scholarly journals Diversifying Market and Default Risk in High Grade Sovereign Bond Portfolios

2011 ◽  
Author(s):  
Myles Brennan ◽  
Adam Kobor ◽  
Vidhya Rustaman
Keyword(s):  
Default Risk ◽  
High Grade ◽  
Sovereign Bond ◽  
Bond Portfolios

Fiscal Sustainability, Default Risk and Euro Area Sovereign Bond Spreads

2011 ◽  
Author(s):  
Vladimir Borgy ◽  
Thomas Laubach ◽  
Jean-Stéphane Mésonnier ◽  
Jean-Paul Renne
Keyword(s):  
Euro Area ◽  
Default Risk ◽  
Fiscal Sustainability ◽  
Sovereign Bond ◽  
Bond Spreads

Evaluating the Default Risk of Bond Portfolios with Extreme Value Theory

2014 ◽  
Vol 45 (4) ◽  
pp. 647-668 ◽  
Author(s):  
Yong Ma ◽  
Zhengjun Zhang ◽  
Weiguo Zhang ◽  
Weidong Xu
Keyword(s):  
Extreme Value Theory ◽  
Default Risk ◽  
Value Theory ◽  
Extreme Value ◽  
Bond Portfolios

scholarly journals Fiscal Sustainability, Default Risk and Euro Area Sovereign Bond Spreads Markets

2011 ◽  
Author(s):  
Vladimir Borgy ◽  
Thomas Laubach ◽  
Jean-Stéphane Mésonnier ◽  
Jean-Paul Renne
Keyword(s):  
Euro Area ◽  
Default Risk ◽  
Fiscal Sustainability ◽  
Sovereign Bond ◽  
Bond Spreads

scholarly journals Is there a Long-Term Relationship among European Sovereign Bond Yields?

2017 ◽  
Vol 7 (1) ◽  
pp. 68
Author(s):  
Ian Schaeffer ◽  
Miguel D. Ramirez
Keyword(s):  
Monetary Policy ◽  
Fixed Effects ◽  
Bond Markets ◽  
Bond Yields ◽  
Economic Shocks ◽  
Sovereign Bond ◽  
Cointegration Tests ◽  
Bond Portfolios ◽  
Financial Research

The integration of financial markets has been a recurring theme in academic and financial research. The majority of the literature has focused on equity markets. Literature on the integration of international bond markets is not as common, specifically regarding that of European bonds since the beginning of the common currency area in 1999.This paper estimates a fixed effects pooled model and then proceeds to undertake panel unit root and cointegration tests to determine the degree of co-movement of European sovereign bond yields. The reported estimates suggest that yields move together over time, thus the benefits of diversification in European government bond portfolios may be limited. The results also have important implications for monetary policy. Given that economic shocks (e.g. inflationary shocks) are transmitted quickly from country to country, then it will complicate the task of monetary policy when it comes to pursuing an independent policy with respect to domestic monetary conditions in the presence of asymmetric economic shocks.

scholarly journals Sovereign Default Risk and Uncertainty Premia

2016 ◽  
Vol 8 (3) ◽  
pp. 230-266 ◽  
Author(s):  
Demian Pouzo ◽  
Ignacio Presno
Keyword(s):  
Default Risk ◽  
Sovereign Debt ◽  
Probability Model ◽  
Model Misspecification ◽  
Sovereign Default ◽  
Sovereign Bond ◽  
Endogenous Default ◽  
Sovereign Default Risk ◽  
International Investors ◽  
Bond Spreads

This paper studies how international investors' concerns about model misspecification affect sovereign bond spreads. We develop a general equilibrium model of sovereign debt with endogenous default wherein investors fear that the probability model of the underlying state of the borrowing economy is misspecified. Consequently, investors demand higher returns on their bond holdings to compensate for the default risk in the context of uncertainty. In contrast with the existing literature on sovereign default, we match the bond spreads dynamics observed in the data together with other business cycle features for Argentina, while preserving the default frequency at historical low levels. (JEL E43, E44, F34, G12, G21, H63, O16)

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