Interest Rates – The Economics, Tech, Health and Culture Remix (beta)

Legal clauses and sovereign bond pricing in the euro area

November 12, 2018 Bilal 0

Legal clauses and sovereign bond pricing in the euro area https://ift.tt/2PctLA8 Sovereign bond pricing in the euro area: When legal clauses matter The discussion on sovereign debt restructuring in the euro area has recently focused on legal considerations, in particular on whether the legal framework should be reformed to make restructurings more ‘viable’, for example via new collective action clauses (Bénassy-Quéré et al. 2018, Tabellini 2018, Pisani-Ferry and Zettelmeyer 2018). Should sovereign debts in Europe be ‘hard’ or ‘easy’ to restructure? The fundamental trade-off behind this question is well understood, at least theoretically (e.g. Bolton and Jeanne 2007, 2009, Pitchford […]

International Yield Curves and Currency Puzzles

November 12, 2018 Bilal 0

International Yield Curves and Currency Puzzles https://ift.tt/2JK4UOk International Yield Curves and Currency Puzzles NBER Working Paper No. 25206 Issued in November 2018 NBER Program(s):Asset Pricing, International Finance and Macroeconomics The depreciation rate is often computed as the ratio of foreign and domestic pricing kernels. Using bond prices alone to estimate these kernels leads to currency puzzles: the inability of models to match violations of uncovered interest parity and the volatility of exchange rates. One cannot use information in bonds alone because exchange rates are not spanned by bonds. This view of the puzzles is distinct from market incompleteness. Incorporating exchange […]

The effectiveness of large-scale asset purchases

October 16, 2018 Bilal 0

The effectiveness of large-scale asset purchases https://ift.tt/2Eeb89V Central banks in the US, Europe, and Japan purchased many trillions of dollars of assets in an effort to hold down their interest rates and stimulate their economies. The Fed described these operations as ‘large-scale asset purchases’, and they were often referred to in the business press as ‘quantitative easing’ (QE). In the US, asset purchases were implemented in three phases between 2009 and 2014, commonly labelled QE1, QE2, and QE3. What did these purchases accomplish? Figure 1 Federal Reserve holdings of securities, 19 November 2008 to 27 December 2017 Notes: Sum of Federal […]

The Pricing of FX Forward Contracts: Micro Evidence from Banks’ Dollar Hedging

October 16, 2018 Bilal 0

The Pricing of FX Forward Contracts: Micro Evidence from Banks’ Dollar Hedging https://ift.tt/2INEVER The mechanisms that the authors identify are directly relevant to the current policy debate concerning global funding markets and the procyclicality of the U.S. dollar with respect to the broader financial markets and the real economy. In particular, they show that when a shock affects one segment of the funding market it is transmitted to broader financial markets in ways that are shaped by global banks’ foreign-exchange management, including their dollar-hedging behaviors and direct FX funding structures. These findings have important implications for financial-stability-risk monitoring, systemic risk, […]

Beyond spreads: Measuring sovereign market stress in the euro area

October 16, 2018 Bilal 0

Beyond spreads: Measuring sovereign market stress in the euro area https://ift.tt/2QUOMeT JavaScript is disabled on your browser. Please enable JavaScript to use all the features on this page. Beyond spreads: Measuring sovereign market stress in the euro area☆ Abstract We develop a novel composite indicator to measure sovereign bond market stress in the euro area. The indicator integrates yield and liquidity spreads along with volatility into an overall measure of sovereign market stress. An application to the spillover literature suggests that stress mainly originates from a few countries, but that spillover patterns also vary over time. JEL classification C43 E44 […]

InoueRossiRevised2018.pdf

September 19, 2018 Bilal 0

InoueRossiRevised2018.pdf https://ift.tt/2PS8qbb Publish via Google Docs September 19, 2018 at 08:30PM https://ift.tt/2PS8qbb

Global Trends in Interest Rates – FEDERAL RESERVE BANK of NEW YORK

September 19, 2018 Bilal 0

Global Trends in Interest Rates – FEDERAL RESERVE BANK of NEW YORK https://ift.tt/2xnZiEi JEL classification: E43, E44, F31, G12 The trend in the world real interest rate for safe and liquid assets fluctuated close to 2 percent for more than a century, but has dropped significantly over the past three decades. This decline has been common among advanced economies, as trends in real interest rates across countries have converged over this period. It was driven by an increase in the convenience yield for safety and liquidity and by lower global economic growth. Publish via – FEDERAL RESERVE BANK of NEW […]

Finance and Econ From the Web: Night lights measure growth, why are rates so low, are bankers liberals or conservatives….

September 19, 2018 Bilal 0

I thought I’d have a separate “Best Of the Web” devoted to economics and finance. Below I’ve found 30 articles and academic papers on macro and finance. Some are easy reads and others are denser, but I’ve summarised each one. Oh, if you come across anything interesting that I’ve missed, then flag it to me and I’ll include it in my next list. Enjoy! North and South Korea at night , 1992 vs 2008

Rising Government Debt and What to Do About It — by Pierre Yared

September 4, 2018 Bilal 0

Rising Government Debt and What to Do About It — by Pierre Yared https://ift.tt/2NILeLO Rising Government Debt and What to Do About It NBER Working Paper No. 24979 Issued in August 2018 NBER Program(s):Economic Fluctuations and Growth, Public Economics, Political Economy Over the past four decades, government debt as a fraction of GDP has been on an upward trajectory in advanced economies, approaching levels not reached since World War II. While normative macroeconomic theories can explain the increase in the level of debt in certain periods as a response to macroeconomic shocks, they cannot explain the broad-based long-run trend in […]

Exchange rate behaviour when interest rates are negative: The evidence

September 2, 2018 Bilal 0

https://voxeu.org/article/exchange-rate-behaviour-when-interest-rates-are-negative VOX CEPR Policy Portal Research-based policy analysis and commentary from leading economists Create account | Login | Subscribe Search form Columns By Topic By Date By Reads By Tag Video Vox Vox Talks Publications Blogs&Reviews People Debates Events About Exchange rate behaviour when interest rates are negative: The evidence Allaudeen Hameed, Andrew Rose 27 October 2016 Recently a number of both small and large economies have experienced negative nominal interest rates. This column uses exchange rate data from 2010 to 2016 to demonstrate that negative interest rates seem to have little effect on observable exchange rate behaviour in these economies. […]