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"Which Improves Welfare More: Nominal or Indexed Bond?"
Magill, M.; Quinzii, M. - Economics Department, University of California-Davis - 1995
Persistent link: https://www.econbiz.de/10005631339
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Constrained Suboptimality and Financial Innovation in GEI with a Single Commodity.
Tirelli, M. - Center for Operations Research and Econometrics (CORE), … - 2000
In this paper we exploit global analysis to explore welfare properties of a standard one-commodity GEI, under different notions of constrained Pareto optimality. In a unifying framework we revise and extend some of the leading results of the literature on incomplete markets and government...
Persistent link: https://www.econbiz.de/10005633993
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Mutual Funds and Financial Stability.
Edwards, F.R. - Graduate School of Business, Columbia University - 1995
Persistent link: https://www.econbiz.de/10005776738
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Do Managed Futures Make Good Investments?
Edwards, F.R.; Park, J.M. - Graduate School of Business, Columbia University - 1995
Persistent link: https://www.econbiz.de/10005776747
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Call Features and Term to Maturity of Callable Foreign Bonds.
Hooper, V.; Pointon, J. - Research School of Pacific and Asian Studies, College … - 1996
This paper models the value of "embedded" options in foreign bonds, using stochastic calculus, by assuming that the …
Persistent link: https://www.econbiz.de/10005630822
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Interest rates sensitivity arbitrage : theory and practical assesment for financial market trading
Stadnik, Bohumil - In: Business, mangagement and economics engineering : BMEE 19 (2021) 1, pp. 12-23
; construction of sufficient portfolio; backtesting on USD zero-coupon curves. Portfolio of two bonds is constructed (theoretically …
Persistent link: https://www.econbiz.de/10012695328
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Multi-level Factor Analysis of Bond Risk Premia
Kim, Dukpa; Kim, Yunjung; Bak, Yuhyeon - 2021
Earlier studies in the finance literature show that macroeconomic fundamentals can predict excess bond returns. We employ a multi-level factor model to estimate global and sectoral factors separately and show that (i)the real factors possess most important predictive power existing in the panel;...
Persistent link: https://www.econbiz.de/10014361597
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Green Factor Influence on the Yield of Stocks and Bonds in the Russian Financial Market
Vymyatnina, Yulia; Chernykh, Alexander - 2022
for bonds. For the stock market we used realized returns and estimated the role of the green factor in the yield using the … individual companies. Using data on a number of green bonds and their chosen “twin” bonds, we calculate the difference in the … premium in the yield to maturity over that of a similar government bond for all pairs of “twin” bonds and proceed to check if …
Persistent link: https://www.econbiz.de/10014235981
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Derivatives and the Efficient Allocation of Price Risks in a General Equilibrium World.
Heal, G. - Graduate School of Business, Columbia University - 1995
Persistent link: https://www.econbiz.de/10005631025
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Chinese Local Bond Spreads, Monetary Policy and 'Misallocation'
Dekle, Robert - 2018
We examine the impact of Chinese monetary policies on the excess bond yields of Chinese local bonds issued by Chinese … local government entities. We find that an expansion in M2 generally raises the excess yields of the bonds of Chinese local … government entities, and the impact is amplified for local bonds issued by local governments that are characterized as having a …
Persistent link: https://www.econbiz.de/10012921780