Dynamics of the European sovereign bonds and the identification of crisis periods
Sign Up to like & getrecommendations! Published in 2019 at "Empirical Economics"
DOI: 10.1007/s00181-019-01653-0
Abstract: We develop an empirical model of heterogeneous agents to study the dynamics of the European sovereign bonds market. Agents make use of different information from the CDS market and historical price movements of the sovereign… read more here.
Keywords: bonds identification; dynamics european; sovereign bonds; european sovereign ... See more keywords
Sovereign bonds, coskewness, and monetary policy regimes
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DOI: 10.1016/j.jfs.2020.100783
Abstract: Abstract Consistent with flight-to-quality, the coskewness between developed market sovereign bonds and global equity markets can help explain bond returns. A coskewness factor, defined as the return difference between the most negative coskewness bond portfolio… read more here.
Keywords: bonds coskewness; monetary policy; coskewness; sovereign bonds ... See more keywords
Macroeconomic News Sentiment: Enhanced Risk Assessment for Sovereign Bonds
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DOI: 10.3390/risks6040141
Abstract: We enhance the modelling and risk assessment of sovereign bond spreads by taking into account quantitative information gained from macro-economic news sentiment. We investigate sovereign bonds spreads of five European countries and improve the prediction… read more here.
Keywords: news; risk assessment; sentiment; sovereign bonds ... See more keywords