Effect of U.S. Monetary Policy on Emerging Sovereign CDS-Bond Market

2017 ◽  
Author(s):  
Sreyoshi Das
Keyword(s):  
Monetary Policy ◽  
Bond Market

scholarly journals Which News Moves the Euro Area Bond Market?

2009 ◽  
Vol 10 (1) ◽  
pp. 1-31 ◽  
Author(s):  
Magnus Andersson ◽  
Szabolcs Sebestyén ◽  
Lars Jul Overby
Keyword(s):  
Monetary Policy ◽  
Euro Area ◽  
Bond Market ◽  
Bond Markets ◽  
Market Responses ◽  
Macroeconomic Announcements ◽  
Bond Futures

AbstractThis paper explores a long dataset (1999-2005) of intraday prices on German long-term bond futures and examines market responses to major macroeconomic announcements and ECB monetary policy releases. German bond markets tend to react more strongly to the surprise component in US macro releases compared with aggregated and national euro area and UK releases, and the strength of those reactions to US releases has increased over the period considered. We also document that the numbers of German unemployed workers consistently have been known to investors before official releases.

scholarly journals Current state of the government bond market in the Russian Federation

2020 ◽  
Vol 13 (2) ◽  
pp. 87-94
Author(s):  
M. N. Lakoza
Keyword(s):  
Monetary Policy ◽  
Russian Federation ◽  
Banking Regulation ◽  
Bond Market ◽  
External Factors ◽  
Government Bond ◽  
Russian Government ◽  
Internal Factors ◽  
The Russian Federation ◽  
The Government

The article reveals the main current trends of the government bond market in the Russian Federation. Various factors that influence the state bond market were studied. External factors included geopolitical risks, rating actions, monetary policy of world Central banks, and the dynamics of oil prices. The main internal factors were: lower inflation, the Bank of Russia’s monetary policy, the return of non–residents to Russian ruble debt, the strengthening of the ruble, the Bank of Russia’s policy in terms of banking regulation, and the flexible policy of initial placement of Federal loan bonds. In 2019, external factors did not have a primary impact on the Russian government securities market, but they determined the General background of investor relations. The market was largely influenced by internal factors.

Time variation paths of risk sensitivities of bank stocks in the past two decades

2016 ◽  
Vol 17 (4) ◽  
pp. 446-455
Author(s):  
Kaiyi Chen ◽  
Ling T. He ◽  
R.B. Lenin
Keyword(s):  
Monetary Policy ◽  
Financial Crisis ◽  
Least Squares ◽  
Stock Returns ◽  
Time Variation ◽  
Bond Market ◽  
Content Type ◽  
Study Programs ◽  
Bank Stock Returns ◽  
Bank Stock

Purpose The purpose of this study is to trace time variation paths in risk sensitivities of bank stock returns over the period of 1990-2014, which covers one of most serious financial crises in the history of the USA. Design/methodology/approach This study programs the flexible least squares (FLS) approach (Kalaba and Testfatsion, 1988, 1989 and 1990) with R, a free statistical computing and graphics software, to estimate the three-factor model developed by He and Reichert (2003) to examine changes in risk sensitivities of bank stocks to the stock market, bond market and real estate market. Findings Both FLS and ordinary least squares (OLS) results indicate that the bond market (interest rate) sensitivity of bank stock returns experiences dramatic changes. It is significantly positive before the 2006 subprime mortgage crisis (11/1990 to 5/2006), reduces to insignificant in a short period of 11/2006 to 10/2008 and turns into significantly negative during the period of 11/2008-11/2014. Further, results of this study indicate that bank stocks negatively respond to changes in housing prices in the period of 11/1990-1/1994 and after that the sensitivity turns into significantly positive. The significant shifts in risk sensitivities of banks stock returns coincide with alterations in long-term interest rates and monetary policy, especially the enormously stimulative monetary policy after the financial crisis in 2008. Originality/value This study programs the FLS approach with R and uses the FLS approach to demonstrate the time variation paths of risk sensitivities of bank stocks over a period that covers the 2008 financial crisis. The OLS results verify the significant shifts in risk sensitivities suggested by the FLS estimates.

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