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Economic Catastrophe Bonds
In: American economic review, Band 99, Heft 3, S. 628-666
ISSN: 1944-7981
The central insight of asset pricing is that a security's value depends both on its distribution of payoffs across economic states and on state prices. In fixed income markets, many investors focus exclusively on estimates of expected payoffs, such as credit ratings, without considering the state of the economy in which default occurs. Such investors are likely to be attracted to securities whose payoffs resemble economic catastrophe bonds—bonds that default only under severe economic conditions. We show that many structured finance instruments can be characterized as economic catastrophe bonds, but offer far less compensation than alternatives with comparable payoff profiles. (JEL G11, G12)
ECONOMIC FREEDOM AND STATE BOND RATINGS
In: Contemporary economic policy: a journal of Western Economic Association International, Band 33, Heft 4, S. 668-677
ISSN: 1465-7287
Are state bond ratings, ceteris paribus, related to economic freedom? We test for the relationship between economic freedom and an aggregate index comprised of ratings by Standard & Poor, Moody's, and Fitch. We also test for a relationship between economic freedom and the ratings by these three agencies individually. With a sample covering all 50 states for the period 1995–2008, the evidence strongly indicates that state bond ratings are positively and significantly related to overall economic freedom as well as three sub‐categories of economic freedom. Our results show that the quantitative impact of economic freedom on bond ratings is comparable to the effect of state real income and the unemployment rate. (JEL E43, H71)
Secular Economic Changes and Bond Yields
In: Review of Economics and Statistics, Forthcoming
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Influence of ADB Bond Issues and US Bonds on Asian Government Bonds
In: Asian Economic Journal, Band 21 No. 4
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Green Bonds: A Legal and Economic Analysis
In: Thilo Kuntz (ed.), Research Handbook on Environmental, Social, and Corporate Governance, Edward Elgar, 2023 (forthcoming)
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The Bonds of Democratic Politics – An Economic Perspective
In: Rational Foundations of Democratic Politics, S. 147-174
East Asian Bond Markets and Economic Growth
In: Jurnal Pengurusan, Band 39, S. 65-72
Using Economic Experiments to Improve Contingent Capital Bonds
In: Economic commentary, S. 1-6
ISSN: 0428-1276
This Commentary describes experiments conducted to study alternative designs for a new type of financial security, CoCo bonds, that is being used in some European countries to manage the risk of financial crises. CoCo bonds are bank-issued debt that converts to equity when a trigger is breached. The conversion into equity serves to recapitalize a bank during financial distress, precisely when it is hardest to raise capital. The types of trigger used for all CoCos issued thus far are defined in terms of book capital. The experiments we conducted explore the effects of using triggers that are based on market prices.
Bond supply and excess bond returns
In: Discussion paper series 6694
In: Financial economics
"We examine empirically how the maturity structure of government debt affects bond yields and excess returns. Our analysis is based on a theoretical model of preferred habitat in which clienteles with strong preferences for specific maturities trade with arbitrageurs. Consistent with the model, we find that (i) the supply of long- relative to short-term bonds is positively related to the term spread, (ii) supply predicts positively long-term bonds' excess returns even after controlling for the term spread and the Cochrane-Piazzesi factor, (iii) the effects of supply are stronger for longer maturities, and (iv) following periods when arbitrageurs have lost money, both supply and the term spread are stronger predictors of excess returns"--National Bureau of Economic Research web site
Government Bond Seigniorage
In: The Australian economic review, Band 39, Heft 4, S. 376-390
ISSN: 1467-8462
AbstractRecent studies have indicated that government bonds are an imperfect substitute for money in providing transaction services. Based on these studies, this article develops a theoretical framework showing that, as with money seigniorage, the government can gain an interest benefit from issuing government bonds. The article terms this interest benefit as 'government bond seigniorage'. Further, the article estimates government bond seigniorage in comparison with money seigniorage for five countries (Australia, Canada, France, Italy and the United States) during the period 1959–2001. It is found that government bond seigniorage accounts for a larger percentage of Gross Domestic Product than money seigniorage, but also experiences greater fluctuations for all sample countries.
Informational Friction, Economic Uncertainty and CDS-Bond Basis
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