scholarly journals Take the Short Route: Equilibrium Default and Debt Maturity

Econometrica ◽  
2019 ◽  
Vol 87 (2) ◽  
pp. 423-462 ◽  
Author(s):  
Mark Aguiar ◽  
Manuel Amador ◽  
Hugo Hopenhayn ◽  
Iván Werning
Keyword(s):  
Sovereign Debt ◽  
Yield Curve ◽  
Debt Management ◽  
Limited Commitment ◽  
Bond Markets ◽  
Short Term ◽  
Marginal Costs ◽  
Wide Range ◽  
Debt Default

We study the interactions between sovereign debt default and maturity choice in a setting with limited commitment for repayment as well as future debt issuances. Our main finding is that, under a wide range of conditions, the sovereign should, as long as default is not preferable, remain passive in long‐term bond markets, making payments and retiring long‐term bonds as they mature but never actively issuing or buying back such bonds. The only active debt‐management margin is the short‐term bond market. We show that any attempt to manipulate the existing maturity profile of outstanding long‐term bonds generates losses, as bond prices move against the sovereign. Our results hold regardless of the shape of the yield curve. The yield curve captures the average costs of financing at different maturities but is misleading regarding the marginal costs.

scholarly journals International Evidence on Extending Sovereign Debt Maturities

2021 ◽  
pp. 1.000-30.000
Author(s):  
Jens H. E. Christensen ◽  
◽  
Jose A Lopez ◽  
Paul Mussche
Keyword(s):  
Asset Management ◽  
Sovereign Debt ◽  
Yield Curve ◽  
Debt Management ◽  
Bond Markets ◽  
Foreign Government ◽  
Treasury Bond ◽  
Government Bond Markets ◽  
Dynamic Yield

Portfolio diversification is as important to debt management as it is to asset management. In this paper, we focus on diversification of sovereign debt issuance by examining the extension of the maximum maturity of issued debt. In particular, we examine the potential costs to the U.S. Treasury of introducing 50-year bonds as a financing option. Based on evidence from foreign government bond markets with such long-term debt, our results suggest that a 50-year Treasury bond would likely trade at an average yield that is at most 20 basis points above that of a 30-year bond. Our results based on extrapolations from a dynamic yield curve model using just U.S. Treasury yields are similar.

scholarly journals Analisis Pengaruh Likuiditas, Faktor Fundamental Ekonomi Makro Dan Faktor Eksternal Terhadap Imbal Hasil Surat Utang Negara (Seri FR0031)

2019 ◽  
Vol 2 (1) ◽  
pp. 46
Author(s):  
Deandra Aulia
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Sovereign Debt ◽  
Secondary Data ◽  
Debt Management ◽  
Short Term ◽  
Fixed Rate ◽  
Negative Effect ◽  
The Government

The government reopened the series FR0031 sovereign debt at the beginning of January 2010 through the Bank Indonesia auction system. The offered interest rate same as the beginning when the government issued FR0031 series debt securities, fixed rate of 11% but over time yield or yield in the form of coupons received by investors are fluctuating.               The aims of this research is to analyze the short term and long term influence of liquidity, interest rate, inflation, GDP, and exchange rate to imbal hasil National Bond (SUN) in the year of 2010 – 2017. This research using quarterly data of 2010 – 2017 for each variable. Data in this study is secondary data time series which provide by Bloomberg, Bank Indonesia, BPS and publication of Directorate General of Debt Management. The methode which used in this research is Error Correction Model. The result shows that variable inflation, GDP and exchange rate significantly positive effect in otherhand liquidity and interset rate significantly negative effect on Imbal hasil Curve SUN in long term. Judging by the value of the R square was 0.906314 it means 90.63% of imbal hasil explainable by independent variables used in this research the rest 9.37% explained by other factors. Based on the regression results there is no variable that significant in the short term with R square of 0.341939 which means the independent variable is able to explain 34.19% and 65.81% variation of the dependent variable

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

scholarly journals Maturity, Indebtedness, and Default Risk

2012 ◽  
Vol 102 (6) ◽  
pp. 2674-2699 ◽  
Author(s):  
Satyajit Chatterjee ◽  
Burcu Eyigungor
Keyword(s):  
Standard Deviation ◽  
Default Risk ◽  
Sovereign Debt ◽  
External Debt ◽  
Equilibrium Price ◽  
Short Term ◽  
Price Function ◽  
Output Ratio ◽  
Novel Method

We advance quantitative-theoretic models of sovereign debt by proving the existence of a downward sloping equilibrium price function for long-term debt and implementing a novel method to accurately compute it. We show that incorporating long-term debt allows the model to match Argentina's average external debt-to-output ratio, average spread on external debt, the standard deviation of spreads, and simultaneously improve upon the model's ability to account for Argentina's other cyclical facts. We also investigated the welfare properties of maturity length and showed that if the possibility of self-fulfilling rollover crises is taken into account, long-term debt is superior to short-term debt. (JEL E23, E32, F34, O11, O19)

scholarly journals Perception of investing in crypto in India using UTAUT model

2021 ◽  
Vol 9 (10) ◽  
pp. 1396-1400
Author(s):  
Vidhi Shah
Keyword(s):  
Indian Population ◽  
Social Benefits ◽  
Short Term ◽  
Perceived Safety ◽  
Utaut Model ◽  
Performance Expectancy ◽  
Wide Range ◽  
Effort Expectancy ◽  
Do So

Abstract: This research was conducted to gather data and understand the perception what the Indian population holds when it comes to investing in cryptocurrency. To do so, a survey was designed using the UTAUT model and was circulated by the means of google forms. A wide range of parameters were considered to avail the maximum possible accuracy for the data collected. Parameters like, the ease of investing crypto, short term and long term benefits, monetary benefits, social benefits were considered. All of these parameters were supposed to be answered on a scale of 5. After collecting all the data, the results were analyzed and evaluated using which the hypothesis made were proved. Keywords: Cryptocurrency, UTAUT, performance expectancy, effort expectancy, perceived monetary benefits, perceived safety, social influence, adoption intension.

scholarly journals Observations of rapid-fire event tremor at Lascar volcano, Chile

1996 ◽  
Vol 39 (2) ◽  
Author(s):  
G. Asch ◽  
K. Wylegalla ◽  
M. Hellweg ◽  
D. Seidl ◽  
H. Rademacher
Keyword(s):  
Fractal Structure ◽  
Seismic Station ◽  
Active Volcano ◽  
Short Term ◽  
Fire Event ◽  
Local Seismicity ◽  
Short Period ◽  
Wide Range ◽  
Lascar Volcano

During the Proyecto de Investigaciòn Sismològica de la Cordillera Occidental (PISCO '94) in the Atacama desert of Northern Chile, a continuously recording broadband seismic station was installed to the NW of the currently active volcano, Lascar. For the month of April, 1994, an additional network of three, short period, three-component stations was deployed around the volcano to help discriminate its seismic signals from other local seismicity. During the deployment, the volcanic activity at Lascar appeared to be limited mainly to the emission of steam and SO2. Tremor from Lascar is a random, «rapid-fire» series of events with a wide range of amplitudes and a quasi-fractal structure. The tremor is generated by an ensemble of independent elementary sources clustered in the volcanic edifice. In the short-term, the excitation of the sources fluctuates strongly, while the long-term power spectrum is very stationary.

scholarly journals Prevalence and prognostic implication of iron deficiency and anaemia in patients with severe aortic stenosis

Open Heart ◽  
2018 ◽  
Vol 5 (2) ◽  
pp. e000901
Author(s):  
Anette Borger Kvaslerud ◽  
Amjad Iqbal Hussain ◽  
Andreas Auensen ◽  
Thor Ueland ◽  
Annika E Michelsen ◽  
...  
Keyword(s):  
Iron Deficiency ◽  
Aortic Stenosis ◽  
Severe Aortic Stenosis ◽  
Iron Status ◽  
Transferrin Saturation ◽  
Short Term ◽  
Prognostic Implication ◽  
Wide Range ◽  
One Year

ObjectiveThe aim of this study was to evaluate the prevalence and prognostic implication of iron deficiency (ID) and anaemia in patients with severe aortic stenosis (AS).MethodsIn an observational study of consecutive patients referred for aortic valve replacement (AVR), we assessed a wide range of biomarkers of iron status, including the definition of ID commonly applied in patients with chronic heart failure (ferritin <100 µg/L or ferritin 100–299 µg/L with a transferrin saturation <20%). The endpoints were short-term (one-year) and long-term (median 4.7 years, IQR: 3.8–5.5) mortality and major adverse cardiovascular events (MACE) within the first year after inclusion.Results464 patients were included in this substudy. 91 patients (20%) received conservative treatment and 373 patients (80%) received AVR. ID was detected in 246 patients (53%). 94 patients (20%) had anaemia. Patients with ID had an overall worse clinical profile than patients without ID. During follow-up, 129 patients (28%) died. Neither ID as defined above, soluble transferrin receptor nor hepcidin were associated with short-term or long-term mortality or MACE independent on treatment allocation. Anaemia was associated with one-year mortality in conservatively treated patients.ConclusionsID and anaemia are prevalent in patients with severe AS. In our cohort, ID did not provide independent prognostic information on top of conventional risk factors. More studies are required to determine how to correctly diagnose ID in patients with AS.Trial registration numberNCT01794832.

scholarly journals Novel FTLRNN with Gamma Memory for Short-Term and Long-Term Predictions of Chaotic Time Series

2009 ◽  
Vol 2009 ◽  
pp. 1-21
Author(s):  
Sanjay L. Badjate ◽  
Sanjay V. Dudul
Keyword(s):  
Neural Network ◽  
Time Series ◽  
Mean Squared Error ◽  
Chaotic Time Series ◽  
Nonstationary Time Series ◽  
Medium Term ◽  
Short Term ◽  
Squared Error ◽  
Wide Range

Multistep ahead prediction of a chaotic time series is a difficult task that has attracted increasing interest in the recent years. The interest in this work is the development of nonlinear neural network models for the purpose of building multistep chaotic time series prediction. In the literature there is a wide range of different approaches but their success depends on the predicting performance of the individual methods. Also the most popular neural models are based on the statistical and traditional feed forward neural networks. But it is seen that this kind of neural model may present some disadvantages when long-term prediction is required. In this paper focused time-lagged recurrent neural network (FTLRNN) model with gamma memory is developed for different prediction horizons. It is observed that this predictor performs remarkably well for short-term predictions as well as medium-term predictions. For coupled partial differential equations generated chaotic time series such as Mackey Glass and Duffing, FTLRNN-based predictor performs consistently well for different depths of predictions ranging from short term to long term, with only slight deterioration after k is increased beyond 50. For real-world highly complex and nonstationary time series like Sunspots and Laser, though the proposed predictor does perform reasonably for short term and medium-term predictions, its prediction ability drops for long term ahead prediction. However, still this is the best possible prediction results considering the facts that these are nonstationary time series. As a matter of fact, no other NN configuration can match the performance of FTLRNN model. The authors experimented the performance of this FTLRNN model on predicting the dynamic behavior of typical Chaotic Mackey-Glass time series, Duffing time series, and two real-time chaotic time series such as monthly sunspots and laser. Static multi layer perceptron (MLP) model is also attempted and compared against the proposed model on the performance measures like mean squared error (MSE), Normalized mean squared error (NMSE), and Correlation Coefficient (r). The standard back-propagation algorithm with momentum term has been used for both the models.

Inter-dependencies among Asian bond markets

2017 ◽  
Vol 34 (4) ◽  
pp. 485-505 ◽  
Author(s):  
Sowmya Subramaniam ◽  
Krishna P. Prasanna
Keyword(s):  
Term Structure ◽  
Yield Curve ◽  
Factor Model ◽  
Dynamic Factor ◽  
Bond Markets ◽  
Content Type ◽  
Monetary Authorities ◽  
Asian Economies ◽  
Regional Factors

Purpose The purpose of the paper is to investigate the global and regional influences on the domestic term structure of nine Asian economies. Design/methodology/approach The dynamic Nelson Siegel model was used to extract the latent factors of a country’s yield curve movements in a state-space framework using the Kalman filter. The global and regional factors of the yield curve were extracted using the dynamic factor model. Further, the Bayesian inference of Gibbs sampling approach was used to identify the influence of global and regional factors on the domestic yield curve. Findings The results suggest that financial integration does not reduce the control of monetary authorities on the front end of the yield curve, and long-term interest rate is the potential transmission channel through which the contagion of the financial crisis spreads. Practical implications The results of this study would help the monetary authorities to understand the efficacy of the monetary policy transmission mechanism. It also offers the global investors diversification opportunities for investing in the Asian bond markets. Originality/value It is one of the earliest attempts to capture the global and regional yield curve movements and their impact on the emerging Asian economies yield curve. It contributes to literature by identifying the linkages in the long-term factor that is the potential channel through which crisis spreads.

Long Term Volatility of Interest Rate Swap and Macroeconomic Risk in Korean Market

2013 ◽  
Vol 21 (3) ◽  
pp. 255-273
Author(s):  
Byung-Jo Yoon ◽  
Kook-Hyun Chang ◽  
홍 민구
Keyword(s):  
Interest Rate ◽  
Yield Curve ◽  
Short Term ◽  
Interest Rate Swap ◽  
Macroeconomic Risk ◽  
Jump Model ◽  
Foreign Exchange Volatility ◽  
Korean Market ◽  
Rate Swap

This paper tries to empirically investigate whether macroeconomic risk may be statistically useful in explaining long-term volatility of interest rate swap (IRS) in korean market. This paper uses the component-jump model to estimate long-term volatility of IRS from 1/2/2003 to 1/31/2013. By using the component-jump model, the IRS volatility is decomposed into a long-term and a short-term component. According to this study, slope of yield curve and foreign exchange volatility as a proxy of macroeconomic risk have been significant in explaining long-term volatility of IRS.

Sign in / Sign up

Export Citation Format

Share Document