Risks and risk premia in the US Treasury market
In: Journal of economic dynamics & control, Band 158, S. 104788
ISSN: 0165-1889
65 Ergebnisse
Sortierung:
In: Journal of economic dynamics & control, Band 158, S. 104788
ISSN: 0165-1889
SSRN
SSRN
SSRN
SSRN
Working paper
© 2019 Elsevier B.V. Applying standard portfolio-sort techniques to bank asset returns for 15 countries from 2004 to 2018, we uncover a risk premium associated with implicit government guarantees. This risk premium is intimately tied to sovereign risk, suggesting that guaranteed banks, defined as those of particular importance to the national economy, inherit the risk of the guarantor. Indeed, this premium does not exist in safe-haven countries. We rationalize these findings with a model in which implicit government guarantees are risky in the sense that they provide protection that depends on the aggregate state of the economy.
BASE
In: CEPR Discussion Paper No. DP14015
SSRN
Working paper
SSRN
Working paper
SSRN
Working paper
SSRN
Working paper
In: Bank of Italy Temi di Discussione (Working Paper) No. 1232, July 2019
SSRN
Working paper
SSRN
Working paper
In: DIW Berlin Discussion Paper No. 1290
SSRN
Working paper
In: ECB Working Paper No. 1418
SSRN
Working paper
In: Journal of international economics, Band 80, Heft 1, S. 72-88
ISSN: 0022-1996