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Keywords:Bonds 

Conference Paper
Bond market discipline of banks

Proceedings , Paper 687

Working Paper
Are covered bonds a substitute for mortgage-backed securities?

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

Working Paper
The temporal relationship between individual stocks and individual bonds

This paper investigates the comovements of stocks and bonds at the individual firm level. Based on a sample of 702 corporate bonds, individual stock returns and bond yield changes are found to be negatively correlated, suggesting that the comovements of individual stocks and bonds are largely driven by information about the mean value of the firms' assets, rather than the variance of asset returns. Furthermore, lagged stock returns are found to have explanatory power for current bond yield changes, but current stock returns are unrelated to lagged bond yield changes, indicating that stocks ...
Working Papers in Applied Economic Theory , Paper 95-03

Journal Article
Collateral damage detected

Emerging Issues , Issue Sep

Working Paper
Informed and strategic order flow in the bond markets

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

Working Paper
Diversification, original sin, and international bond portfolios

This paper has two main goals: to analyze country allocations in international bond portfolios and to describe the development of bond markets around the world. In the primary analysis, we find that country weights in U.S. investors' foreign bond portfolios are determined by the openness of capital accounts and potential diversification benefits. Positions in local-currency-denominated bonds are particularly sensitive to past and prospective volatility of returns. Analysis of reallocations in bond portfolios from 1997 to 2001 reveals a flight to quality from countries with low and declining ...
International Finance Discussion Papers , Paper 755

Report
Societal benefits of nominal bonds

In this paper, I provide a possible explanation of why nominally risk-free bonds are essential in monetary economies. I argue that the role of nominal bonds is to serve as record-keeping devices in intertemporal exchanges of money. I show that bonds can only serve this role if they are illiquid (costly to exchange for goods). Finally, I show that in economies in which nominal bonds are essential, welfare and nominal interest rates are both positively associated with the supply of illiquid bonds (if that supply is small).
Staff Report , Paper 275

Journal Article
Small-issue IDBs--tax policy in search of a focus

An examination of the history of small-issue industrial development bonds, with an analysis of the efficiency and effectiveness of this financing method.
Economic Commentary , Issue Aug

Journal Article
Monitoring debt market information for bank supervisory purposes

FRBSF Economic Letter

Working Paper
Do banks strategically time public bond issuance because of the accompanying disclosure, due diligence, and investor scrutiny?

This paper tests a new hypothesis that bank managers issue bonds, at least in part, to convey positive, private information and refrain from issuance to hide negative, private information. We find evidence for this hypothesis, using rating migrations, equity returns, bond issuance, and balance sheet data for US bank holding companies. The results add to our understanding of the role of "market discipline" in monitoring bank holding companies and also inform upon how proposed regulatory requirements that banking organizations frequently issue public bonds might augment "market discipline."
Finance and Economics Discussion Series , Paper 2003-37

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