Yield spreads
Determinants of sovereign bond yield spreads in the EMU: an optimal currency area perspective
... bond yield spreads and its determinants, if we verify that the variables in equation (1) are indeed non-stationary, we need to determine whether these are linked by a cointegrating ...
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EMU Sovereign Yield Spreads: a cluster analysis
... In the crisis period, which covers the entrance of the Non-Founder countries in the EMU, we find that besides the general risk aversion, the world economic climate and the bailout variable, the debt ratio, the budget ...
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Government Bond Yield Spreads in EMU Countries: the Story of an Ephemeral Convergence
... on yield differentials, whereas prior to the GFC this variable seemed statistically ...mentioned spreads widening effect the GFC had by taking into account countries’ fiscal fundamentals, another phenomenon ...
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The determinants of sovereign bond yield spreads in the EMU
... government yield spreads presented by the both regressions, under the assumption that these relationships have remained stable over time, we proceed by accounting for the possible structural changes during ...
32
The determinants of sovereign bond yield spreads in the EMU
... of yield spreads, including Greece, Portugal, Spain, Ireland and Italy, captures the risk involved in investing to periphery relative to core countries’ ...higher spreads iii) since August 2007 ...
40
Corporate governance and its effect on bond yield spreads
... This paper focuses on the effect corporate governance, implemented through shareholder voting, has on bond yield spreads, as a measure of bond returns. Using a discontinuous regression design (rdd), I will ...
25
Quantitative easing and sovereign yield spreads : Euro-Area time-varying evidence
... on yield spreads stemming from the REER also spikes up in the period ...sovereign yield spreads in all euro area countries particularly in the period ...reduce yield spreads in ...
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Budgetary decomposition and yield spreads
... observed yield spreads differentials against Germany using a panel of ten Euro area countries for the period of 1999Q1 to ...sovereign yield differentials because in the Economic and Monetary Union ...
10
Contagion in EU Sovereign Yield Spreads
... government yield spreads involved in the three risks factors, real effective exchange rate, VIX and bid-ask spread, operate as a transmission mechanism of sovereign debt crisis and enable ...explaining ...
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Sovereign yield spreads in the EMU: crisis and structural determinants
... According to the first estimation results, contrary to what would be expected given the literature, the rate of budgetary rules (FRI), the electoral cycle and the inflation wasn't statistically significant for a 5% ...
26
Sovereign bond yields spreads spillovers in the EMU
... the spreads of the euro area countries vis-á-vis Germany (see Figures A1 – ...sovereign yield spreads compared to German Bunds (Gomez-Puig and Sosvilla-Rivero ...
18
Notação de risco e spreads da dívida soberana : o caso português
... dos spreads ascende aos ...dos spreads, podendo tal fenómeno estar relacionado com a intervenção ...nas yield spreads, sendo mais que duplicado ...
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Determinants of sovereign bond spreads in the EMU
... bond yield spreads, the counterpart yield being Germany´s, on 3 types of variables: credit risk, liquidity risk and common international risk ...on spreads, plus the liquidity ...
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Revisiting Sovereign Bond Spreads’ Determinants in the EMU
... This study focuses on the determinants of sovereign 10-year bond yield spreads of 11 EMU countries, vis-à-vis Germany´s. We model the spreads on a diversified group of variables: credit, liquidity ...
30
Impacto da crise nos determinantes políticos e económicos dos spreads soberanos - uma aplicação à UEM
... Segundo os resultados da estimação original, ao contrário do que seria expectável dada a literatura existente, o índice de regras orçamentais (FRI), o ciclo eleitoral e a inflação não se apresentam estatisticamente ...
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Futuros sobre a margem operacional da refinação do petróleo bruto: crack spreads
... Segundo Peixoto (1999) e Ferreira (2008), a arbitragem é uma forma de obter lucros através do desequilíbrio dos mercados, em que o negociador actua em mercados [r] ...
104
The determinants of Euro Zone Government credit spreads
... risk: spreads between sovereign yields and corporate yields and the difference between yields in domestic and foreign ...credit spreads are focused on the US bond market; see Longstaff and Schwartz (1995), ...
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VOLUÇÃO DOS SPREADS DE RISCO DAS EMPRESAS NÃO FINANCEIRAS DO ÍNDICE PSI -20
... 60% do endividamento da empresa. Ao longo do período em análise a PT emitiu doze empréstimos por obrigações, o que reflecte bem a importância do mercado obrigacionista para a principal empresa de telecomunicações em ...
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Ensaios sobre estrutura a termo da curva de juros e spreads de títulos corporativos
... dos spreads e no volume de ...dos spreads no advento de eventos que provocam maior transparência, como no caso da implantação do TRACE, e, nesse sentido, há menor propensão por parte dos intermediadores de ...
117
Project finance e assimetria de informação: uma análise dos efeitos sobre os spreads dos financiamentos
... A variável (RISCOP) segue o argumento de Esty e Megginson (2003) sobre o risco legal do país. Foram obtidos os spreads, em bps de Credit Default Swaps (CDS), dos países nos quais o investimento foi realizado. ...
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