Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 20 of 28 for “"Bond Yields"”.
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Environmental Liabilities and Bond Yields
… This study examines the relation among bond ratings, bond yields, and EPA-based estimates of contingent environmental remediation liabilities to test if the relationships hold as theory implies it would. Extant theory suggests that financial variables, such as environmental remediation …
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An Analysis of Monetary Policy Transmission Through Bond Yields
… through which monetary policy influences bond yields, domestically and globally, with reference to a canonical decomposition of longer-term interest rates into expectations of future short-term interest rates, and term premia. After an introduction in chapter 1, chapter 2 appraises the use …
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The determinants of government bond yields: A comparative analysis of African, emerging and developed countries
… and development objectives. However, high yields discourage the issuance of bonds by African economies and impose financial difficulties, thus hindering the necessary development of the continent. This study examines the determinants of government bond yields in Africa and provides a …
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Modelling Term and Inflation Risk Premia in the South African Bond Market
… has been used to estimate the term premium of bond yields. Early attempts include linear regression models, such as those of Fama and Bliss (1987) and Cochrane and Piazzesi (2005), but these have been shown to be inconsistent and lacking in robustness (Kim and Orphanides (2007)). Affine term …
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Stocks, bonds and volatility in financial markets
… M\&A activities, and negatively correlated with bond liquidity premiums and Moody's Baa-Aaa corporate bond spreads. The funding liquidity is able to predict future stock market returns, and its forecasting power is significant in both in-sample and out-of-sample tests. It is also robust to …
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Bond yield modelling and its application in the European Union
… Literature suggests that government bond yields can be a valid leading indicator for this purpose. This thesis uses government bond yields and applies various models to forecast the crisis which happened recently. Chapter 2 investigates a model utilising the term structure of interest …
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Implementation of Bivariate Unspanned Stochastic Volatility Models
… spanned and can therefore be inferred from bond yields. When fitting unspanned models, it is necessary to include option data, which adds further challenges. Because there are no analytical solutions in the LADQ (1,1) model, we show how options can be priced using an Alternating Direction …
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A theory based stochastic investment model for actuarial use
… developed which describes returns from equities, bonds and cash, as well as inflation and economic growth. The model is consistent with economic theory, adequately fits past data, and is relatively parsimonious compared with other models. A series of assumptions about the causal relationships …
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Essays in Financial Economics
… and the levels and volatilities of nominal bond yields, in addition to well-known equity premium and the risk-free rate puzzles.</p><p>Equally surprising is the recent evidence on large moves in asset prices, and the over-pricing of the out-of-the-money index put options relative to standard …
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Income inequality and wealth concentration as a root cause of the subprime crisis
… impact of investor demand on US long-term bond yields in the pre-crisis period, which gives support to the hypothesis that the increasing global demand for safe assets led to a 'search for yield' by investors; (ii) to present estimates about the specific contribution of high net worth …
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Annuity Product Valuation and Risk Measurement under Correlated Financial and Longevity Risks
… covering the South Korean population and Korean bond yields for the period 1980-2015. Our results demonstrate the significant effect of correlation on annuity and risk-metric values. Finally, we found that the use of regime-switching techniques for both mortality and interest rate modelling …
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Dynamic global game coordination risks
… an interpretation of the model to real world bond yields and numerical examples.
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Post 2007 crisis unconventional monetary policy in the UK
… the time of the program initiation. The lower bond yields caused by APP encourage BFs to substitute bank borrowing with security debt (bonds). In addition, the risk weight regime of Basel capital adequacy requirements induces banks to favour mortgages over business loans to SMEs. My analysis …
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An Empirical Investigation of the Effects of Earnings Predictability and Auditor-Client Relationships on the Bond Credit Market
… examining the effect these issues have on the bond credit market. The first study examines the effect earnings predictability has on both the initial bond rating and the initial pricing of the issue. Earnings predictability is measured as (1) the annual earnings surprise (actual minus analyst …
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On Explosive Time Series
… the Moody's Seasoned Aaa and Baa Corporate Bond Yields, the Ten-Year Treasury Rate and the Volatility Index (VXO) as covariates. The third chapter intends to examine the size and power properties of right-tailed Dickey-Fuller unit root test processes when testing for market efficiency in the …
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Essays on international finance
… in international stock markets, international bond markets, and the currency markets from the whole cross-section of present value measures (the price-dividend ratio, bond yields, and the real exchange rate, respectively for the abovementioned three asset classes). We find that the global risk …
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Essays on institutional investors, central banks and asset pricing
… markets instruments, such as stocks and bonds, are evaluated. The changes in macroeconomic variables such as consumption, money demand and investment policies are also investigated. Under the adopted parametrization, quantitative easing is welfare improving. In addition, quantitative …
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Essays on Bayesian Macroeconometrics
… proxy to aid in model-based multivariate bond yield density forecasting. To do so, we develop a general estimation approach to incorporate volatility proxy information into dynamic factor models with stochastic volatility. We study the density prediction performance on U.S. bond yields of …
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Modelling, forecasting and riding credit risk in the Sterling Eurobond market
… of credit risk dynamics in the Sterling Eurobond market. The background to the thesis is the increasing size, complexity and volatility of all debt markets, where the tasks of measuring, understanding and forecasting credit risk are of central importance to investing institutions and to …
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Essays in Financial Economics
… capture the joint dynamics of stock returns, bond returns, bond yields, and macroeconomic fundamentals. We also match moments that have remained elusive in the literature ---including those from predictability regressions of stock returns, consumption, and dividends on the price-dividend …
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