The Experts below are selected from a list of 318 Experts worldwide ranked by ideXlab platform
Danny Cassimon - One of the best experts on this subject based on the ideXlab platform.
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spillovers in sub saharan africa s sovereign Eurobond yields
Emerging Markets Finance and Trade, 2020Co-Authors: Christian Senga, Danny CassimonAbstract:This study investigates the possibility of spillovers among Sub-Saharan African (SSA) Eurobonds from January 2015 to June 2017 using secondary market yields. Our results indicate significant contag...
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Spillovers in Sub-Saharan Africa’s Sovereign Eurobond Yields
Emerging Markets Finance and Trade, 2019Co-Authors: Christian Senga, Danny CassimonAbstract:This study investigates the possibility of spillovers among Sub-Saharan African (SSA) Eurobonds from January 2015 to June 2017 using secondary market yields. Our results indicate significant contag...
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Sub-Saharan African Eurobond yields: What really matters beyond global factors?
2018Co-Authors: Christian Senga, Danny Cassimon, Dennis EssersAbstract:This study explores the drivers of secondary market yields of Sub-Saharan African (SSA) sovereign Eurobonds from 2008 to mid-2017. Our results indicate that, beyond global ‘push’ factors, country specific ‘pull’ factors such as inflation and GDP growth matter too for SSA Eurobond performance. A panel error-correction analysis suggests large heterogeneity in the short-term influence of our global and country variables across countries. We find no significant effect of bond-specific factors on yields when push and pull factors are accounted for. By emphasizing the prominence of country variables, reflecting the quality of countries’ macroeconomic management and their economic performance, our results qualify the common view that SSA countries have little control over their market borrowing costs.
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Sub-Saharan African Eurobond yields: What really matters beyond global factors?
Elsevier, 2018Co-Authors: Christian Senga, Danny Cassimon, Dennis EssersAbstract:This study explores the drivers of secondary market yields of Sub-Saharan African (SSA) sovereign Eurobonds from 2008 to mid-2017. Our results indicate that, beyond global ‘push’ factors, country-specific ‘pull’ factors such as inflation and GDP growth matter too for SSA Eurobond performance. A panel error-correction analysis suggests large heterogeneity in the short-term influence of our global and country variables across countries. We find no significant effect of bond-specific factors on yields when push and pull factors are accounted for. By emphasizing the prominence of country variables, reflecting the quality of countries’ macroeconomic management and their economic performance, our results qualify the common view that SSA countries have little control over their market borrowing costs. JEL classification: F34, G15, H63, Keywords: Public debt, International bonds, Bond yields, Sub-Saharan Afric
Christian Senga - One of the best experts on this subject based on the ideXlab platform.
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spillovers in sub saharan africa s sovereign Eurobond yields
Emerging Markets Finance and Trade, 2020Co-Authors: Christian Senga, Danny CassimonAbstract:This study investigates the possibility of spillovers among Sub-Saharan African (SSA) Eurobonds from January 2015 to June 2017 using secondary market yields. Our results indicate significant contag...
-
Spillovers in Sub-Saharan Africa’s Sovereign Eurobond Yields
Emerging Markets Finance and Trade, 2019Co-Authors: Christian Senga, Danny CassimonAbstract:This study investigates the possibility of spillovers among Sub-Saharan African (SSA) Eurobonds from January 2015 to June 2017 using secondary market yields. Our results indicate significant contag...
-
Sub-Saharan African Eurobond yields: What really matters beyond global factors?
2018Co-Authors: Christian Senga, Danny Cassimon, Dennis EssersAbstract:This study explores the drivers of secondary market yields of Sub-Saharan African (SSA) sovereign Eurobonds from 2008 to mid-2017. Our results indicate that, beyond global ‘push’ factors, country specific ‘pull’ factors such as inflation and GDP growth matter too for SSA Eurobond performance. A panel error-correction analysis suggests large heterogeneity in the short-term influence of our global and country variables across countries. We find no significant effect of bond-specific factors on yields when push and pull factors are accounted for. By emphasizing the prominence of country variables, reflecting the quality of countries’ macroeconomic management and their economic performance, our results qualify the common view that SSA countries have little control over their market borrowing costs.
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Sub-Saharan African Eurobond yields: What really matters beyond global factors?
Elsevier, 2018Co-Authors: Christian Senga, Danny Cassimon, Dennis EssersAbstract:This study explores the drivers of secondary market yields of Sub-Saharan African (SSA) sovereign Eurobonds from 2008 to mid-2017. Our results indicate that, beyond global ‘push’ factors, country-specific ‘pull’ factors such as inflation and GDP growth matter too for SSA Eurobond performance. A panel error-correction analysis suggests large heterogeneity in the short-term influence of our global and country variables across countries. We find no significant effect of bond-specific factors on yields when push and pull factors are accounted for. By emphasizing the prominence of country variables, reflecting the quality of countries’ macroeconomic management and their economic performance, our results qualify the common view that SSA countries have little control over their market borrowing costs. JEL classification: F34, G15, H63, Keywords: Public debt, International bonds, Bond yields, Sub-Saharan Afric
Jonathan A. Batten - One of the best experts on this subject based on the ideXlab platform.
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Dynamic interaction and valuation of quality yen Eurobonds in a multivariate EGARCH framework
Applied Financial Economics, 2006Co-Authors: Jonathan A. BattenAbstract:This study applies a multivariate EGARCH model, developed from the closed-form valuation model of Longstaff and Schwartz (1995), to explain the time-varying volatility of credit spreads on AAA and AA rated yen Eurobonds with different maturities. While the results support the theoretical proposition that relative credit spreads returns are negatively related to both changes in Japanese Government Bond (JGB) yields and changes in the Nikkei 225 Index, the key innovation of this study is that there is also evidence of a high level of volatility interaction and persistence between yen Eurobonds. However the volatility transmission mechanism is asymmetric in that negative innovations tend to increase the volatility in other bonds more than positive innovations.
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Interest Rates, Stock Returns, and Credit Spreads: Evidence from German Eurobonds
SSRN Electronic Journal, 2005Co-Authors: Niklas Wagner, Warren P. Hogan, Jonathan A. BattenAbstract:We investigate daily variations in credit spreads on investment-grade Deutschemark-denominated Eurobonds during the challenging 1994-1998 period. Empirical results from a Longstaff and Schwartz (1995) two-factor regression, extended for correlated spread changes and heteroskedasticity, indicate strong persistence in spread changes. Consistent with theory and previous findings, changes in spreads are significantly negatively related to the term-structure level while, contrary to theory, the proxy for asset value does not yield a significant negative contribution. We even find a significant positive relation for Eurobonds with long maturity. Tentative interpretations are portfolio-rebalancing activities or differing risk factor sensitivities on short vs. long-maturity bonds.
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Interest Rates, Stock Returns and Credit Spreads: Evidence from German Eurobonds
Economic Notes, 2005Co-Authors: Niklas Wagner, Warren P. Hogan, Jonathan A. BattenAbstract:We investigate daily variations in credit spreads on investment-grade Deutschemark-denominated Eurobonds during the challenging 1994– 1998 period. Empirical results from a Longstaff and Schwartz (1995) two-factor regression, extended for correlated spread changes and heteroskedasticity, indicate strong persistence in spread changes. Consistent with theory and previous findings, changes in spreads are significantly negatively related to the term-structure level while, contrary to theory, the proxy for asset value does not yield a significant negative contribution. We even find a significant positive relation for Eurobonds with long maturity. Tentative interpretations are portfoliorebalancing activities or differing risk factor sensitivities on short- vs. long-maturity bonds. (J.E.L.: G14, G15).
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What Drives the Japanese Yen Eurobond Term Structure of Japanese Bonds
2003Co-Authors: Jonathan A. Batten, Sangbae KimAbstract:This paper investigates the long-run equilibrium implications of the Expectations Hypothesis of the term structure on different maturities of high-grade yen Eurobonds and Japanese Government Bonds (JGBs) using the Canonical Cointegrating Regression (CCR) technique developed by Park [Econometrica 60 (1992) 119]. Consistent with the Expectations Hypothesis, there is some evidence of long-run equilibrium relationship between JGBs and high-grade yen Eurobonds. Furthermore, the most liquid, long-term JGBs tend to drive the yen Eurobond term structure, with short-term yields adjusting to movements in the long-term yields.
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Valuing Credit Spreads on Quality Australian Dollar Eurobonds in a Multivariate EGARCH Framework
Australian Economic Papers, 2002Co-Authors: Jonathan A. Batten, Warren P. HoganAbstract:We apply a multivariate EGARCH model implied from the closed-form valuation model of Longstaff and Schwartz (1995), to explain the time-varying volatility of credit spreads on high-quality Australian dollar Eurobonds with different maturities. The results support the proposition that relative credit spreads returns are negatively related to both changes in Australian Government bond yields and changes in the All Ordinaries Index. There is also evidence of a high level of volatility interaction and persistence between Australian dollar Eurobonds, though the volatility transmission mechanism is asymmetric in that negative innovations tend to increase the volatility in other bonds more than positive innovations.
Alessandro Missale - One of the best experts on this subject based on the ideXlab platform.
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Sovereign spreads in the eurozone : which prospects for a Eurobond?
Economic Policy, 2012Co-Authors: Carlo A Favero, Alessandro MissaleAbstract:In this paper, we provide new evidence on the determinants of sovereign yield spreads and ‘market sentiment’ effects in the eurozone in order to evaluate the rationale for a common Eurobond jointly guaranteed by eurozone Member States. We find that default risk is the main driver of yield spreads, suggesting small gains from greater liquidity. Fiscal fundamentals matter in the pricing of default risk but only as they interact with other countries’ yield spreads; that is, with the global risk that the market perceives. More importantly, the impact of this global risk variable is not constant over time, a clear sign of contagion driven by shifts in market sentiment. This evidence points to a discontinuity in the disciplinary role of financial markets. If markets can stay irrational longer than a country can stay solvent, then the role of yield spreads on national bonds as a fiscal discipline device is considerably weakened, and issuing Eurobonds can be economically justified. — Carlo Favero and Alessandro Missale
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sovereign spreads in the eurozone which prospects for a Eurobond
Economic Policy, 2012Co-Authors: Carlo A Favero, Alessandro MissaleAbstract:In this paper, we provide new evidence on the determinants of sovereign yield spreads and contagion effects in the euro area in order to evaluate the rationale for a common Eurobond jointly guaranteed by euro-area Member States. We find that default risk is the main driver of yield spreads, suggesting small gains from greater liquidity. Fiscal fundamentals matter in the pricing of default risk but only as they interact with other countries’ yield spreads; i.e. with the global risk that the market perceives. More important, the impact of this global risk variable is not constant over time, a clear sign of contagion driven by shifts in market sentiment. This evidence points to a discontinuity in the disciplinary role of financial markets. If markets can stay irrational longer than a country can stay solvent, then the role of yield spreads on national bonds as a fiscal discipline device is considerably weakened, and issuing Eurobonds can be economically justified.
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Sovereign spreads in the eurozone : which prospects for a Eurobond?
'Wiley', 2012Co-Authors: Carlo A Favero, Alessandro MissaleAbstract:In this paper, we provide new evidence on the determinants of sovereign yield spreads and \u2018market sentiment\u2019 effects in the eurozone in order to evaluate the rationale for a common Eurobond jointly guaranteed by eurozone Member States. We find that default risk is the main driver of yield spreads, suggesting small gains from greater liquidity. Fiscal fundamentals matter in the pricing of default risk but only as they interact with other countries\u2019 yield spreads; that is, with the global risk that the market perceives. More importantly, the impact of this global risk variable is not constant over time, a clear sign of contagion driven by shifts in market sentiment. This evidence points to a discontinuity in the disciplinary role of financial markets. If markets can stay irrational longer than a country can stay solvent, then the role of yield spreads on national bonds as a fiscal discipline device is considerably weakened, and issuing Eurobonds can be economically justifie
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Sovereign spreads in the Euro Area. Which prospects for a Eurobond
2011Co-Authors: Carlo A Favero, Alessandro MissaleAbstract:In this paper, we provide new evidence on the determinants of sovereign yield spreads and contagion effects in the euro area in order to evaluate the rationale for a common Eurobond jointly guaranteed by euro-area Member States. We find that default risk is the main driver of yield spreads, suggesting small gains from greater liquidity. Fiscal fundamentals matter in the pricing of default risk but only as they interact with other countries’ yield spreads; i.e. with the global risk that the market perceives. More important, the impact of this global risk variable is not constant over time, a clear sign of contagion driven by shifts in market sentiment. This evidence points to a discontinuity in the disciplinary role of financial markets. If markets can stay irrational longer than a country can stay solvent, then the role of yield spreads on national bonds as a fiscal discipline device is considerably weakened, and issuing Eurobonds can be economically justified.
João A. C. Santos - One of the best experts on this subject based on the ideXlab platform.
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Has the US Bond Market Lost its Edge to the Eurobond Market
International Review of Finance, 2010Co-Authors: Stavros Peristiani, João A. C. SantosAbstract:The growth of the European financial markets, together with the new, stricter regulations on the US financial markets, has spurred a debate over the competitiveness of the US financial markets. In this paper, we contribute to this debate by investigating the relative competitiveness of the US bond market over the last 10 years. In the early 1990s, the gross spread in the US bond market were significantly lower than in the Eurobond market. While this spread continued to decline in the US bond market, it declined at an even faster rate in the Eurobond market, to the point of eliminating the wide cost differential that existed between the two markets in the early 1990s. These findings are robust and suggest that the relative costs of bond underwriting declined in the Eurobond market. We also find that US firms are increasingly opting to issue their bonds in the Eurobond market, and that this relocation is partly driven by the decline in the relative gross spreads in the Eurobond market. This finding adds support to our conclusion that the cost of bond underwriting declined faster in the Eurobond market, reinforcing the view that the US bond market is facing a greater challenge from the Eurobond market.
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Has the U.S. Bond Market Lost Its Edge to the Eurobond Market?” Working Paper. [[series? Number?]] Federal Reserve Bank of
2008Co-Authors: Stavros Peristiani, João A. C. Santos, Jel Classification GAbstract:∗The authors thank Sarita Subramanian for her research assistance. The views stated herein are those of the authors and are not necessarily those of the Federal Reserve Bank of New York, or the Federal Reserve System. Has the U.S. bond market lost its edge to the Eurobond market? The growth of the European financial markets, together with the new, stricter regu-lations on the U.S. financial system, has spurred a debate about the competitiveness of the U.S. financial markets. In this paper, we compare underwriting costs in the U.S. bond market and the Eurobond market over the last ten years and investigate whether recent changes in the U.S. bond market’s relative competitiveness have affected U.S. firms ’ choice of bond issuing market. Our results show that ten years ago, it was less expensive to issue in the U.S. bond market than in the Eurobond market and that underwriting costs have declined continuously in the U.S. market over the last decade. Importantly, we also find that these costs decreased at an even faster rate in the Eurobond market to the point of eliminating the competitive wedge of the U.S. bond market. These findings are robust to bond-, firm-, and underwriter-specific characteristics and do not appear to be driven by sample selection, as they hold when we consider a sample of issuers that is both constant over time and common to both markets. Finally, we find that U.S. firms are increasingly opting to issue their bonds in the Eurobond market instead of the U.S. market, and that this relocation toward the Eurobond market is partly caused by the decline in the relative competitiveness of the U.S. bond market. 1
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Has the U.S. Bond Market Lost its Edge to the Eurobond Market
SSRN Electronic Journal, 2008Co-Authors: Stavros Peristiani, João A. C. SantosAbstract:The growth of the European financial markets, together with the new, stricter regulations on the U.S. financial system, has spurred a debate about the competitiveness of the U.S. financial markets. In this paper, we compare underwriting costs in the U.S. bond market and the Eurobond market over the last ten years and investigate whether recent changes in the U.S. bond market's relative competitiveness have affected U.S. firms' choice of bond issuing market. Our results show that ten years ago, it was less expensive to issue in the U.S. bond market than in the Eurobond market and that underwriting costs have declined continuously in the U.S. market over the last decade. Importantly, we also find that these costs decreased at an even faster rate in the Eurobond market to the point of eliminating the competitive wedge of the U.S. bond market. These findings are robust to bond-, firm-, and underwriter-specific characteristics and do not appear to be driven by sample selection, as they hold when we consider a sample of issuers that is both constant over time and common to both markets. Finally, we find that U.S. firms are increasingly opting to issue their bonds in the Eurobond market instead of the U.S. market, and that this relocation toward the Eurobond market is partly caused by the decline in the relative competitiveness of the U.S. bond market.
