Does the composition of government spending matter for government bond spreads?
Sign Up to like & getrecommendations! Published in 2020 at "Economic Modelling"
DOI: 10.1016/j.econmod.2020.03.025
Abstract: Abstract This paper contributes to the literature on fiscal policy as a determinant of government bond spreads. We analyze the effect of government spending on government bond spreads using a panel of 30 emerging countries… read more here.
Keywords: government spending; spending; government bond; bond spreads ... See more keywords
Safe-Asset Shortages: Evidence from the European Government Bond Lending Market
Sign Up to like & getrecommendations! Published in 2020 at "Journal of Financial and Quantitative Analysis"
DOI: 10.1017/s0022109020000770
Abstract: Abstract We identify the unique role of the government bond lending market in collateral transformation during periods of market stress. Using a novel database, we provide evidence that safe assets in the lending market have… read more here.
Keywords: asset shortages; bond lending; safe asset; government bond ... See more keywords
Factor-based investing in government bond markets: a survey of the current state of research
Sign Up to like & getrecommendations! Published in 2020 at "Journal of Asset Management"
DOI: 10.1057/s41260-020-00156-3
Abstract: Factor investing has become very popular during the last decades, especially with respect to equity markets. After extending Fama–French factors to corporate bond markets, recent research more often concentrates on the government bond space and… read more here.
Keywords: research; bond; bond markets; government bond ... See more keywords
Dynamic correlations in bond markets between US and emerging countries
Sign Up to like & getrecommendations! Published in 2020 at "Applied Economics Letters"
DOI: 10.1080/13504851.2020.1817303
Abstract: ABSTRACT We adopt the wavelet method to provide better measures of the dynamic correlations between the US and major emerging government bond yields, revealing the structural changes from a three-dimensional analysis. The study concludes two… read more here.
Keywords: government bonds; bond; bond markets; government bond ... See more keywords
Government bond yields in Germany and Spain—empirical evidence from better days
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DOI: 10.1080/14697688.2017.1419734
Abstract: This paper tries to link the uncovered interest rate parity condition to the discussion about interest rate convergence in currency unions. Techniques of fractional cointegration analysis are used to examine the relationship between German and… read more here.
Keywords: interest; bond yields; rate; government bond ... See more keywords
Whether stock market provides high returns: evidence from skewness of individual stocks in China
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DOI: 10.1108/cfri-12-2019-0162
Abstract: PurposeThis paper studies whether individual stocks provide higher returns than government bond in the Chinese market.Design/methodology/approachThe authors compare individual stock returns and government bond returns in the Chinese market.FindingsThe authors find that more than half… read more here.
Keywords: market; individual stocks; stock market; government bond ... See more keywords
Principal component regression in GAMLSS applied to Greek–German government bond yield spreads
Sign Up to like & getrecommendations! Published in 2021 at "Statistical Modelling"
DOI: 10.1177/1471082x211022980
Abstract: A solution to the problem of having to deal with a large number of interrelated explanatory variables within a generalized additive model for location, scale and shape (GAMLSS) is given here using as an example… read more here.
Keywords: bond yield; gamlss; yield spreads; german government ... See more keywords
Financial Performance of Government Bond Portfolios Based on Environmental, Social and Governance Criteria
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DOI: 10.3390/su11092514
Abstract: We evaluated the financial performance of government bond portfolios formed according to socially responsible investment (SRI) criteria. We thus open a discussion on the financial performance of SRI for government bonds. Our sample includes 24… read more here.
Keywords: performance government; performance; bond portfolios; government bond ... See more keywords
Economic Fluctuation, Local Government Bond Risk and Risk-Taking of City Commercial Banks
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DOI: 10.3390/su13179871
Abstract: Countercyclical fiscal regulation can mitigate economic risk, but this is bound to increase the scale of local government debt during an economic downturn, and then spread risk to the banking sector, forming potential financial instability… read more here.
Keywords: risk taking; risk; government bond; local government ... See more keywords