary and Fiscal Policies in EMU

Monetary and Fiscal Policies in EMU
Author: Marco Buti
Publisher: Cambridge University Press
Total Pages: 376
Release: 2003-11-13
Genre: Business & Economics
ISBN: 9780521832151

Leading scholars and policy makers examine the challenges that are facing economic policies in the EMU today.

Theoretical and Applied Statistics

Theoretical and Applied Statistics
Author: Corrado Crocetta
Publisher: Springer
Total Pages: 131
Release: 2019-02-12
Genre: Mathematics
ISBN: 3030054209

This book is devoted to Corrado Gini, father of the Italian statistical school. It celebrates the 50th anniversary of his death by bearing witness to the continuing extraordinary scientific relevance of his interdisciplinary interests. The book comprises a selection of the papers presented at the conference of the Italian Statistical Society, Statistics and Demography – the Legacy of Corrado Gini, held in Treviso in September 2015. The work covers many topics linked to Gini’s scientific legacy, ranging from the theory of statistical inference to multivariate statistical analysis, demography and sociology. In this volume, readers will find many interesting contributions on entropy measures, permutation procedures for the heterogeneity test, robust estimation of skew-normal parameters, S-weighted estimator, measures of multidimensional performance using Gini’s delta, small-sample confidence intervals for Gini’s gamma index, Bayesian estimation of the Gini-Simpson index, spatial residential patterns of selected foreign groups, minority segregation processes, dynamic time warping to study cruise tourism, and financial stress spill over. This book will appeal to all statisticians, demographers, economists, and sociologists interested in the field.