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Author: Anne-Charlotte Paret Publisher: International Monetary Fund ISBN: 1513518321 Category : Business & Economics Languages : en Pages : 34
Book Description
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.
Author: Anne-Charlotte Paret Publisher: International Monetary Fund ISBN: 1513518321 Category : Business & Economics Languages : en Pages : 34
Book Description
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.
Author: Anne-Charlotte Paret Publisher: International Monetary Fund ISBN: 1513519654 Category : Business & Economics Languages : en Pages : 34
Book Description
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.
Author: International Monetary Fund. European Dept. Publisher: International Monetary Fund ISBN: 1498325076 Category : Business & Economics Languages : en Pages : 61
Book Description
After a sharp slowdown starting in 2018, euro area growth is expected to recover over the course of 2019. However, mounting downside risks from global trade tensions, a no-deal Brexit, and market concerns about countries with high public debt emphasize the precarious nature of the forecast. Even in the absence of a major shock, there is a danger that the area could enter a prolonged period of anemic growth and inflation. Policies should focus on supporting growth while also reducing vulnerabilities.
Author: Alexander Schulz Publisher: ISBN: Category : Languages : en Pages : 36
Book Description
The paper presents a comprehensive data set of all bonds issued by the sixteen German states (L ̈ander) since 1992. It thus provides a complete picture of a capital market comparable in size to funds raised in the German fixed income market for corporations. The quantitative analysis reveals that L ̈ander follow different issuing strategies: while some concentrate to a greater extend on large issues or issue joint bonds with other L ̈ander (Jumbos), others rely more on comparatively small but frequent issues. Moreover, some L ̈ander issue a significant volume-share of their bonds in foreign currencies. Suitable bonds are used to compute yields for the respective L ̈ander at a daily frequency. In addition, we construct a measure of liquidity based on the standard deviation of yields of those bonds that are used to compute the average yield.
Author: Phoebus L. Athanassiou Publisher: Routledge ISBN: 1000423093 Category : Law Languages : en Pages : 165
Book Description
The European Sovereign Debt Crisis: Breaking the Vicious Circle between Sovereigns and Banks explains why the euro area’s progress towards reining in the risks arising from the well-documented bi-directional financial contagion transmission mechanism that links sovereigns to commercial banks has been more prominent compared to the channel of contagion moving from banks to sovereigns. Providing an analysis of the legal and regulatory measures that Europe and the euro area have taken to mitigate the exposure of sovereigns to financial crises generated by commercial banks, this book draws attention to areas where improvements to the arsenal of tools hitherto introduced are either desirable or necessary. Chapters further explain – with recourse to economic and legal arguments – why the channel of contagion moving from sovereigns to commercial banks has proven harder to close, and explores ways in which progress could be made in the direction of closing it so as to avert the risk of future banking sector crises. This work provides essential reading for students, researchers and practitioners with an interest in sovereign debt crises and the euro-area banking system.
Author: Ton Notermans Publisher: Routledge ISBN: 1000585603 Category : Political Science Languages : en Pages : 194
Book Description
Can Italy and Germany thrive within the confines of the common currency, or do they display two fundamentally incompatible models? This book examines this question by means of detailed comparisons in the fields of labour market policies, welfare provisions and financial and economic management, since the onset of the financial crisis and through the euro and COVID-19 crises. The rapid succession of the financial crisis, the Eurozone crisis and COVID-19 have again brought to the fore questions that have beset European integration since its inception; does the EU promote convergence or divergence? Have these crises served to reveal pre-existing politico-economic incompatibilities or were these incompatibilities created by the euro and the measures propounded by the Economic and Monetary Union (EMU)? Should EMU recipes be followed, or should they be fundamentally revised in an effort to come good on the convergence promises underpinning the European project? And, lastly, is the COVID-19 crisis likely to mitigate or exacerbate these problems? These questions are addressed in this volume by means of a tight comparison between Germany and Italy, two countries that have displayed strikingly divergent trajectories but also share many more politico-economic traits than the conventional wisdom would allow for. By exploring in detail how the main elements of the euro and EMU management have played out, the volume highlights the externalities that becoming part of a currency union has created and that strengthened the economic success of one while consolidating the decline of the other and analyses the likely impact of the measures introduced to fight the economic consequences of the COVID-19 pandemic. The chapters in this book were originally published as a special issue of the journal, German Politics.
Author: Jean-Pierre Casey Publisher: CEPS ISBN: 9290795964 Category : Business & Economics Languages : en Pages : 142
Book Description
Assessing regulatory measures taken at the EU level that impact European bond markets, this book examines the desirability, utility, and feasibility of certain policy measures.
Author: Mr.Eugenio M Cerutti Publisher: International Monetary Fund ISBN: 1484395212 Category : Business & Economics Languages : en Pages : 36
Book Description
For about three decades until the Global Financial Crisis (GFC), Covered Interest Parity (CIP) appeared to hold quite closely—even as a broad macroeconomic relationship applying to daily or weekly data. Not only have CIP deviations significantly increased since the GFC, but potential macrofinancial drivers of the variation in CIP deviations have also become significant. The variation in CIP deviations seems to be associated with multiple factors, not only regulatory changes. Most of these do not display a uniform importance across currency pairs and time, and some are associated with possible temporary considerations (such as asynchronous monetary policy cycles).
Author: Anne-Charlotte Paret
Author: Anne-Charlotte Paret
Author: Anne-Charlotte Paret
Author: International Monetary Fund. European Dept.
Author: Alexander Schulz
Author: Phoebus L. Athanassiou
Author: Ton Notermans
Author: International Monetary
Author: Stefan Gerlach
Author: Jean-Pierre Casey
Author: Mr.Eugenio M Cerutti