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Keywords:Bonds 

Corporate Bond Spreads and the Pandemic II: Heterogeneity across Sectors

The COVID-19 pandemic’s effects on firm borrowing costs have been heterogeneous, with some sectors being more affected than others.
On the Economy

Journal Article
Economic factors, monetary policy and expected returns on stocks and bonds

This paper examines the impact of the stance of monetary policy on security returns. The two measures of the stance of monetary policy used, the federal funds rate and an index based on the changes in the discount rate, contain significant information that can be used to forecast expected stock and bond portfolio returns. Specifically, we find that a restrictive (expansive) monetary policy stance decreases (increases) returns of large and small stock portfolios and in some cases, corporate bond portfolios. The monetary policy stance measures have explanatory power in forecasting stock and ...
Economic Review

Conference Paper
Equity and bond market signals as leading indicators of bank fragility

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
The vanishing equity premium

The Region , Volume 15 , Issue Jun , Pages 6-7

Conference Paper
Self-dealing in securities issuance evidence from U.S. state bonds

Proceedings , Paper 1027

Journal Article
When high finance meets age-old problems

Preventing problems rather than trying to fix them afterward makes sense, yet even when prevention has been shown to work and save money, it often doesn't get supported or funded. That is why people are getting excited about an innovative approach to reshaping how government and nonprofits work together to deliver better social outcomes.
Communities and Banking , Issue Winter , Pages 28-29

Conference Paper
Bank underwriting of corporate bonds evidence from Japan after the financial system reform of 1993

Proceedings , Paper 670

Newsletter
What is Driving the Return Spread Between “Safe” and “Risky” Assets?

Real interest rates on U.S. government bonds have declined persistently since the 1980s. U.S. government bonds are backed by the full faith and credit of the federal government and, hence, are considered one of the safest assets because the risk of default is extremely low. More broadly, interest rates on other safe assets, such as highly rated corporations, have also declined.
Chicago Fed Letter

Journal Article
The mysterious Greek yield curve

The hump in the Greek yield curve exists because the calculated yields assume that the bonds will pay off at their full value but market prices incorporate expectations that the payoff will be much lower.>
Economic Synopses

Report
Liquidity in U.S. fixed income markets: a comparison of the bid-ask spread in corporate, government and municipal bond markets

We examine the determinants of the realized bid-ask spread in the U.S. corporate, municipal and government bond markets for the years 1995 to 1997, based on newly available transactions data. Overall, we find that liquidity is an important determinant of the realized bid-ask spread in all three markets. Specifically, in all markets, the realized bid-ask spread decreases in the trading volume. Additionally, risk factors are important in the corporate and municipal markets. In these markets, the bid-ask spread increases in the remaining-time-to maturity of a bond. The corporate bond spread also ...
Staff Reports , Paper 73

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Remolona, Eli M. 6 items

Kwan, Simon H. 5 items

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