The Experts below are selected from a list of 1077 Experts worldwide ranked by ideXlab platform
Damian Romero - One of the best experts on this subject based on the ideXlab platform.
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channels of us monetary policy spillovers to International Bond markets
Journal of Financial Economics, 2019Co-Authors: Elias Albagli, Luis Ceballos, Sebastian Claro, Damian RomeroAbstract:We document significant US monetary policy (MP) spillovers to International Bond markets. Our methodology identifies US MP shocks as the change in short-term treasury yields within a narrow window around FOMC meetings, and traces their effects on International Bond yields using panel regressions. We emphasize three main results. First, US MP spillovers to long-term yields have increased substantially after the global financial crisis. Second, spillovers are large compared to the effects of other events, and at least as large as the effects of domestic MP after 2008. Third, spillovers work through different channels, concentrated in risk neutral rates (expectations of future MP rates) for developed countries, but predominantly on term premia in emerging markets. In interpreting these findings, we provide evidence consistent with an exchange rate channel, according to which foreign central banks face a tradeoff between narrowing MP rate differentials, or experiencing currency movements against the US dollar. Developed countries adjust in a manner consistent with freely floating regimes, responding partially with risk neutral rates, and partially through currency adjustments. Emerging countries display patterns consistent with FX interventions, which cushion the response of exchange rates but reinforce capital flows and their effects in Bond yields through movements in term premia. Our results suggest that the endogenous effects of FXI on long-term yields should be added into the standard cost-benefit analysis of such policies.
Henrik Hasseltoft - One of the best experts on this subject based on the ideXlab platform.
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International Bond risk premia
Journal of International Economics, 2013Co-Authors: Magnus Dahlquist, Henrik HasseltoftAbstract:We find evidence for time-varying risk premia across International Bond markets. Local and global factors jointly predict returns. The global factor is closely linked to US Bond risk premia and International business cycles. Movements in the global factor seem to drive risk premia and expected short-term interest rates in opposite directions. We consider an affine term-structure model in which risk premia are driven by one local and one global factor. Shocks to these factors account for only a small fraction of yield variance and the cross-section of yields conveys little information about the factors. Finally, correlations between International Bond risk premia have increased over time, suggesting an increase in integration between markets.
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Handbook of Fixed‐Income Securities - International Bond Risk Premia
Journal of International Economics, 2013Co-Authors: Magnus Dahlquist, Henrik HasseltoftAbstract:We find evidence for time-varying risk premia across International Bond markets. Local and global factors jointly predict returns. The global factor is closely linked to US Bond risk premia and International business cycles. Movements in the global factor seem to drive risk premia and expected short-term interest rates in opposite directions. We consider an affine term-structure model in which risk premia are driven by one local and one global factor. Shocks to these factors account for only a small fraction of yield variance and the cross-section of yields conveys little information about the factors. Finally, correlations between International Bond risk premia have increased over time, suggesting an increase in integration between markets.
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International Bond risk premia
Swiss Finance Institute Research Paper Series, 2011Co-Authors: Magnus Dahlquist, Henrik HasseltoftAbstract:We identify local and global factors across International Bond markets that are poorly spanned by the traditional level, slope and curvature factors but have strong forecasting power for future Bond excess returns. Local and global factors are jointly significant predictors of Bond returns, where the global factor is closely linked to US Bond risk premia and International business cycles. Motivated by our results, we estimate a no-arbitrage affine term structure model for each country in which movements in risk premia are driven by one local and one global factor. Yield loadings for the two factors are estimated to be close to zero while shocks to risk premia account for a small fraction of yield variance. This suggests that the cross-section of yields conveys little information about the return-forecasting factors. We show that shocks to global risk premia cause off-setting movements in expected returns and expected future short-term interest rates, leaving current yields little affected. Furthermore, correlations between International Bond risk premia have increased over time, indicating an increase in integration between markets.
Dan S. Dhaliwal - One of the best experts on this subject based on the ideXlab platform.
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Cross‐Jurisdictional Income Shifting by U.S. Multinationals: Evidence from International Bond Offerings
Journal of Accounting Research, 2001Co-Authors: Kaye J. Newberry, Dan S. DhaliwalAbstract:type="main" xml:lang="en"> We examine whether tax incentives influence where U.S. multinationals locate their interest deductions worldwide. Our sample includes International Bond offerings by U.S. multinationals during 1987–1997 denominated in the currencies of Australia, Canada, France, Germany, Italy, Japan, or the United Kingdom. Our results suggest that U.S. multinationals’ debt location decisions take into account the effect of jurisdiction-specific tax-loss carryforwards and binding foreign tax credit limitations on the value of debt tax shields. Our results are also consistent with U.S. multinationals locating interest deductions in different tax jurisdictions as a mechanism to achieve tax-motivated income shifting.
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cross jurisdictional income shifting by u s multinationals evidence from International Bond offerings
Journal of Accounting Research, 2001Co-Authors: Kaye J. Newberry, Dan S. DhaliwalAbstract:type="main" xml:lang="en"> We examine whether tax incentives influence where U.S. multinationals locate their interest deductions worldwide. Our sample includes International Bond offerings by U.S. multinationals during 1987–1997 denominated in the currencies of Australia, Canada, France, Germany, Italy, Japan, or the United Kingdom. Our results suggest that U.S. multinationals’ debt location decisions take into account the effect of jurisdiction-specific tax-loss carryforwards and binding foreign tax credit limitations on the value of debt tax shields. Our results are also consistent with U.S. multinationals locating interest deductions in different tax jurisdictions as a mechanism to achieve tax-motivated income shifting.
Andreas Zingg - One of the best experts on this subject based on the ideXlab platform.
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Investment Performance of Swiss Pension Funds and Investment Foundations
Swiss Journal of Economics and Statistics, 2008Co-Authors: Manuel Ammann, Andreas ZinggAbstract:We investigate the performance of domestic and International Bond and equity portfolios of Swiss pension funds and investment foundations over the period of 1996 to 2006. Our sample consists of 73 pension funds and 13 investment foundations with total assets of more than CHF 200 billion. We find some indications for superior skills of security selection and timing by pension funds in International Bond management even net of costs for asset management and fund administration. In contrast, we find a significant net underperformance for domestic Bonds, domestic equities and International equities. For investment foundations, we find a significant net underperformance for domestic Bonds and International equities, whereas for International Bonds and domestic equities the null hypothesis of neither significant outperformance or underperformance cannot be rejected. Finally, we find no evidence of persistence in the performance of Swiss pension funds and investment foundations.
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Investment Performance of Swiss Pension Funds and Investment Foundations
Swiss Journal of Economics and Statistics, 2008Co-Authors: Manuel Ammann, Andreas ZinggAbstract:We investigate the performance of domestic and International Bond and equity portfolios of Swiss pension funds and investment foundations over the period of 1996 to 2006. We find some indications for superior skills of pension funds in International Bond management even net of costs for asset management and fund administration. In contrast, we find a significant net underperformance for domestic Bonds, domestic equities and International equities. For investment foundations, we find a significant net underperformance for domestic Bonds and International equities, whereas for International Bonds and domestic equities the null hypothesis of neither significant out- or underperformance cannot be rejected.
Gerard O Reilly - One of the best experts on this subject based on the ideXlab platform.
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monetary policy surprises and International Bond markets
Journal of International Money and Finance, 2010Co-Authors: Don Bredin, Stuart Hyde, Gerard O ReillyAbstract:We examine the impact and spillover effects of monetary policy surprises on International Bond returns. Within the framework of Campbell and Ammer (1993), we decompose International Bond returns into news regarding future returns, real interest rates and future inflation for Germany, the U.K. and the U.S. We examine how excess Bond returns in these three countries are affected by surprise changes in monetary policy in each country. Our measure of the unanticipated element of monetary policy is based on futures markets rather than the more traditional vector autoregression. Our results indicate that excess Bond returns primarily react to domestic as compared to foreign monetary policy surprises. We also find there is a strong divergence between the effects of domestic monetary policy on excess Bond returns in Germany relative to the U.K. A surprise monetary tightening in Germany (U.K.) leads to a rise (fall) in the excess holding period return. We trace this effect to news about lower (higher) inflation expectations and could be potentially rationalized by differences in the credibility of the monetary policy authority in each country.