scholarly journals The Role of Macroeconomic Variables in Sovereign Risk

2020 ◽  
Vol 6 (1) ◽  
pp. 1
Author(s):  
George Zairis ◽  
Antonios Zairis
Keyword(s):  
Sovereign Debt ◽  
Government Bond ◽  
Financial Indicators ◽  
Sovereign Risk ◽  
Cross Sectional ◽  
Bond Yield ◽  
Debt Market ◽  
The Government ◽  
Macroeconomic Determinants ◽  
Stochastic Properties

The sovereign debt market has gathered a lot of attention post the global financial recession therefore it is very important to study how the countries of the eurozone countries can be shielded from all internal and external risks. This can be achieved by examining the macroeconomic determinants of the sovereign risk. Based on the results of the panel regression, it becomes evident which financial indicators are contributing to the sovereign risk. In terms of the stochastic properties, when homogeneity is assumed among the cross-sectional units, all the variables appeared to be level stationary except for the total government bond yield. However, when heterogeneity is assumed among the countries, variables such total government bond yield, GDS as a percentage of GDP, total credit to private sector, employment as a ratio to total GDP, and bank credit are level none stationary. Consequently, these findings will help identify the variables that can be used to approximate the movement of the government bond yield.

How Firm and Market Characteristics Affect Profitability

2015 ◽  
Vol 2 (1) ◽  
pp. 67-83 ◽  
Author(s):  
Ioannis Katsampoxakis ◽  
Haralampos Basdekis ◽  
Konstantinos Anathreptakis
Keyword(s):  
Sovereign Debt ◽  
Debt Crisis ◽  
Government Bond ◽  
Sovereign Debt Crisis ◽  
Bond Yield ◽  
Time Period ◽  
Greek Government ◽  
Greek Economy ◽  
Greek Government Bond ◽  
The Impact

This study aims to assess the impact of specific corporate and market features on the profitability of firms. More precisely, the variables examined for the purposes of this study are firms' size, financial leverage, accruals, volatility of profitability, growth rate of the Greek economy, the 10-year Greek government bond yield, and the Greek sovereign debt crisis. The empirical results exhibit an average profitability of 10.71%, which varies significantly both between firms and during the time period examined. Another finding of this study is the verification of the theoretical relationship between the above variables and Greek firms' profitability between 2004 and 2012. Whereas variables such as firms' size, volatility of profitability and accruals do not seem to affect firms' profitability in a statistically significant way, the signs of the coefficients are consistent with those found the literature review.

scholarly journals The Long-Run Determinants of Indian Government Bond Yields

2019 ◽  
Vol 36 (1) ◽  
pp. 168-205 ◽  
Author(s):  
Tanweer Akram ◽  
Anupam Das
Keyword(s):  
Interest Rate ◽  
Government Bond ◽  
Bond Yields ◽  
Short Term ◽  
Indian Government ◽  
Bond Yield ◽  
Long Run ◽  
Key Driver ◽  
The Government

This paper investigates the long-term determinants of the nominal yields of Indian government bonds (IGBs). It examines whether John Maynard Keynes’ supposition that the short-term interest rate is the key driver of the long-term government bond yield holds over the long run, after controlling for key economic factors. It also appraises if the government fiscal variable has an adverse effect on government bond yields over the long run. The models estimated in this paper show that in India the short-term interest rate is the key driver of the long-term government bond yield over the long run. However, the government debt ratio does not have any discernible adverse effect on IGB yields over the long run. These findings will help policy makers to (i) use information on the current trend of the short-term interest rate and other key macro variables to form their long-term outlook about IGB yields, and (ii) understand the policy implications of the government's fiscal stance.

Review of factors constraining the development of Indian corporate bond markets

2015 ◽  
Vol 7 (4) ◽  
pp. 429-444 ◽  
Author(s):  
Shagun Thukral ◽  
Sharada Sridhar ◽  
Medha Shriram Joshi
Keyword(s):  
Central Bank ◽  
Sovereign Debt ◽  
Action Plan ◽  
Corporate Bond ◽  
Corporate Debt ◽  
Expert Committee ◽  
Bond Markets ◽  
Content Type ◽  
Debt Market ◽  
The Government

Purpose – The paper aims to understand the factors that have limited the development of this market in India. With a conservative bank-based economy in the backdrop and with the Central Bank pulling the strings, the sovereign debt market occupies the most space in the bonds universe of India. The latter and almost minuscule portion of this market is occupied by the corporate and industrial houses that have forayed into the market to raise finances. This has led to a cycle where lack of participation leads to lack of liquidity and underdeveloped rating mechanisms which further pressurizes the development of this market in India. Design/methodology/approach – The paper is designed as a literature review which has attempted to identify the commonly agreed upon factors that have constrained the development of Corporate Bond markets in India especially and some other emerging economies who are successful or unsuccessful in their attempt to establish a corporate bond markets. These factors have then been categorized into broader heads and commented upon as a part of the analysis. Findings – Corporate bond markets in India, although steadily progressing, is still impeded by the nature of the market itself. While the necessary steps have been taken to implement some of the recommendations by the Expert Committee, the response solicited has not quite been as expected. The poor liquidity, weak rating-mechanisms, absence of standardization and disclosure nomenclatures and illiquidity in the government bond market itself need to be addressed objectively. Research limitations/implications – The research adopted attempts to validate prior research and the attempts by regulators to implement an action plan. However, further progress on the changing scenarios is encouraged to be tested through a quantitative analysis. Originality/value – The government and the Central Bank have constantly emphasized the importance of developing the Corporate debt market. Several studies have attempted to analyze the factors that have crippled the growth and steps taken by the Central Bank and Securities and Exchange Board of India by appointing an Expert Committee. This paper has attempted to visit all these factors and analyze the attempts to overcome by the Expert Committee including the backdrop of other nations who have a vibrant corporate debt market today. It sets the tone for further quantitative or statistical analysis.

scholarly journals The Sovereign-Bank Nexus in the Face of the COVID-19 Pandemic Outbreak—Evidence from EU Member States

Risks ◽  
2021 ◽  
Vol 9 (5) ◽  
pp. 98
Author(s):  
Iustina Alina Boitan ◽  
Kamilla Marchewka-Bartkowiak
Keyword(s):  
Sovereign Debt ◽  
Learning Algorithm ◽  
Government Debt ◽  
Real Economy ◽  
Balance Sheets ◽  
Eu Member States ◽  
The Face ◽  
Debt Market ◽  
The Government ◽  
Fiscal Pressure

The major focus of this paper is on the sovereign–banks relationship following the COVID-19 pandemic crisis outbreak, with a view to gaining an insight into banks’ exposure to the sovereign. We rely on a series of complementary research approaches, such as desk research, comparative statistical analysis, exploratory learning algorithm, and a deterministic panel regression framework. The analysis reveals that most EU countries were not prepared for the pandemic crisis as they lacked a financial security buffer. The growing fiscal pressure and lockdown restrictions additionally resulted in an increase in banks’ exposure to the government debt market and higher government debt securities exposure on their balance sheets. One of the novelties of the research is the adoption of the gap method in order to measure the changes between banking assets major items (government securities vs. loans) and uncovering the preference for holding a specific type of asset. Additional insight is brought by the clustering solution, which shows increased cross-country heterogeneity in terms of the sovereign–banks relationship. Empirical research shows that banks’ involvement in the sovereign debt market is sensitive mainly to negative information related to pandemic occurrence and, to a lower extent, to positive information reflected by government’s reactions and economic stimulus measures. In addition, our results reveal there is no crowding-out effect triggered by the pandemic, in terms of lending to the sovereign against lending to the real economy. In the pandemic onset banks did not proceed to a sharp portfolio rebalancing in favor of the sovereign.

scholarly journals The macroeconomic factors affecting government bond yield in Indonesia, Malaysia, Thailand, and the Philippines

2020 ◽  
Vol 17 (3) ◽  
pp. 111-121
Author(s):  
Benny Budiawan Tjandrasa ◽  
Hotlan Siagian ◽  
Ferry Jie
Keyword(s):  
Exchange Rate ◽  
Stock Market ◽  
Credit Default Swap ◽  
The Philippines ◽  
Government Bond ◽  
Stock Market Index ◽  
Market Index ◽  
Bond Yield ◽  
Credit Default ◽  
The Government

The government bond (GB) has become the most attractive investment portfolio option, even though many macroeconomic factors affect the bond yield. This paper aims to investigate the determining factor of local currency government bond yield by considering the inflation rate, credit default swap, stock market index, exchange rate, and volatility index. This study used 240 data panel from the Bloomberg stock market in the form of data panel covering Southeast developing countries, namely Indonesia, Thailand, Malaysia, and the Philippines, for five years or sixty months from January 2015 to December 2019. Data analysis used recursive models and multivariate regression techniques using EViews software. The random effect model results revealed that change in the foreign exchange rate and volatility indexes affected, partially and simultaneously, the changes in the stock market index. The result also showed that changes in the stock market index, inflation rate, and credit default swap affected, partially and simultaneously, government bond yield changes. These results suggest that the government bond yield could be managed by controlling volatility index, foreign exchange rate, stock market index, inflation rates, and credit default swaps. This finding could provide an insight into the policymaker and fiscal authority on managing the risk of government bonds under control during high volatility or even making it reasonably lower. This result could contribute to the current research in the field of financial management. Acknowledgment It is the author’s pleasure to thank Muhammad Aulia SE MSc CSA® from the Ministry of Finance of Republic Indonesia, for his invaluable contribution to encourage this study and also to share the data required for this paper. He also delivers essential insights into improving the quality of this work. This research received no specific grant from any funding agency in the public, commercial, or not-for-profit sectors.

scholarly journals Elucidating the Macroeconomic Determinants of Undernourishment in South Asian Countries: Building the Framework for Action

2021 ◽  
Vol 9 ◽  
Author(s):  
Noshaba Aziz ◽  
Jun He ◽  
Ali Raza ◽  
Hongguang Sui ◽  
Wang Yue
Keyword(s):  
South Asian ◽  
National Level ◽  
Food Prices ◽  
Overweight And Obesity ◽  
Poor People ◽  
Cross Sectional ◽  
Data Set ◽  
The Government ◽  
Macroeconomic Determinants ◽  
Physical Access

Undernourishment is a big challenge for humanity across the world. Considering the significance of reducing undernourishment, the current study focuses on exploring the macroeconomic determinants of undernourishment in the South Asian panel. The study employed econometric models that are more robust to underpin cross-sectional dependency and heterogeneity in a panel data set. The overall findings reveal that an increase in food production increases undernourishment and infer that food availability at the national level is insufficient to reduce undernourishment unless poor people also had economic and physical access to food. In the case of economic growth and governance, the results are negatively significant in some countries. The results infer that GDP and quality of governance are nuanced in declining the rate of undernourishment in some countries, while in other countries where the results are found insignificant, the government should seek other interventions to curtail the prevalence of undernourishment. Unexpectedly, an increase in food prices lessens the undernourishment in developing countries that reflect that food prices might transform the dietary patterns of poor people from nutrient-rich foods to nutrient-poor staples, thus lead to undernourishment reduction but trigger overweight and obesity alongside. In conclusion, the results depict that policymakers should devise strategies keeping in view fundamental aspects of the country to reduce undernourishment.

scholarly journals Spatio‑Temporal Analysis of the Impact of Credit Rating Agency Announcements on the Government Bond Yield in the World in the Period of 2008–2017

2019 ◽  
Vol 3 (342) ◽  
pp. 133-150
Author(s):  
Elżbieta Szulc ◽  
Dagna Wleklińska
Keyword(s):  
Credit Rating ◽  
Government Bond ◽  
Government Bonds ◽  
Credit Rating Agency ◽  
Bond Yield ◽  
Spatial Panel Data Models ◽  
The World ◽  
Spatial Panel Data ◽  
The Government ◽  
The Impact

The paper concerns the impact of announcements published by rating agencies on the government bond yield in selected countries of the world. Ratings assigned to debt securities on account of the issuer’s financial standing are an important determinant of their yield. Factors that affect the rate of return of a given traded debt, in addition to idiosyncratic factors, i.e. those related to the issuer’s economy, and global factors, also include the ratings of connected countries. Moreover, empirical studies carried out in this area prove that the relationship is asymmetrical. This allows us to suppose that favourable information concerning the improvement of government bond ratings is not reflected in the decrease in their yield. The aim of the paper is the analysis of interactions between the yields of 10‑year government bonds issued by selected economies. A subject that is of particular interest is the evaluation of the impact of positive and negative changes in credit rating assessments made by international agencies on the yield of bonds issued by other economies than the country concerned in the assessment. The spatial scope of the analysis concerns 10‑year government bonds issued by 40 countries in the period of 2008-2017. In the study, dynamic spatial models for pooled time series and cross‑sectional data and dynamic spatial panel data models were used.

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