Search Results

Showing results 1 to 3 of approximately 3.

(refine search)
SORT BY: PREVIOUS / NEXT
Keywords:excess bond premium 

Discussion Paper
The Term Structure of the Excess Bond Premium: Measures and Implications

In this article, we construct daily aggregate as well as short-, medium-, and long-term "excess bond premium" (EBP) measures using a widely available corporate bond database (known as "TRACE"). The novel EBP measures we construct provide an important gauge of strains in the financial sector at different horizons. We find that the short-term EBP measure increased more dramatically at the peaks of the COVID-19 pandemic and the 2007–09 global financial crisis, but the pattern was reversed around the interest rate liftoff at the end of 2015.
Policy Hub

Journal Article
The Term Structure of the Excess Bond Premium: Measures and Implications

In this article, we construct daily aggregate as well as short-, medium-, and long-term "excess bond premium" (EBP) measures using a widely available corporate bond database (known as "TRACE"). The novel EBP measures we construct provide an important gauge of strains in the financial sector at different horizons. We find that the short-term EBP measure increased more dramatically at the peaks of the COVID-19 pandemic and the 2007–09 global financial crisis, but the pattern was reversed around the interest rate liftoff at the end of 2015.
Policy Hub , Volume 2021 , Issue 12 , Pages 17

Working Paper
Sovereign Risk and Financial Risk

In this paper, we study the interplay between sovereign risk and global financial risk. We show that a substantial portion of the comovement among sovereign spreads is accounted for by changes in global financial risk. We construct bond-level sovereign spreads for dollar-denominated bonds issued by more than 50 countries from 1995 to 2020 and use various indicators to measure global financial risk. Through panel regressions and local projection analysis, we find that an increase in global financial risk causes a large and persistent widening of sovereign bond spreads. These effects are ...
FRB Atlanta Working Paper , Paper 27

FILTER BY Bank

FILTER BY Series

FILTER BY Content Type

FILTER BY Author

FILTER BY Jel Classification

E44 3 items

G12 3 items

E58 2 items

E43 1 items

F33 1 items

FILTER BY Keywords

excess bond premium 3 items

COVID-19 2 items

TRACE 2 items

CDS 1 items

global financial cycle 1 items

global financial risk 1 items

show more (4)

PREVIOUS / NEXT