German Bond Yields and Debt Supply Is There a Bund Premium is popular PDF and ePub book, written by Anne-Charlotte Paret in 2019-11-01, it is a fantastic choice for those who relish reading online the Business & Economics genre. Let's immerse ourselves in this engaging Business & Economics book by exploring the summary and details provided below. Remember, German Bond Yields and Debt Supply Is There a Bund Premium can be Read Online from any device for your convenience.
German Bond Yields and Debt Supply Is There a Bund Premium Book PDF Summary
Are Bunds special? This paper estimates the “Bund premium” as the difference in convenience yields between other sovereign safe assets and German government bonds adjusted for sovereign credit risk, liquidity and swap market frictions. A higher premium suggests less substitutability of sovereign bonds. We document a rise in the “Bund premium” in the post-crisis period. We show that there is a negative relationship of the premium with the relative supply of German sovereign bonds, which is more pronounced for higher maturities and when risk aversion proxied by bond market volatility is high. Going forward, we expect German government debt supply to remain scarce, with important implications for the ECB’s monetary policy strategy.
Detail Book of German Bond Yields and Debt Supply Is There a Bund Premium PDF
- Author : Anne-Charlotte Paret
- Release : 01 November 2019
- Publisher : International Monetary Fund
- ISBN : 9781513519654
- Genre : Business & Economics
- Total Page : 34 pages
- Language : English
- PDF File Size : 9,8 Mb
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