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 20 for “"Sovereign bond"”.
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A micro founded decomposition of emerging market sovereign bond spreads
Esta tesis solo está en formato papel por lo que se debe consultar en la propia Biblioteca Di Tella. La consulta se hace solo bajo reserva escribiendo a serviciosbiblio@utdt.edu.
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Investigating the determinants of sovereign bond yield spread in Namibia
The study investigates the determinants of sovereign bond yield spread in Namibia for the period 2011 to 2019. Secondary quarterly time series data for the period 2011-2019 was used to investigate the determinants of government bond spread over the last decade. The variables used were ten-year …
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The impact of news on the South African sovereign bond market
… is used to investigate how the South African sovereign bond yield curve react to headline news. Abnormal return dates in the zero-coupon yields are identified using GARCH models on the daily return series and news items that are classified into categories using supervised machine learning. A …
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Is free riding affecting market discipline in the Euro sovereign bond market?
… and Growth Pact (SGP) has affected the Euro sovereign bond markets and its ability to enforce market discipline. To date 7 of the 11 member states of the Euro zone have violated the principles of this pact, and yet the bond market has shown little appetite to punish those with high deficits …
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Investigating Systemic Risk with Co-occurrence Networks – Studies from the fields of sovereign bond and energy markets
… monetary decisions of the Fed and the ECB on the sovereign yield curve network This study investigates the sovereign yield curve network of 12 developed countries. The term structure of interest rates into the Level, Slope, and Curvature factors are decomposed by using the Diebold and Li model. …
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Role of institutions in fiscal performance
… debt. Our findings are as follows: First, the bond issuance ceiling expands as a country builds up credibility because higher credibility reduces the concerns over repudiation of existing debt. Governments with weak policymaking institutions may want to fully utilize this favorable funding …
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Three Essays on Public Money Creation, Endogenous Bank Credit Creation, and Remaining Empirical Issues: Interest Rates and Inflation
… successfully contain pressures in struggling sovereign bond markets, relying on its unique power to create its currency (the euro) and 3) interest rate exogeneity is, if not theoretically impossible, difficult to attain due to market psychology and endogenous credit creation. Having recognized …
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Three Essays on Extremes and Non-Linearities in Asset Pricing
… Cycle Dependent Spread Determinants in Emerging Sovereign Debt Markets", empirically estimates non-linear dependence structures of determinants of changes in sovereign bond spreads. Empirical results of the paper clearly identify a non-linear influence of determinants of changes in emerging …
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The Management of the Economic Crisis in Spain by the PSOE Government: a Domestic Political Perspective
… most notably EMU membership and the actions of sovereign-bond investors, the ECB and Germany. Yet while these external constraints forced the government to act, domestic political factors fundamentally shaped the content of key measures: the fiscal stimulus, the labour, financial and pension …
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Three essays on sovereign debt and financial markets
… Van der Ghote, we use a unique dataset on sovereign bond issuances and syndicated bank loans to study the duration and determinants of the periods of exclusion from international credit markets that usually follow governments' defaults. Among other results, we find that countries either …
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Soverign lending spreads
This thesis studies the determinants of sovereign lending spreads. The objective of the first chapter is to identify and disentangle various risks embodied in foreign currency denominated sovereign bond spreads. Its empirical approach tries to attribute the explanatory power of country fundamentals …
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Essays on savings, investment, and monetary policy
… studies the possibility that feedbacks between sovereign bond spreads and governments' desire to default may lead to multiple equilibria in sovereign debt markets. We show that such multiplicity does not exist in the infinite-horizon model of Eaton and Gersovitz (1981), a widely adopted …
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Essays in monetary and fiscal policy
… studies the possibility that feedbacks between sovereign bond spreads and governments' desire to default may lead to multiple equilibria in sovereign debt markets. We show that such multiplicity does not exist in the infinite-horizon model of Eaton and Gersovitz (1981), a widely adopted …
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Essays on Sovereign Risk and Banking
This thesis consists of three essays on sovereign risk and banking. In the first essay, we examine the determinants of sovereign risk in the Eurozone focusing on the recent crisis episode and search for a self-fulfilling contagion link by using an exogenous ECB policy announcement for …
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The effects of crisis on the interbank markets and sovereign risk: empirical investigations
… bailouts, downturns in asset prices and also to sovereign debt crises. The aim of this thesis is to empirically investigate the repercussions of this financial crisis on interbank market and sovereign risk. In Chapter one, we empirically explore the effect of bank lending relationships in the …
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Essays in Empirical Asset Pricing and International Finance
… t-test procedure. Applying this methodology to sovereign bond market pairs across three Latin American countries, we find evidence that, on average, decoupling has occurred in the Brazil-Mexico and Argentina-Mexico pairs. For the remaining combinations, our results suggest that shock …
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Three Essays in Financial Econometrics
… of the three chapters are summarized below: Sovereign Risk Contagion in Eurozone with Mutual Exciting Regime-Switching Model This paper proposes a new mutual exciting regime-switching model where crises can spread contagiously across countries. Each country has its own hidden stochastic …
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Essays on Macroeconomics
… relationship with aggregate growth.Chapter 3: Sovereign Default and the Choice of Maturity (with Juan M. Sanchez and Horacio Sapriza)This paper presents a new quantitative model of endogenous sovereign default, maturity choice and the term structure of bond yield spreads. Sovereigns usually …
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From ambiguity to action: Rethinking the origins of shocks and crises
… by detecting speculative bubbles in the sovereign bond markets. We argue that when a speculative bubble precedes a known financial crash date, the shock was anticipated to some extent (has an endogenous origin). To identify the potential dates of shocks, we propose employing a wavelet …