Lender of last resort, buyer of last resort, and a fear of fire sales in the sovereign bond market*

2021 ◽  
Author(s):  
Viral Acharya ◽  
Diane Pierret ◽  
Sascha Steffen
Keyword(s):  
Bond Market ◽  
Lender Of Last Resort ◽  
Fire Sales ◽  
Sovereign Bond

Cross-Sectional and Time-Series Momentum in the US Sovereign Bond Market

2021 ◽  
pp. jfi.2021.1.127
Author(s):  
Lionel Martellini ◽  
Riccardo Rebonato ◽  
Jean-Michel Maeso
Keyword(s):  
Time Series ◽  
Bond Market ◽  
Cross Sectional ◽  
Sovereign Bond ◽  
The Us

scholarly journals The Price Discovery Mechanism between Sovereign Bond and Sovereign CDS Market: Studies in Selected Countries

2017 ◽  
Vol 9 (2) ◽  
pp. 270 ◽  
Author(s):  
Ngan Bich Nguyen
Keyword(s):  
Price Discovery ◽  
Empirical Test ◽  
Bond Market ◽  
Discovery Process ◽  
Sovereign Bond ◽  
Leading Role ◽  
Long Run ◽  
Pricing Process ◽  
Short Run ◽  
Price Discovery Process

This paper employs the multivariate VAR model to examine the mechanic work of price discovery process between sovereign CDS market and the associated sovereign bond market in contexts of five European and Asian countries, including Vietnam, Korea, Portugal, Italy and France from the beginning of 2008 to the end of April, 2017. The study accentuates on three aspects: the short-term interaction nexus between the sovereign CDS and the associated-sovereign bond market, the long-term co-movement between them and the discovery of which market plays the leading role in the pricing process. The results evidence the short-run and long-run relationship for the two markets. Particularly, the empirical test results support for the predominant role of the sovereign CDS market in the price discovery process in the bulk of sample entities. This might suggests for the governments to use CDS prices as the future indicator for predicting the volatility of debt markets.

scholarly journals DRIVERS OF ILLIQUIDITY IN THE ASEAN SOVEREIGN BOND MARKET

2020 ◽  
Vol 23 (4) ◽  
pp. 501-524
Author(s):  
Harald Kinateder ◽  
Robert Bauer ◽  
Niklas Wagner
Keyword(s):  
Growth Rate ◽  
Bond Market ◽  
Gdp Growth ◽  
Bond Markets ◽  
Policy Uncertainty ◽  
Yield Curves ◽  
Economic Policy Uncertainty ◽  
Sovereign Bond ◽  
Gdp Growth Rate ◽  
Sovereign Bond Markets

We study illiquidity in ASEAN-5 sovereign bond markets from 2008 to 2019 by using an illiquidity measure, which is based on a proxy of the amount of arbitrage capital available in sovereign bond markets. Our analysis identifies three drivers of illiquidity in Singapore, namely economic policy uncertainty, the default spread and the GDP growth rate. In contrast, liquidity of all other markets is mostly not characterized by economic drivers. It appears that overall liquidity is lower in the markets outside Singapore and therefore deviations in these yield curves are higher on average and arbitrage eliminates larger deviations not immediately but in a delayed manner.

scholarly journals A Macro-Financial Analysis of the Euro Area Sovereign Bond Market

2014 ◽  
Author(s):  
Hans Dewachter ◽  
Leonardo Iania ◽  
Marco Lyrio ◽  
Maite de Sola
Keyword(s):  
Euro Area ◽  
Financial Analysis ◽  
Bond Market ◽  
Sovereign Bond

Investigating a Debt Channel for the Smoot-Hawley Tariffs: Evidence from the Sovereign Bond Market

1999 ◽  
Vol 59 (3) ◽  
pp. 748-761
Author(s):  
Kevin Carey
Keyword(s):  
Significant Relationship ◽  
Bond Market ◽  
Debt Service ◽  
Bond Price ◽  
Bond Prices ◽  
Individual Country ◽  
Price Changes ◽  
Sovereign Bond ◽  
Price Data ◽  
Country Level

I examine the change in prices of foreign sovereign dollar bonds over several weeks in 1930 that marked major legislative progress for the Smoot-Hawley tariffs. If the market was preoccupied by anticipated debt-repayment problems arising from the tariffs, this should be visible in the cross-countty pattern of bond prices. The bond price data are compared to indicators of country sensitivity to the tariffs and debt service. A significant relationship is found for bond price changes in June 1930, but the size of the effect is very small. Analysis at the regional and individual country level reveals some puzzling cases.

scholarly journals Contagion in the Euro Area Sovereign Bond Market

2014 ◽  
Vol 4 (1) ◽  
pp. 66-82 ◽  
Author(s):  
Umberto Muratori
Keyword(s):  
Euro Area ◽  
Bond Market ◽  
Sovereign Bond
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