Author: Junbo Wang
Publisher:
ISBN:
Category :
Languages : en
Pages : 111

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Author: Andras Lengyel (Ph. D.)
Publisher:
ISBN: 9789036107242
Category :
Languages : en
Pages : 0

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"This thesis aims to identify the effects of macroeconomic stabilization efforts of the recent past, with a particular focus on government bond markets. The first two chapters investigate how Treasury markets react to changes in government debt supply and demand. The next two chapters widen the scope to examine macroeconomic stabilization in a broader context. Chapter 1 proposes an identification scheme for government bond supply shocks and analyses how the additional debt issuance affects the term structure of interest rates. It argues both theoretically and empirically that changes in the debt supply influence yields by affecting risk premia. Chapter 2 shifts its attention to the demand side of Treasury markets. It analyzes the effects of sudden shifts in investor demand for German and Italian government bonds. We aim to understand how different credit risk profiles of the countries impact these effects. Chapter 3 provides fresh insights into the absorption of idiosyncratic output shocks in the US and the Euro Area through private and public risk-sharing channels. It proposes a new empirical framework to trace how these risk-sharing channels evolved over time and attempts to explain the changes with some key macroeconomic and financial factors. Lastly, Chapter 4 examines the effectiveness of government spending during health crises. We provide evidence that during such exceptional times, higher government spending has a more potent, stimulative impact on the economy."--

Author: Madhu Kalimipalli
Publisher:
ISBN:
Category : Bonds
Languages : en
Pages : 160

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Author: Eric Rosengen
Publisher:
ISBN:
Category : Bonds
Languages : en
Pages : 0

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Author: World Bank
Publisher: INTERNATIONAL MONETARY FUND
ISBN:
Category : Business & Economics
Languages : en
Pages : 444

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Book Description
This handbook is designed as a reference source for two distinct user groups involved in the development of government bonds markets: 1) senior government officials responsible for developing the government bond market; and 2) individuals responsible for guiding the market development process at the operational level, and who have a substantial need to understand the policy issues involved. The handbook is structured as follows: Chapter 1 provides an overview of certain policy considerations relevant to developing a government bond market. This overview considers key issues, but at a level of generality appropriate for senior govenrment offcials responsible for making key strategic decisions. The remaining eleven chapters present more detailed discussions of key policy issues, including substantive considerations relating to implementation. The handbook's primary emphasis, however, focuses on the policy dimension of developing medium-and long-term bond markets. It is not intended as a technical manual for use by individuals engaged in day-to-day implementation or operations. The handbook also provides bibliographic and website references for those interested in pursuing further issues covered. A comprehensive glossary of terms related to securities markets appears at the end of the handbook.

Author: Sean Mikel Wilkoff
Publisher:
ISBN:
Category :
Languages : en
Pages : 342

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Book Description
The municipal bond market is a financial market that does not draw much attention from academics, researchers, the government or practitioners. However, that changed recently when the largest recession since the Great Depression impacted the U.S. economy. Now everyone is struggling to understand two major questions: 1) How do we mark to market bonds in illiquid markets? and 2) Why are 50% of new issues insured in a market that has the lowest default rate of any bond market other than the treasury market? This dissertation examines those questions in three parts. The first part, The Effect of Insurance on Municipal Bond Yields, studies the difference between insured and uninsured municipal bond yields. I find that although some of that difference is attributable to the effect of insurance, another channel comes from self selection to insure -- municipalities that choose to insure differ significantly from municipalities who choose not to insure. Without accounting for the latter self selection the insurance benefit appears undervalued. By focusing on municipalities with both outstanding insured and uninsured bonds (mixed municipalities), I identify that in the pre-crisis period insurance for such municipalities reduces municipal bond yields by 8 basis points. But analysis of homogeneous municipalities reveals the self selection effect raises yields by 6 basis points. However, during the recent financial crisis, insurance continued to lower yields by 8 bps, whereas the self selection effect increased yields by 18 basis points. Thus, my work explains the recent initially puzzling phenomenon when insured yields rose above uninsured yields. The second part, The Effect of Insurance on Liqudity, examines liquidity in the municipal bond market during the recent financial crisis. I analyze the effects of insurance on liquidity for municipal bonds and estimate how the effects of insurance change when the insurers face a loss of capital and rating downgrades. I measure liquidity in the three ways most suited for illiquid markets: the Amihud measure, Roll's bid-ask measure, and turnover. By all three measures, both before and after the financial crisis, bonds with insurance are less liquid than bonds without insurance. I also find that the liquidity of bonds with insurance decreases over the financial crisis. These findings indicate that insurance does not improve liquidity. The third part, A Municipal Bond Market Index Based on a Repeat Sales Methodology, introduces a repeat sales methodology to create an index for the municipal bond market based on transactional prices, because the current indices are based on estimated bond prices. The repeat sales methodology can calculate an index for any municipal bond characteristic. I create and analyze indices for the municipal bond market and separate indices by rating, maturity, and characteristics such as insurance and bond type (i.e. General Obligation or Revenue). Repeat sales methodology is based on the assumption that characteristics of the bond do not change over time which means the movements in bond prices are due to evolving market conditions. I compare the repeat sales indices with the existing municipal bond indices and find the repeat sales indices highly correlated with the current indices with a correlation of .8.

Author: Andras Lengyel
Publisher:
ISBN:
Category :
Languages : en
Pages : 0

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Book Description

Author: Su Huang
Publisher:
ISBN: 9781267923332
Category :
Languages : en
Pages : 168

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Book Description
This dissertation focuses on the municipal bond market. Chapter 1 first introduces the classification of municipal bonds, then summarizes the literature that talk about the determinants of municipal bond yields, and finally classifies the determinants into three classes: the economic status of the state where the bond is issued, the demographic characteristics of the state, and the financial status of the state or the local government where the bond is issued. Chapter 2 introduces two nonparametric econometric techniques, including nonparametric regressions and gradient boosting. Compared with traditional ordinary least square methods, these two techniques can help us capture both nonlinearity and potential random interactions among key determinants in the analysis of municipal bond yields. Chapter 3 performs a comprehensive analysis on the determinants of general obligation municipal bond yields and examines the impact of the recent financial crisis on the underlying relations. A systematic comparison of the relations before and after the 2008 financial crisis shows that the economic and financial health of local governments has become markedly more diverse since the crisis began. The relation between the municipal bond yields and the economic and financial health of the local governments has also become stronger because of the larger differentiation among the local governments and hence larger signal to noise ratio, as well as closer scrutiny by market participants on the economic fundamentals of municipal governments. Chapter 3 also provides a new prediction framework and shows that accommodating nonlinearities and random interaction effects can significantly enhance the predictive performance on the municipal bond yields.

Author: Luis Ceballos
Publisher:
ISBN:
Category :
Languages : en
Pages : 0

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Book Description
This dissertation contains three chapters on the topic of bond markets. The first chapter examines the pricing of inflation volatility risk --uncertainty on the unexpected component of inflation-- in the cross-section of expected corporate bond returns. I document a negative and significant inflation volatility risk premium (IVRP) obtained from the difference between high and low-inflation beta portfolios after accounting for common risk factors in the equity and corporate bond markets. Further, I find that the IVRP is partially explained by market risk and alternative measures of monetary policy shocks. Lastly, I show that the IVRP is associated with firms that incur in debt maturity management to mitigate refinancing risks. The second chapter analyzes the systemic impact of massive pension funds' portfolio reallocations triggered by a financial advisory firm in Chile. We analyze the main channels by which government yields are affected and trace their impact on households financing costs. We document significant and persistent price pressure in the domestic government bond market after portfolio switching recommendations. Further, we find persistent changes in government yields, particularly in long-term inflation-linked bond yields, triggered by changes in the term premium component. Consistent with the relevance of inflation-linked bonds as the primary benchmark in setting interest rates, we find a substantial impact on households' financing costs. The third chapter focuses on financing decisions in the floating bond market. We use floating rate bond offerings and data from interest rate swaps to study the impact of firms' financing decisions. A trading strategy that is long the stock of firms that make smart decisions and short the stock of firms that make non-smart decisions earns a significant alpha relative to the three-factor, four-factor, and five-factor asset pricing models. Our results remain significant even after controlling for swap usage, different stock holding periods, operating performance hedging, and a quality minus junk factor. Both smart and non-smart firms experience jumps in abnormal investor attention around floating bond issuance dates, but smart firms on average experience greater overall abnormal attention with lower attention volatility.

Author: Hendrik Aaldrik Jan Koster
Publisher:
ISBN:
Category : Government securities
Languages : en
Pages : 376

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