Suchergebnisse

With a panel VAR of 10 Euro area countries we study the budgetary determinants of government bond yield spreads vis-à-vis Germany between 1999Q1 and 2012Q4. We find that rising bid ask, VIX and debt differentials increase yield spreads; and improvements in the budget balance, higher growth prospects and depreciation lower the spreads. Moreover, rises in public wages or in social expenditure increase spreads, while increases in direct and indirect taxes lower the yield spreads. In the post-2007Q3 crisis period, rising expenditure components (except subsidies) increased spreads.

This paper develops high-frequency econometric methods to test for jumps in the spread of bond yields. We derive a coherent inference procedure that detects a jump in the yield spread only if at least one of the two underlying bonds displays a jump. We formalize the test as a sequential procedure in the context of an intersection union test in multiple testing and introduce a new bivariate jump test for pre-averaged intra-day returns. In an empirical application involving high-frequency data of U.S. government bonds, we contrast response patterns of term spreads and break-even inflation across monetary policy announcements, inflation, and employment news releases.

This paper develops high-frequency econometric methods to test for jumps in the spread of bond yields. We derive a coherent inference procedure that detects a jump in the yield spread only if at least one of the two underlying bonds displays a jump. We formalize the test as a sequential procedure in the context of an intersection union test in multiple testing and introduce a new bivariate jump test for pre-averaged intra-day returns. In an empirical application involving high-frequency data of U.S. government bonds, we contrast response patterns of term spreads and break-even in ation across monetary policy announcements, in ation, and employment news releases.

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.

Abstract.  Although recent research has led to a deeper understanding of the factors determining yields on long‐term Canada bonds, there has been little corresponding work on provincial bonds. By using a carefully constructed new data set, we establish two important results. First, provincial fiscal positions (debt and deficits) are an important factor in determining yield spreads between provincial and Canada bonds. Second, we show that provincial bonds are a substitute for corporate debt, in that during recessionary 'flights to quality' their yields react like those on corporate bonds.

Mestrado em Finanças ; O objetivo deste estudo é a extracção e análise da estrutura temporal da curva de Yield Spread no contexto das Obrigações de Tesouro emitidas por Portugal entre Janeiro 2004 e Junho de 2014, período no qual Portugal enfrentava uma crise de liquidez e de dívida. Para a extracção da curva de Yield Spread utilizamos o disjoint method. Este método requer uma curva teoricamente sem risco e uma curva com risco: como curva sem risco utilizamos a curva estimada pelo ECB e a curva com risco é estimada pelo modelo de Nelson-Siegel (1987). Dada a importância do papel da previsão no conhecimento da evolução da estrutura temporal, o objetivo secundário deste projeto é a previsão da curva das yields através da previsão dos parâmetros do modelo de Nelson-Siegel (1987) utilizando como o modelo de referência o processo passeio aleatório com deriva e como modelos competidores os AR(1) e VAR(1). Os resultados incluem a análise empírica da curva de yield spread das Obrigações de Tesouro de Portugal e, relativamente à previsão da curva das yields, concluímos que o AR(1) e VAR(1) produzem resultados ligeiramente melhores que o modelo de referência e que esses resultados melhoram à medida que o horizonte temporal da previsão aumenta. ; This study aims to fit and analyze the behaviour of the Yield Spread curve in the context of Portugal Government Bonds, covering a period of January 2004 through June 2014, when Portugal faced a liquidity and debt crisis. In order to extract the Yield Spread curve, we use a disjoint method. This method requires as an input both a defaultable and non-defaultable term structure: we use the default-free curve estimated by the ECB and the defaultable term structure is estimated by the Nelson-Siegel model (1987). Due to the important role that forecasting plays in understanding how term structure evolves, the secondary objective of this work is to forecast the yield curve by predicting the parameters of Nelson-Siegel model (1987) using the Random Walk with drift as the benchmark model and the AR(1) and the VAR(1) model as competitors models. The results include the empirical analysis of Portuguese Government yield spread curve and, concerning the yield curve forecasting, we conclude that AR(1) and VAR(1) slightly outperformed the benchmark model and these models performance improves as the forecasting time horizon increases.