Wealth, Stock Returns, Government Bond Yields, and Systemic Risk

2010 ◽  
Author(s):  
Ricardo M. Sousa
Keyword(s):  
Stock Returns ◽  
Systemic Risk ◽  
Government Bond ◽  
Bond Yields

scholarly journals Bond yields and stock returns comparison using wavelet semblance analysis

2017 ◽  
Vol 14 (2) ◽  
pp. 281-289 ◽  
Author(s):  
Robert Verner ◽  
Gabriel Herbrik
Keyword(s):  
Fourier Transform ◽  
Wavelet Transform ◽  
Stock Returns ◽  
Continuous Wavelet Transform ◽  
Stock Prices ◽  
Continuous Wavelet ◽  
Government Bond ◽  
Bond Yields ◽  
The Fourier Transform ◽  
Different Sources

Various measures of resemblance are increasingly applied in confrontation of data samples obtained by different sources. Semblance analysis aims at comparison of two sets of data based on their phase and frequency. Conventional semblance analysis following the Fourier transform has several deficiencies resulting from the transform. To overcome these obstacles, another type of semblance analysis was developed applying the wavelet transform. This paper focuses on semblance analysis of stock prices and government bond yields of two major global economies using continuous wavelet transform regarding both scale and time.

Country-specific euro area government bond yield reactions to ECB’s non-standard monetary policy program announcements

2020 ◽  
Vol 21 (4) ◽  
pp. 417-474 ◽  
Author(s):  
Ralf Fendel ◽  
Frederik Neugebauer
Keyword(s):  
Monetary Policy ◽  
Euro Area ◽  
Yield Reduction ◽  
Government Bond ◽  
Bond Yields ◽  
Bond Yield ◽  
Current Spread ◽  
Policy Program ◽  
Government Bond Markets ◽  
Country Specific

AbstractThis paper employs event study methods to evaluate the effects of ECB’s non-standard monetary policy program announcements on 10-year government bond yields of 11 euro area member states. Measurable effects of announcements arise with a one-day delay meaning that government bond markets take some time to react to ECB announcements. The country-specific extent of yield reduction seems inversely related to the solvency rating of the corresponding countries. The spread between core and periphery countries reduces because of a stronger decrease in the latter. This result is confirmed by letting the announcement variable interact with the current spread level.

A Note Concerning the Dynamics of Government Bond Yields

2021 ◽  
pp. 056943452098827
Author(s):  
Tanweer Akram
Keyword(s):  
Interest Rate ◽  
Financial Markets ◽  
Yield Curve ◽  
Empirical Studies ◽  
State Theory ◽  
Government Bond ◽  
Bond Yields ◽  
Short Term ◽  
Government Bonds

Keynes argued that the central bank can influence the long-term interest rate on government bonds and the shape of the yield curve mainly through the short-term interest rate. Several recent empirical studies that examine the dynamics of government bond yields not only substantiate Keynes’s view that the long-term interest rate responds markedly to the short-term interest rate but also have relevance for macroeconomic theory and policy. This article relates Keynes’s discussions of money, the state theory of money, financial markets, investors’ expectations, uncertainty, and liquidity preference to the dynamics of government bond yields for countries with monetary sovereignty. Investors’ psychology, herding behavior in financial markets, and uncertainty about the future reinforce the effects of the short-term interest rate and the central bank’s monetary policy actions on the long-term interest rate. JEL classifications: E12; E40; E43; E50; E58; E60; F30; G10; G12; H62; H63

Forecasting Government Bond Yields with Neural Networks Considering Cointegration

2015 ◽  
Vol 35 (1) ◽  
pp. 86-92 ◽  
Author(s):  
Christoph Wegener ◽  
Christian von Spreckelsen ◽  
Tobias Basse ◽  
Hans-Jörg von Mettenheim
Keyword(s):  
Neural Networks ◽  
Government Bond ◽  
Bond Yields

scholarly journals An Index of the Yields of Junk Bonds, 1910–1955

2017 ◽  
Vol 77 (4) ◽  
pp. 1203-1219 ◽  
Author(s):  
Peter Basile ◽  
Sung Won Kang ◽  
John Landon-Lane ◽  
Hugh Rockoff
Keyword(s):  
Twentieth Century ◽  
High Risk ◽  
Corporate Bond ◽  
High Yield ◽  
Government Bond ◽  
Bond Yields ◽  
Middle Years ◽  
Bond Index ◽  
Junk Bonds

We present a new monthly index of the yields on junk bonds (high risk, high yield bonds) for the period 1910–1955. This index supplements the indexes of government bond yields, and Aaa and Baa corporate bond yields economic historians have relied on previously to describe the long-term risk spectrum. First, we describe our sources and methods. Then we show that our junk bond index contains information that is not in the closest alternative, and suggest some ways that the junk bond index could be used to enrich our understanding of the turbulent middle years of the twentieth century.

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