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   Articles with "debt markets" as a keyword



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A tale of two risks in the EMU sovereign debt markets

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recommendations! Published in 2018 at "Economics Letters"

DOI: 10.1016/j.econlet.2018.08.042

Abstract: We introduce time-varying systematic yield risk (SYR) and systematic liquidity risk (SLR) measures for sovereign bond markets of the major European Monetary Union (EMU) country members. Using daily sovereign bond data, our analysis shows that… read more here.

Keywords: two risks; tale two; risks emu; sovereign debt ... See more keywords
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Arbitrage in International Sovereign Debt Markets? Evidence from the Inflation‐Protected Securities of Six Countries

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recommendations! Published in 2021 at "Journal of Money, Credit and Banking"

DOI: 10.1111/jmcb.12849

Abstract: We consider an arbitrage strategy that exactly replicates the cash flow of a sovereign nominal bond using inflation swaps and inflation‐linked bonds. The strategy reveals a violation of the law of one price in the… read more here.

Keywords: arbitrage international; arbitrage; sovereign debt; debt markets ... See more keywords