A macro-financial analysis of the euro area sovereign bond market. National Bank of Belgium Working Paper No. 259, June 2014

We estimate the 'fundamental' component of euro area sovereign bond yield spreads, i.e. the part of bond spreads that can be justified by country-specific economic factors, euro area economic fundamentals, and international influences. The yield spread decomposition is achieved using a multi-market, no-arbitrage affine term structure model with a unique pricing kernel. More specifically, we use the canonical representation proposed by Joslin, Singleton, and Zhu (2011) and introduce next to standard spanned factors a set of unspanned macro factors, as in Joslin, Priebsch, and Singleton (2013). The model is applied to yield curve data from Belgium, France, Germany, Italy, and Spain over the period 2005-2013. Overall, our results show that economic fundamentals are the dominant drivers behind sovereign bond spreads. Nevertheless, shocks unrelated to the fundamental component of the spread have played an important role in the dynamics of bond spreads since the intensification of the sovereign debt crisis in the summer of 2011

The debt, the stock market and the state-owned enterprises. The sources of chaos on the Chinese financial markets. OSW Commentary NUMBER 201/16.03.2016

The government’s extensive programme for stimulating the economy has enabled China to maintain high economic growth after the global financial crisis in 2008. However, this success has come at the price of a number of negative economic phenomena and the consequences they have had are the major challenge for the government today. The vast programme of investments in infrastructure, construction and fixed assets, which has been the main source of economic growth over the past few years, has caused a rapid increase in China’s debt from 158% of GDP in 2007 to 282% in 2014. Along with the local governments in charge of implementing the programme, the Chinese sector of state-owned enterprises (SOEs) has been heavily burdened by the stimulation policy. The sector’s profitability has fallen, its indebtedness has increased and management problems have been revealed.

The influence of corporate governance characteristics on changes in risk following the global financial crisis evidence from companies listed in the portuguese stock market

Apesar da crescente regulação da atividade empresarial e do estabelecimento de normas e recomendações relativamente ao governo das sociedades verificados desde o início da década passada, as empresas de grande parte dos sectores de atividade económica foram seriamente afetadas durante a crise financeira global. Este estudo permite concluir que houve aumentos significativos no risco total e idiossincrático das empresas não financeiras cotadas na Euronext Lisboa após a falência do banco Lehman Bothers, a 15 de Setembro de 2008. Estes resultados são coerentes com o aumento da incerteza dos investidores verificado durante o período de crise, resultante do colapso de alguns dos maiores bancos do último século, que se traduziu numa falta de confiança generalizada nas instituições financeiras que resultou em maiores dificuldades na obtenção de créditos bancários e num aumentos dos custos de capital, durante este período. Os resultados sugerem que as alterações verificadas nas medidas do risco variaram de acordo com as características de governação e características específicas das empresas, quer num horizonte temporal mais curto, quer num horizonte temporal mais alargado. O mercado de capitais premiou as empresas com um número relativamente maior de administradores não-executivos e com administradores que exercem (em média) cargos de gestão num maior número de empresas ou instituições. Por outro lado, o mercado de capitais penalizou as empresas com um número relativamente maior de administradores independentes, maior concentração de capital, maiores oportunidades de crescimento, maior alavancagem financeira e maior liquidez corrente.

The Money market review. A weekly commercial and financial journal.

Mode of access: Internet.

Rural credits bill. Comparative print, showing S.2986, a bill to provide capital for agricultural development, to create a standard form of investment based upon farm mortgage, to equalize rates of interest upon farm loans, to furnish a market for United States bonds, to provide for the investment of postal savings deposits, to create government depositaries and financial agents for the United States, and for other purposes, as passed by the Senate and as passed by the House of representatives.

In parallel columns.

International finance : market access concerns of U.S. financial institutions in Japan : briefing report to Congressional requesters /

"GAO/NSIAD-88-108R."

Essays on International Asset Allocation and Pricing

Thesis (Ph.D.)--University of Washington, 2016-06

Unequally Unemployed: Labor Market Stratification After the Great Recession

Thesis (Ph.D.)--University of Washington, 2016-06

Serial correlation in the returns of UK capitalization based portfolios

This article examines whether UK portfolio returns are time varying so that expected returns follow an AR(1) process as proposed by Conrad and Kaul for the USA. It explores this hypothesis for four portfolios that have been formed on the basis of market capitalization. The portfolio returns are modelled using a kalman filter signal extraction model in which the unobservable expected return is the state variable and is allowed to evolve as a stationary first order autoregressive process. It finds that this model is a good representation of returns and can account for most of the autocorrelation present in observed portfolio returns. This study concludes that UK portfolio returns are time varying and the nature of the time variation appears to introduce a substantial amount of autocorrelation to portfolio returns. Like Conrad and Kaul if finds a link between the extent to which portfolio returns are time varying and the size of firms within a portfolio but not the monotonic one found for the USA.