Search Results

Showing results 1 to 10 of approximately 157.

(refine search)

SORT BY: PREVIOUS / NEXT

All:
Title:
Author:
Abstract:
Keywords:

+ Add Search Parameter

Working Paper
The Performance of International Equity Portfolios
Wongswan, Jon; Thomas, Charles P.; Warnock, Francis E. (2004)
This paper evaluates the performance of U.S. investors' portfolios in the equities of over 40 countries over a 25-year period. We find that these portfolios achieved a significantly higher Sharpe ratio than foreign benchmarks, especially since 1990. We uncover three potential reasons for this success. First, U.S. investors abstained from momentum trading and instead sold past winners. Second, conditional performance tests provide no evidence that the superior (unconditional) performance owed to private information, suggesting that the successful exploitation of publicly available information ...
International Finance Discussion Papers , Paper 817

Working Paper
Are covered bonds a substitute for mortgage-backed securities?
Rosen, Richard J.; Rodriguez-Fernandez, Francisco; Carbo-Valverde, Santiago (2011)
Covered bonds and mortgage-backed securities both allow mortgages to be financed with duration-matched bonds. Given the problems in the MBS market during the financial crisis, some suggest that covered bonds might be a substitute for MBS. We examine the use of covered bonds and MBS in the U.S. and Europe, finding that the two are used for different purposes. Covered bonds are used more to increase liquidity than are MBS. MBS are more often used in ways consistent with exploiting some kinds of agency problems.
Working Paper Series , Paper WP-2011-14

Journal Article
The bond rate and actual future inflation
Mehra, Yash P. (1998-04)
Economic Quarterly , Issue Spr , Pages 27-47

Report
Money and bonds: an equivalence theorem
Kocherlakota, Narayana R. (2007)
This paper considers four models in which immortal agents face idiosyncratic shocks and trade only a single risk-free asset over time. The four models specify this single asset to be private bonds, public bonds, public money, or private money respectively. I prove that, given an equilibrium in one of these economies, it is possible to pick the exogenous elements in the other three economies so that there is an outcome-equivalent equilibrium in each of them. (The term ?exogenous variables? refers to the limits on private issue of money or bonds, or the supplies of publicly issued bonds or ...
Staff Report , Paper 393

Working Paper
Default and the maturity structure in sovereign bonds
Ramanarayanan, Ananth; Arellano, Cristina (2008)
This paper studies the maturity composition and the term structure of interest rate spreads of government debt in emerging markets. We document that in Argentina, Brazil, Mexico, and Russia, when interest rate spreads rise, debt maturity shortens and the spread on short-term bonds is higher than on long-term bonds. To account for this pattern, we build a dynamic model of international borrowing with endogenous default and multiple maturities of debt. Short-term debt can deliver higher immediate consumption than long-term debt; large longterm loans are not available because the borrower cannot ...
Globalization Institute Working Papers , Paper 19

Conference Paper
Asset market linkages in crisis periods
De Vries, Casper G.; Hartman, Philipp; Straetmans, Stefan (2001)
Proceedings , Paper 727

Working Paper
Sovereign default risk and uncertainty premia
Pouzo, Demian; Presno, Ignacio (2012)
This paper studies how foreign investors' concerns about model misspecification affect sovereign bond spreads. We develop a general equilibrium model of sovereign debt with endogenous default wherein investors fear that the probability model of the underlying state of the borrowing economy is misspecified. Consequently, investors demand higher returns on their bond holdings to compensate for the default risk in the context of uncertainty. In contrast with the existing literature on sovereign default, we explain the bond spreads dynamics observed in the data as well as other business cycle ...
Working Papers , Paper 12-11

Conference Paper
Equity and bond market signals as leading indicators of bank fragility
Vulpes, Giuseppe; Gropp, Reint; Vesala, Jukka M. (2002)
We analyse the ability of equity market-based distances-to-default and subordinated bond spreads to signal a material weakening in banks' financial condition. Using option pricing, we show that both indicators are complete and unbiased indicators of bank fragility. We empirically test these properties using a sample of EU banks. Two different econometric models are estimated: a series of logit-models, which were estimated for different time-leads, and a proportional hazard model. We find support in favour of using both the distance-to-default and spread as leading indicators of bank ...
Conference Series ; [Proceedings]

Journal Article
What moves the bond market?
Remolona, Eli M.; Fleming, Michael J. (1997-12)
In an examination of the U.S. Treasury securities market, the authors attempt to explain the sharpest price changes and most active trading episodes. They find that each of the twenty-five largest price shocks and twenty-five greatest trading surges can be attributed to just-released macroeconomic announcements. They also measure the market's average reactions to theses announcements and analyze the extent to which the reactions depend on the degree of announcement surprise and on prevailing market conditions. The market's price and trading reactions are found to reflect differences of ...
Economic Policy Review , Volume 3 , Issue Dec , Pages 31-50

Working Paper
Informed and strategic order flow in the bond markets
Vega, Clara; Pasquariello, Paolo (2006)
We study the role played by private and public information in the process of price formation in the U.S. Treasury bond market. To guide our analysis, we develop a parsimonious model of speculative trading in the presence of two realistic market frictions -- information heterogeneity and imperfect competition among informed traders -- and a public signal. We test its equilibrium implications by analyzing the response of two-year, five-year, and ten-year U.S. bond yields to order flow and real-time U.S. macroeconomic news. We find strong evidence of informational effects in the U.S. Treasury ...
International Finance Discussion Papers , Paper 874

show more (3)

PREVIOUS / NEXT

Fed in Print

Search Results

FILTER BY year

FILTER BY Bank

FILTER BY Series

FILTER BY Content Type

FILTER BY Author

FILTER BY Jel Classification

FILTER BY Keywords