Three Essays in Monetary Economics
... Does money matter for inflation? And if so, at what horizon is the comovement most pronounced? While the literature is very ambiguous in answering the first question, it is very vague on the second. From a policy perspective, however, both questions are highly relevant and may become of particular imp ...
... Does money matter for inflation? And if so, at what horizon is the comovement most pronounced? While the literature is very ambiguous in answering the first question, it is very vague on the second. From a policy perspective, however, both questions are highly relevant and may become of particular imp ...
Interest Rates and Bond Valuation
... If it is to be received in 30 years, however, even a small change in the interest rate can have a significant effect once it is compounded for 30 years. The present value of the face amount becomes much more volatile with a longer-term bond as a result. The reason that bonds with lower coupons have ...
... If it is to be received in 30 years, however, even a small change in the interest rate can have a significant effect once it is compounded for 30 years. The present value of the face amount becomes much more volatile with a longer-term bond as a result. The reason that bonds with lower coupons have ...
Chapter 6 The Risk and Term Structure of Interest Rates
... (a) the default risk on the corporate bond will increase and the bond’s return will become more uncertain, meaning the expected return on the corporate bond will fall. (b) the default risk on the corporate bond will increase and the bond’s return will become less uncertain, meaning the expected retu ...
... (a) the default risk on the corporate bond will increase and the bond’s return will become more uncertain, meaning the expected return on the corporate bond will fall. (b) the default risk on the corporate bond will increase and the bond’s return will become less uncertain, meaning the expected retu ...
Progress Report on Inclusion of Enhanced Contractual Provisions in
... The enhanced CAC endorsed by the Executive Board includes a “single-limb” aggregated voting procedure designed to limit the ability of holdout creditors to undermine a restructuring. A “single limb” voting procedure enables bonds to be restructured on the basis of a single vote across all instrument ...
... The enhanced CAC endorsed by the Executive Board includes a “single-limb” aggregated voting procedure designed to limit the ability of holdout creditors to undermine a restructuring. A “single limb” voting procedure enables bonds to be restructured on the basis of a single vote across all instrument ...
Important Information about Certificates of Deposit
... Market index CDs are subject to market value fluctuations and are designed to be longer-term investments. Market index CDs are typically priced based upon an average of the value of the linked index on predetermined valuation dates less the value of the linked index on the initial purchase date. You ...
... Market index CDs are subject to market value fluctuations and are designed to be longer-term investments. Market index CDs are typically priced based upon an average of the value of the linked index on predetermined valuation dates less the value of the linked index on the initial purchase date. You ...
Using Cash Flow Dynamics to Price Thinly Traded Assets
... feature of our paper is our finding that cash flows are informative with respect to pricing CMBS tranches. The biggest improvement over matrix prices are for bonds in non-senior CMBS tranches of deals, which have more volatile (and therefore more informative) cash flows than senior tranches, but whi ...
... feature of our paper is our finding that cash flows are informative with respect to pricing CMBS tranches. The biggest improvement over matrix prices are for bonds in non-senior CMBS tranches of deals, which have more volatile (and therefore more informative) cash flows than senior tranches, but whi ...
Thinking Alternative
... savings glut from emerging economies has been one well-established determinant of low real yields, apart from the aforementioned easy monetary policies and low required bond risk premia. Other contributors related to net savings include demographic developments and the ...
... savings glut from emerging economies has been one well-established determinant of low real yields, apart from the aforementioned easy monetary policies and low required bond risk premia. Other contributors related to net savings include demographic developments and the ...
The Cost of Immediacy for Corporate Bonds
... the day of the exclusion, and it is at least five times higher than in the weeks surrounding the exclusion. The peak in trading volume is consistent with index trackers attempting to minimize their tracking errors by trading close to the index exclusion date. Blume and Edelen (2004) show that stock ...
... the day of the exclusion, and it is at least five times higher than in the weeks surrounding the exclusion. The peak in trading volume is consistent with index trackers attempting to minimize their tracking errors by trading close to the index exclusion date. Blume and Edelen (2004) show that stock ...
Article III, Section 49-k of the Texas Constitution created the Texas
... Pursuant to a Master Resolution, a First Supplemental Resolution, and a Second Supplemental Resolution each adopted on May 4, 2005; a Third Supplemental Resolution adopted on May 25,2006; a Fourth Supplemental Resolution and Fifth Supplemental Resolution each adopted on September 28, 2006; a Sixth S ...
... Pursuant to a Master Resolution, a First Supplemental Resolution, and a Second Supplemental Resolution each adopted on May 4, 2005; a Third Supplemental Resolution adopted on May 25,2006; a Fourth Supplemental Resolution and Fifth Supplemental Resolution each adopted on September 28, 2006; a Sixth S ...
THE RELATIONSHIP BETWEEN CREDIT
... broker over a five-year period. In the first part of the paper we point out that in theory the N-year CDS spread should be close to the excess of the yield on an N-year bond issued by the reference entity over the risk-free rate. This is because a portfolio consisting of a CDS and a par yield bond i ...
... broker over a five-year period. In the first part of the paper we point out that in theory the N-year CDS spread should be close to the excess of the yield on an N-year bond issued by the reference entity over the risk-free rate. This is because a portfolio consisting of a CDS and a par yield bond i ...
Summary Prospectus
... a single day will be the result of each day’s returns compounded over the period, which is likely to be either better or worse than the Index performance times the stated multiple in the Fund’s investment objective, before accounting for fees and fund expenses. Compounding affects all investments, b ...
... a single day will be the result of each day’s returns compounded over the period, which is likely to be either better or worse than the Index performance times the stated multiple in the Fund’s investment objective, before accounting for fees and fund expenses. Compounding affects all investments, b ...
Dividends and Interest Rate Sensitivity
... central banks have been reluctant to tighten monetary policy over this period. The current economic environment has increased the potential divergence of policy across the world’s economic regions. The European Union has been mired in the prevention of a Greece default, amid soft growth in the South ...
... central banks have been reluctant to tighten monetary policy over this period. The current economic environment has increased the potential divergence of policy across the world’s economic regions. The European Union has been mired in the prevention of a Greece default, amid soft growth in the South ...
Chapter 3 - California State University
... sovereign bonds spreads. While some EMEs have been issuing debt in local currency, this study is focusing on dollar-denominated sovereign debt because it aims at neutralizing the impact of local currency valuation against hard currencies. Understanding the drivers of sovereign bond spreads allows co ...
... sovereign bonds spreads. While some EMEs have been issuing debt in local currency, this study is focusing on dollar-denominated sovereign debt because it aims at neutralizing the impact of local currency valuation against hard currencies. Understanding the drivers of sovereign bond spreads allows co ...
on futures contracts
... Key Terms for Futures Contracts • The Futures price: agreed-upon price paid at maturity • Long position: Agrees to purchase the underlying asset at the stated futures price at contract maturity • Short position: Agrees to deliver the underlying asset at the stated futures price at contract maturity ...
... Key Terms for Futures Contracts • The Futures price: agreed-upon price paid at maturity • Long position: Agrees to purchase the underlying asset at the stated futures price at contract maturity • Short position: Agrees to deliver the underlying asset at the stated futures price at contract maturity ...
Convertible Bonds Primer
... the condition that cash is available to fund them. Although rare, investors should be mindful of their rights in the case of default. Convertibility – Immediate and continuous convertibility is advantageous over limited (or European style). In the case of a takeover or any activity that can increase ...
... the condition that cash is available to fund them. Although rare, investors should be mindful of their rights in the case of default. Convertibility – Immediate and continuous convertibility is advantageous over limited (or European style). In the case of a takeover or any activity that can increase ...
Preferred Habitat and the Optimal Maturity Structure of Government Debt
... funds and insurance companies invest typically in long maturities as a way to hedge their longterm liabilities, while asset managers and banks’ treasury departments hold shorter maturities. Clienteles’ demands vary over time in response to demographic or regulatory changes. This timevariation can ha ...
... funds and insurance companies invest typically in long maturities as a way to hedge their longterm liabilities, while asset managers and banks’ treasury departments hold shorter maturities. Clienteles’ demands vary over time in response to demographic or regulatory changes. This timevariation can ha ...
Bond Positions, Expectations, And The Yield Curve∗
... the yield curve. Subjective premia of long bond are thus not only less volatile, but also much less cyclical. The lesson we draw for the structural modelling of long bonds is that the puzzle is less that premia are cyclical, but rather that they were much higher in the early 1980s than at other tim ...
... the yield curve. Subjective premia of long bond are thus not only less volatile, but also much less cyclical. The lesson we draw for the structural modelling of long bonds is that the puzzle is less that premia are cyclical, but rather that they were much higher in the early 1980s than at other tim ...
Chapter 15 The Term Structure of Interest Rates
... 67. Answer the following questions that relate to bonds. A 2-year zero-coupon bond is selling for $890.00. What is the yield to maturity of this bond? The price of a 1-year zero coupon bond is $931.97. What is the yield to maturity of this bond? Calculate the forward rate for the second year. How ca ...
... 67. Answer the following questions that relate to bonds. A 2-year zero-coupon bond is selling for $890.00. What is the yield to maturity of this bond? The price of a 1-year zero coupon bond is $931.97. What is the yield to maturity of this bond? Calculate the forward rate for the second year. How ca ...
(ETFs) and Corporate Bond Liquidity Abstract
... Since the credit crunch during the financial crisis of 2008, the issue of corporate bond market liquidity has caught the attention of academics and policy-makers alike. In addition to this, the rising popularity of different basket securities for bonds is also raising new concerns regarding their po ...
... Since the credit crunch during the financial crisis of 2008, the issue of corporate bond market liquidity has caught the attention of academics and policy-makers alike. In addition to this, the rising popularity of different basket securities for bonds is also raising new concerns regarding their po ...
Pricing Convertible Bonds using Stochastic Interest Rate
... bond it has a face value that will be paid back at the date of maturity. The holder has the right to convert the bond into a predetermined number of shares in the company in a given period of time. The convertible bond may be considered as a combination of a bond and a European call option on the st ...
... bond it has a face value that will be paid back at the date of maturity. The holder has the right to convert the bond into a predetermined number of shares in the company in a given period of time. The convertible bond may be considered as a combination of a bond and a European call option on the st ...
MUNICIPAL DEBT AND MARGINAL TAX RATES: IS
... One of the most fundamental issues in Finance is the question of how taxes affect security values. This important topic has been the focus of an extensive literature which now dates back nearly a century. Despite the many important contributions in this area, however, there is still much about the eff ...
... One of the most fundamental issues in Finance is the question of how taxes affect security values. This important topic has been the focus of an extensive literature which now dates back nearly a century. Despite the many important contributions in this area, however, there is still much about the eff ...
Investment Strategy Considerations for Inflation
... that delivers an income objective with the least amount of risk, and for an investor looking to realize a real (i.e., inflation-adjusted) level of income, the MRP is a portfolio of TIPS.7 As outlined in section 1, TIPS strategies guarantee real rates of return over inflation by paying coupons on an ...
... that delivers an income objective with the least amount of risk, and for an investor looking to realize a real (i.e., inflation-adjusted) level of income, the MRP is a portfolio of TIPS.7 As outlined in section 1, TIPS strategies guarantee real rates of return over inflation by paying coupons on an ...
Calculating the Equity Risk Premium and the Risk
... investor who really wanted to minimise risk would buy a series of three-month government bonds for example. In contrast, long-term government bonds are not risk-free, even if held to maturity. Imagine an investor in 2012 who wants to invest for 10 years (until 2022). If he buys a 10-year government ...
... investor who really wanted to minimise risk would buy a series of three-month government bonds for example. In contrast, long-term government bonds are not risk-free, even if held to maturity. Imagine an investor in 2012 who wants to invest for 10 years (until 2022). If he buys a 10-year government ...