scholarly journals Macro News and Bond Yield Spreads in the Euro Area

2014 ◽  
Author(s):  
Guglielmo Maria Caporale ◽  
Fabio Spagnolo ◽  
Nicola Spagnolo
Keyword(s):  
Euro Area ◽  
Yield Spreads ◽  
Bond Yield ◽  
Macro News

scholarly journals Macro news and bond yield spreads in the euro area

2017 ◽  
Vol 24 (2) ◽  
pp. 114-134 ◽  
Author(s):  
Guglielmo Maria Caporale ◽  
Fabio Spagnolo ◽  
Nicola Spagnolo
Keyword(s):  
Euro Area ◽  
Yield Spreads ◽  
Bond Yield ◽  
Macro News

scholarly journals Macro News and Bond Yield Spreads in the Euro Area

2014 ◽  
Author(s):  
Guglielmo Maria Caporale ◽  
Fabio Spagnolo ◽  
Nicola Spagnolo
Keyword(s):  
Euro Area ◽  
Yield Spreads ◽  
Bond Yield ◽  
Macro News

scholarly journals Convergence patterns in sovereign bond yield spreads: Evidence from the Euro Area

2017 ◽  
Vol 49 ◽  
pp. 129-139 ◽  
Author(s):  
Nikolaos Antonakakis ◽  
Christina Christou ◽  
Juncal Cunado ◽  
Rangan Gupta
Keyword(s):  
Euro Area ◽  
Yield Spreads ◽  
Sovereign Bond ◽  
Bond Yield

Measuring redenomination risks in the Euro area – evidence from survey data

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Jens Klose
Keyword(s):  
Survey Data ◽  
Monetary Union ◽  
Euro Area ◽  
Sovereign Debt ◽  
Debt Crisis ◽  
Yield Spreads ◽  
Content Type ◽  
Sovereign Bond ◽  
Distributed Lag ◽  
Bond Yield

Purpose This paper aims to introduce a new indicator to measure redenomination risks in Euro area countries. The measure is based on survey data. The influence of this indicator in determining sovereign bond yield spreads is estimated. Design/methodology/approach An autoregressive distributed lag approach is used to estimate the effects of redenomination risks on sovereign bond yields. Additional control variables are added. Findings The results for 10 European Economic and Monetary Union (EMU) countries in the period June 2012 to May 2019 show that the risk of depreciation is almost abandoned for most Euro area countries, i.e. the former crisis countries Ireland and Portugal. If anything an appreciation may occur for some countries once they leave the EMU. The only countries facing depreciation problems once leaving the monetary union are Italy and to some extent Spain. Originality/value With this new indicator, the literature on sovereign bond determination and i.e. on redenomination risks is expanded by an additional approach. Moreover, this study is one of few also looking at the period after the most severe tensions of the sovereign debt crisis in the Euro area in 2012.

scholarly journals Bond Yield Spreads in the Eurozone

2015 ◽  
Vol 62 (2) ◽  
pp. 222-240 ◽  
Author(s):  
Denisa Proksová ◽  
Mária Bohdalová
Keyword(s):  
Risk Aversion ◽  
Euro Area ◽  
General Level ◽  
Macroeconomic Factors ◽  
Yield Spreads ◽  
Systematic Assessment ◽  
Bond Yield ◽  
Time Periods ◽  
The Impact ◽  
Level Of Risk

Abstract Euro Area sovereign bond yield spreads fell significantly after the creation of the monetary union and moved in unison until the recession of 2008, when investors’ risk pricing changed considerably. Rising bond yield spreads caught the attention of economists who tried to find the factors influencing their size. Evolution of bond spreads was mostly related to various macroeconomic factors as well as the soundness of the countries’ banking sectors and a general level of risk aversion in the financial markets. Analysis presented in this paper compares bond yield spreads of Euro Area member countries and relates them to their debt levels as well as the liquidity of the securities and a general level of risk aversion. Apart from the usual variables, we also analysed differences in purchasing power to assess the impact of the common monetary policy in the pre-crisis period. After adjusting the model to better explain movements of linear regression residuals, we could not prove a systematic assessment of the above-mentioned factors except for time periods of high market volatility. We explain sudden changes in the importance of idiosyncratic factors as consequences of policies of the European Central Bank and other European Union institutions following such time periods, which, as our analysis suggests, distorted pricing of risk in the markets.

Cash Flow Volatility and Corporate Bond Yield Spreads

2008 ◽  
Author(s):  
Kenneth R. Vetzal ◽  
Alan V. S. Douglas ◽  
Alan Guoming Huang
Keyword(s):  
Cash Flow ◽  
Corporate Bond ◽  
Yield Spreads ◽  
Bond Yield ◽  
Cash Flow Volatility

Internal Liquidity Risk in Corporate Bond Yield Spreads: Bond- and Market-Level Evidences

2009 ◽  
Author(s):  
Hsien-Hsing Liao ◽  
Tsung-Kang Chen ◽  
tsai pei-ling
Keyword(s):  
Liquidity Risk ◽  
Corporate Bond ◽  
Yield Spreads ◽  
Bond Yield

The Determinants of Thailand Bond Yield Spreads

2012 ◽  
Author(s):  
Wilaiporn Paisarn
Keyword(s):  
Yield Spreads ◽  
Bond Yield

Suppliers’/Customers’ Cash Holdings, Sources of Cash Flows, and Firm Bond Yield Spreads

2013 ◽  
Author(s):  
Tsung-Kang Chen ◽  
Hsien-Hsing Liao ◽  
Yi-Ting Lin
Keyword(s):  
Cash Holdings ◽  
Cash Flows ◽  
Yield Spreads ◽  
Bond Yield
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