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Understanding the relationship between risk and government bond returns is crucial for assessing the influence of risk factors on bond returns. This study investigates the dynamics of risk-taking behavior and its impact on the performance of government bonds in Indonesia. Using monthly data spanning from January 2017 to December 2021, we employ a multifactor model with GARCH analysis technique to analyze the data. The findings reveal that risk exposure exerts a negative and significant effect on government bond returns in Indonesia, while market factors also negatively and significantly influence bond returns. Conversely, the joint stock performance exhibits a positive relationship and significantly impacts returns in Indonesia. [ABSTRACT FROM AUTHOR]

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In the context of escalating military and political uncertainties, a crucial component of banking system stability is the establishment of an adequate level of resource provision – liquidity. The research aims to analyze the transmission impact of the banking system's liquidity and its structure on the volumes of financing for the real sector of the economy in the second year of the war in Ukraine. In the conditions of war and the corresponding intensification of military-political threats and uncertainties, the regulator has made numerous complex decisions and restrictions aimed at balancing the challenges with the current situation in financial markets. The research found that the banking sector of Ukraine currently accumulates a significant amount of excess liquidity and demonstrates high profitability. However, in the conditions of war, the transmission mechanism works improperly, requiring constant intervention from the regulator to balance the liquidity of the banking sector and state finances, which, in turn, affects the behavior of commercial banks and changes the structure of their asset portfolios. An analysis of the structure of active operations portfolios of the banking, corporate, and private sectors provide grounds to assert that there is no reason to expect a change in investment behavior from these groups in the perspective of the next year due to the specificity of the conditions imposed by the Ministry of Finance and the regulator. To maintain macroeconomic stability in the national economy in the conditions of martial law it is necessary to introduce conditions to reduce demand for foreign currency and, as an alternative, offer the preservation of savings solvency through simplifying access to investments in government securities for households. The low financial literacy of the population and the underdeveloped stock market in Ukraine, as well as the more complex mechanism of purchasing government bonds or military bonds compared to deposit services, make such investments by the population insignificant and limited in demand. [ABSTRACT FROM AUTHOR]

In the current operating conditions, the stock market, as a type of the financial market, occupies a significant place in ensuring the proper level of economic and financial development of each individual country. It has been considered that in Ukraine, the activity of the stock market is determined by the relevant infrastructure, which includes stock exchanges, securities traders, investment funds, companies, etc. It has been revealed that the stock market is currently in the stage of development. The quality of the infrastructure, the inconsistency of the regulatory and legal basis, the insufficiency of appropriate financial instruments, the instability of the stock market, the fragility of the financial system etc., remain the main problems, which require further solutions. Based on the example of basic indicators, the dynamics of the issue of shares and bonds, the volume of trading in financial instruments and the main types of securities, the structure of the exchange turnover of financial instruments by type of securities, as well as the volume of trading in securities on the primary and secondary stock markets for 2014-2022 have been analyzed. For the formation and stimulation of an effective and efficient stock market in Ukraine, it has been proposed to improve the mechanism for ensuring the transparency and availability of financial instruments, by strengthening state support in this context, ensuring the transparency of transactions and a certain form of protection of the investment institution by introducing certified software. Adaptation of international experience regarding the functioning of the stock market as a whole, and its components, provides an opportunity of implementing modern approaches regarding the introduction of the latest platforms, programs and other financial products, which will allow to expand the stock market operation area. [ABSTRACT FROM AUTHOR]

We explore the effects of reducing the overall size of the central bank's balance sheet and lowering its maturity structure. To do so, we consider an environment where fiscal policy is traditionally passive and the central bank follows the Taylor principle. In addition, the monetary authority has also explicit size and compositional rules regarding its balance sheet. Agents in this economy face limited commitment in some markets and government bonds can be used as collateral. When short‐ and long‐term public debt exhibit premia, changes in the central bank's balance sheet have implications for long‐run inflation and real allocations. To ensure a unique locally stable steady state, the central bank should target a low enough maturity composition of its balance sheet. In our numerical exercise, calibrated to the United States, we find that long‐term debt holdings by the central bank should be less than 0.5 times of their short‐term positions. Moreover, the process of balance sheet normalization should aggressively respond to the total debt issued in the economy relative to its target. These findings depend on the degree of liquidity of long‐term bonds. The more liquid long‐term bonds are, the lower is the value of the composition threshold and the parameter space consistent with unique and stable equilibria is smaller. In addition, we consider a modified Taylor rule that takes into account the premium. Such a rule increases the prevalence of multiplicity of steady states and delivers lower welfare. Thus, we argue that the traditional Taylor rule is appropriate for managing interest rates in the presence of premia. [ABSTRACT FROM AUTHOR]

This study analyzes whether government bonds can act as safe havens in the context of COVID-19. Using a panel fixed effect model, data were collected for both advanced and emerging market economies from March 11, 2020, to June 30, 2021. Robustness tests were used to add to the credibility of the findings. Our evidence supports that government bonds maintained their safe haven status during the COVID-19 pandemic. Hence, investors can still use government bonds to hedge financial market risks in the uncertain environment associated with this pandemic. Additionally, the negative effects of the COVID-19 pandemic on government bond yields in emerging economies are larger than in advanced economies. Therefore, policymakers' measures should focus on reducing COVID-19 cases to alleviate panic and diminish economic fluctuations, especially for emerging economies. Regulators can also use short-term interest rates to guide market capital flow to avoid a liquidity crisis, reducing financial stress and market uncertainty. [ABSTRACT FROM AUTHOR]

The text deals with certain problems of taxation in the Czech Republic of passive income from bonds, namely government bonds and Eurobonds. It follows in brief the historical development of taxation by income taxes of interest yields from bonds over the last 30 years, i.e., from the inception of the first tax system of the independent Czech Republic. It takes notice of the fluctuations of tax exemptions over the time and attempts to establish, sometimes not very discernible, reasons for the introduction and abolition of such exemptions. It criticizes the lack of stability and adherence to legal principles of the statutory regulation resulting in a potential negative impact of the same on Czech bond issuers and investors in financial markets. [ABSTRACT FROM AUTHOR]

This paper seeks to analyze, through a partial solution of an analytical model, how the credibility of the Central Bank - that is, whether agents effectively believe that ex-post inflation will be equal to ex- -ante inflation - impacts the decision of private agents to formulate a portfolio of government bonds. The historical and empirical analysis of the Brazilian case seeks to validate the model’s results. [ABSTRACT FROM AUTHOR]

The aim of the paper is to show, using a simple two-period overlapping generations model in which goods are produced solely by labour in a monopolistically competitive industry, that a continuous budget deficit (including the interest payments on government bonds) is necessary to achieve and maintain full employment under economic growth driven by technological progress. Since the budget deficits must be continuous, it might be better if they were financed by seigniorage rather than government debt. Since the budget deficit due to the issuance of government bonds puts pressure on fiscal expenditures in the amount of interest payments, a budget deficit of the same size due to seigniorage is a more effective use of the budget. It will also be shown that to achieve full employment from a recession with involuntary unemployment the extra budget deficit is necessary. [ABSTRACT FROM AUTHOR]

The paper enriches the existing literature on financial intermediaries' operations in the face of uncertainty by empirically examining the impact of banking uncertainty on banks' security holdings. Using bank-level data in Vietnam during 2007-2019 to compute a micro uncertainty proxy based on the dispersion of bank shocks, we document that banking uncertainty tends to enhance total security holdings at banks. Decomposing aggregate securities into disaggregate components, we find that safer investments (including government bonds and financial institution bonds) dominate the overall impact of banking uncertainty on security holdings, which completely offset a drop in the volume of riskier investments (including corporate bonds and stocks) in times of higher uncertainty. Furthermore, our analysis reveals that the impact of banking uncertainty on all security holdings is stronger at riskier banks, thereby implying that bank behavior is likely attributable to the precautionary motive. [ABSTRACT FROM AUTHOR]

The aim of this article is to provide a substantiated explanation of the shape of the yield curve in relation to the current theoretical reasoning and empirical data regarding the macroeconomic situation and the bond market. The object of research is the yield curve of government securities compounded from the average yields of AAA-rated government securities issued by euro area member states. The first part of the article presents the underlying literature and the theoretical foundations of the research hypotheses as well as the research methodology used. The second part addresses the spot and the forward yield curves in March 2021. The third part presents various empirical data and analyses the development of the bond market during the crisis caused by the COVID-19 pandemic. [ABSTRACT FROM AUTHOR]

This research aims to find the factors that influence the decisions of institutional investors to invest in Government Bonds and Sukuk, as well as to disclose the oversubscribes of State Securities issued by Indonesian government. The investment decisions of investors in this study use a proxy data approach from variables that affect investment decisions. The type of research used is quantitative research using an econometric approach with the Auto Regressive Distributed Lag (Dynamic) Model. The research data used is a time series for eleven periods from 2009 to 2020. Data are analyzed using ARDL (Dynamic) Model with determination of lag using the Koyck model. The result of this research is that investment decisions with a rational approach to government bonds and sukuk are strongly influenced by macroeconomic and policy variables (inflation, exchange rates and the interest rate) and financial markets (financing interest rates, deposit rates, volumes and coupon rates). [ABSTRACT FROM AUTHOR]

Today, one of the most important ways that states resort to meeting their financial needs is bond issuance. Turkey is seen to obtain the most benefit from the government bond market. While there are many studies in the literature such as economic growth, the stock market and credit. While, less studies have been done on the bond market. It is wondered to what extent the bond market, which has a significant share in financial markets and an impact on economic growth. Recently, the development of the bond market has focused on the both national and international markets. This study aims to examine the relationship between Turkey and bond markets with long-term economic growth. The ARDL model proposed by Peseran et al. (1999) and Peseran and Shin (2001) was used in the reaserch. International Total Debt Securities / GDP ratio, Total National Debt Securities / GDP ratio and growth rate seasonal data between 2000Q1-2017Q4 are used in the study. The findings reveal the relationship between growth and government bonds, its positive and co-integrated result. Thereforewith the issuance of government bonds could contribute to Turkey's economy. [ABSTRACT FROM AUTHOR]

What are the long-term effects of the financial sanctions against Russia? We provide a time-sensitive analysis of the sanctions impact on certain Russian financial markets and highlight how Russia has responded strategically. Our analysis also captures the effect of the threat of sanctions and informs the debate on sanctions effectiveness. Thus, our study indicates how financial sanctions can be incorporated into theories of deterrence and conflict resolution. We also provide some policy implications that can be generalized and reinforce previous research. Russia's banking system is highly dependent on dollar transactions, and in response to sanctions, Russia has systematically undertaken measures to promote its economic sovereignty under conditions of continued financial integration. We argue that sanctions put some pressure on the Russian budget, and that this effect has been exacerbated by the Covid-19 crisis, but also that Russia has used debt placements strategically in order to deter sanctions escalation. [ABSTRACT FROM AUTHOR]

The growth of an emerging capital market is necessary and requires all available resources and inputs from various sources to realize this objective. Several debates on government bonds' contribution to Nigeria's capital market developmental growth have ensued but have not triggered comprehensive studies in this area. The present research work seeks to close the breach by probing the impact of government bonds on developing the capital market in Nigeria from 2003-2019. We employ total market capitalization as the response variable to proxy the capital market, while various government bonds serve as the independent variables. The inflation rate moderates the predictor components. The research uses multiple regression technique to assess the explanatory variables' impact on the total market capitalization. At the same time, diagnostic tests help guarantee the normality of the regression model's data distribution and appropriateness. The findings reveal that the Federal Government of Nigeria's (FGN) bond is statistically significant and positive in influencing Nigeria's capital market growth. The other predictor variables are not found significant in this study. The study suggests that the Government should improve on the government bonds' coupon, while still upholding the none default norm in paying interest and refunding principal to investors when due. [ABSTRACT FROM AUTHOR]

Copyright of Business Consultant / Poslovni Konsultant is the property of FINconsult Ltd. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)

The purpose of this article is to empirically analyse the relationship between marketable securities (government bonds and treasury bills) and bank deposits in European markets. Using a proper database and proper methodological framework, we will analyse this relationship for the last two decades observed in 32 European countries between 1990Q1 and 2018Q2. We specifically focus on the levels of issued treasury bills and government bonds, as well as on their shares in each country's GDP. Our empirical results suggest the validation of the substitution hypothesis between bank deposits and marketable securities. This means that deposit holders tend to issue bills when they do not find the investment options from banks' solutions or from bonds' yields interesting. [ABSTRACT FROM AUTHOR]

Copyright of Financing is the property of Financing and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)

Copyright of ORDO: Jahrbuch für die Ordnung von Wirtschaft und Gesellschaft is the property of De Gruyter and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)

Factor investing has become very popular during the last decades, especially with respect to equity markets. After extending Fama–French factors to corporate bond markets, recent research more often concentrates on the government bond space and reveals that there is indeed clear empirical evidence for the existence of significant government bond factors. Voices that state the opposite refer to outdated data samples. By the documentation of rather homogeneous recent empirical evidence, this review underlines the attractiveness of more sophisticated investment approaches, which are well established in equity and even in corporate bond markets, to the segment of government bonds. [ABSTRACT FROM AUTHOR]

This study examines the presence of excess volatility and market efficiency in government bond markets of ASEAN-5 member countries. The individual country-level bond volatility is verified using an AR-GARCH model with a multivariate extension of panel approach to examine the effects of international diversification. Wavelet coherence is employed to present visually the co-movement between the bond prices in a time–frequency space. The empirical results indicate that the presence of excess volatility is found in all countries. In addition, the findings from the panel analysis reveal evidence of market inefficiency in government bonds but lower excess volatility in the 10-year bond. There is also a large difference of magnitude in excess volatility, suggesting that the ASEAN-5 bond market is inefficient in individual markets. Excess volatility is less persistent regionally with low correlations, implying that balanced portfolios would greatly benefit from international diversifications. The results from the wavelet coherence analysis imply that investment in ASEAN bond prices may yield lower risk reduction for long horizon. [ABSTRACT FROM AUTHOR]

Copyright of Max-Planck-Institut für Gesellschaftsforschung Discussion Papers is the property of Max Planck Institute for the Study of Societies and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)

Western central banks embarked on alternative monetary policies that increased their balance sheets by $20 trillion over 10 years. It is only by spinning off those assets into sovereign bond funds that they will be able to alleviate the consequences of their lack of exit strategy. [ABSTRACT FROM AUTHOR]

Beside development of the economy as a whole, investments in government securities, as a financial instrument, contribute to the financing of the budget balance and the needs of the sectors of the national economy. For this reason, most countries of the world show increased interest in developing and increasing its attractiveness. This article proposes a synthesis of the evolution of the government securities market in the period of 2017-2020, its relations with the state budget, as well as an analysis of the level of attractiveness of government securities in relation to other investment opportunities. [ABSTRACT FROM AUTHOR]

The perspective of behavioural finance is that anomalies in the cross-section of returns are driven by mispricing that arises from investor irrationality that cannot be easily arbitraged away. In this study, we examine the implications of this for international government bond markets. Using data for 25 countries for the years 1992–2015, we replicate multiple factor strategies that represent four major return drivers: defensive (low-risk), carry, value and momentum. We investigate the relationships between the performance of these strategies and market-wide measures of limits to arbitrage and investor sentiment. We find that the defensive strategy performs best during tight arbitrage conditions whereas severe limits to arbitrage negatively affect momentum profits. [ABSTRACT FROM AUTHOR]

The results of monetary policy outcomes suggest that Nigeria does not often enjoy ideal conditions to adopting a monetary policy regime aimed primarily at stabilizing prices due to increasing internal debt resulting from sales of government securities. This has also push-up the volume of money supplied into her economy. This has made the economy particularly exposed to price and quantity-type external shocks, which renders price stabilization all the more complicated. This study examines the impact of open market operations and money supply on inflation rate in Nigeria within the period of 1981-2016. Using the vector error correction model approach, the result revealed that Treasury bill, government bonds, and money supply have positive and significant relationship with inflation rate in Nigeria. However, total value of money market instruments, income per capita and interest rate had negative and significant impact on inflation rate in Nigeria. The study concluded that open market operations while controlling the supply of money had significantly impacted on price stability in the long-run in the Nigerian economy. The study suggests that there is need for an increase use in the open market operations as a tool for achieving stability of price in the country. [ABSTRACT FROM AUTHOR]

We investigate the relationships among credit default swap (CDS), government bond yield, foreign investors' ownership, and exchange rate by conducting Vector Error Correction Model and Vector Auto Regression. We compare the relationships in the period of 2008 to 2013 and in the sub period when financial crisis happened in 2008. Using daily data from April 28, 2008 to December 31, 2013 in Indonesian government bond market, we find government bond yield plays a significant role; and drives the movement of the other variables. However, during the 2008 crisis, the yield loses its dominance and tends to follow the movement of CDS. [ABSTRACT FROM AUTHOR]

The relationship between credit risk and the pricing of local government bonds in China is explored in this paper. The pricing of local government bonds was found to reflect credit risk, but the risk premium was small. The type of bond ('directional' or 'non-directional') significantly affected pricing. Repayment source had no effect. The authors make recommendations for the central government, local governments and investors. Our research on local government bond pricing benefits China's central government, local governments and investors. We urge the central government to strengthen its regulation of directional bonds and special bonds, and then promote marketization. Local governments should reduce the size of directional bonds, and decouple special bonds from government financial guarantees. Investors should purchase the local government bonds which have the highest premium with equal risk. [ABSTRACT FROM AUTHOR]

This study aims to offer a new explanation for the momentum effect in international government bonds. Using cross-sectional and time-series tests, we examine a sample of bonds from 22 countries for the years 1980 through 2018. We document significant momentum profits that are not attributable to bond-specific risk factors, such as volatility or credit risk. The global bond momentum is driven by the returns on underlying foreign exchange rates. Controlling for currency movements fully explains the abnormal returns on momentum strategies in international government bonds. The results are robust to many considerations including alternative sorting periods, portfolio construction methods, as well as subperiod and subsample analysis. [ABSTRACT FROM AUTHOR]

The public debt stock is an indicator of high interest at the macroeconomic level and regulated within the European Union by the Maastricht Treaty, which provides a level of public debt of at most 60% of GDP. Romania, as a member state of the EU, must fit this percentage. This article analyzes the evolution of public debt in our country in terms of dynamics and structure for the period 2000-2018. The evolution of governmental and local public debt, as well as the service of governmental public debt and the differences between the public debt determined according to the EU methodology and the one determined according to the national methodology is highlighted. Finally, we will draw some conclusions regarding the evolution of the public debt and its sustainability. [ABSTRACT FROM AUTHOR]

This article analyzes China's bond market, which covers the interbank market, exchange market, and bank counter market. We compare various types of bonds and discuss their latest trends, which to a large extent are driven by government policies, resulting in rapid growth in central government and local government bond issues. The recent launch of the "Bond Connect" trading platform for bond transactions between mainland China and Hong Kong and the emergence of many new bond types suggest that China's bond market may provide more investment and growth opportunities for global investors. [ABSTRACT FROM AUTHOR]

We examine the dependency between the European government bond markets around the recent sovereign debt crisis. A dynamic copula approach is used to model the time-varying dependence structure of those government bond markets, evaluate the nature and strength of their dependencies over time, and gauge the transmission of the crisis shocks. Our results can be summarized as follows: i) the eurozone sovereign bond markets under consideration have a significant and positive dependence with the Greek and the EMU benchmark sovereign bond markets; ii) the dynamic-BB7 copula function best describes the dependence structure between these sovereign bond markets and provides evidence of asymmetric tail dependence; iii) the conditional probability of crisis transmission from Greece to other eurozone countries is higher than the other way around; and iv) Greece is the most vulnerable country when the eurozone entered into the sovereign debt crisis. [ABSTRACT FROM AUTHOR]

In the article, the causes and existence of the state budget deficit are defined. The main source of budget deficit financing in historical retrospective are considered. The most popular government securities which issued in foreign countries are compared in the article. The dynamics of the budget deficit in Ukraine and the sources of its coverage are analyzed in the article. There are three main types of government securities in Ukraine, such as: national currency-denominated government bonds, foreign currency-denominated government bonds and target government bonds. The main market maker of the government bonds' market is National Bank of Ukraine. The volume of resources, which are mobilized from the issue of the national currency-denominated government bonds are major then the volume of resources, which are mobilized from the issue of the foreign currency-denominated government bonds The necessity of further improvement of government securities as an important source of budget deficit financing is emphasized.

Cochrane (2014) shows that high-powered money balances and short-term government bonds can be considered as perfect substitutes for the U.S economy during the past twenty years. We build on this claim and consider a variant of the standard cashless new-Keynesian model with two types of government bonds, which can be thought of as short- and long-term bonds. The first one has a macroeconomic role in the sense that it provides transaction services in addition to generating a yield. The other type of government bond pays only an interest rate. Consistent with previous findings, the Taylor principle is not a panacea for equilibrium determinacy in a model without money. When the government bond market matters beyond the need for fiscal solvency, monetary policy rules do not need to comply with the Taylor principle for unique equilibria to exist. [ABSTRACT FROM AUTHOR]

Copyright of Economic Annals-XXI / Ekonomìčnij Časopis-XXI is the property of Institute of Society Transformation and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)

Although banks are required to document their equity capital for loans, corporate bonds, and other receivables, they are currently exempted from the procedure when investing in government bonds: they enjoy an "equity capital privilege." As part of the Basel III regulatory framework redraft, the privilege may be eliminated in order to disentangle the default risks between sovereigns and banks. The present study examines how much additional equity capital the banks of the euro area's major nations would require if the equity capital privilege were eliminated. At nine billion euros, the estimates show the highest capital requirement for Italian banks. In comparison, French banks would only require additional capital of three billion euros and German banks would need just under two billion euros. Since eliminating the equity capital privilege would make the Italian state's consolidation efforts more difficult, it is advisable to risk weight newly purchased government bonds only or allow for long transition phases. [ABSTRACT FROM AUTHOR]

Does the recurrence of wars suggest that we fail to recognize dangerous situations for what they are, and are doomed to repeat the errors of the past? Or rather that policymakers correctly anticipate the consequences of their actions but knowingly choose conflict? Unfortunately, little is known about how well wars are anticipated. Do conflicts tend to come as a surprise? I estimated the risk of war as perceived by contemporaries of all interstate and intrastate conflicts between 1816 and 2007. Using historical financial data of government bond yields, I find that market participants tend to underestimate the risk of war prior to its onset, and to react with surprise immediately thereafter. This result illustrates how conflict forecasts can be self-fulfilling or self-defeating. Present predictions may affect future behavior, such that wars may be less likely to occur when they are predicted, but more likely when they are not. I also show that the forecasting record has not improved over the past 200 years, and that wars involving democracies lead to greater market shocks. These findings also have implications for the way decisionmakers respond to new information, and how audiences perceive the risk of war and hence their leaders' actions. [ABSTRACT FROM AUTHOR]

The aim of this paper is to analyse the evaluation of the level of development of government bonds market in Romania, current features and tendencies. The analysis refers to basic elements describing the bonds market such as: issuance value, issuer, bonds type, maturity, interest rate, issuance currency, yield, liquidity etc. The Romanian government is favoring a net financing in local currency to facilitate the development of the domestic securities market and to help mitigate foreign currency exposure. The presence in the international capital markets is maintained through issuances of Eurobonds. [ABSTRACT FROM AUTHOR]

The purpose of this paper is to analyze the impact of preferential regulatory treatment on banks' demand for government bonds. Using unique transaction-level data, our analysis suggests that preferential treatment in microprudential liquidity and capital regulation significantly increases banks' demand for government bonds. Liquidity and capital regulation also seem to incentivize banks to substitute other bonds with government bonds. We also find evidence that this 'regulatory effect' leads banks to reduce lending to the real economy. [ABSTRACT FROM AUTHOR]

In this article, we extract common factors from a cross-section of U.S. macro-variables and Treasury zero-coupon yields. We find that two macroeconomic factors have an important predictive content for government bond yields and excess returns. These factors are not spanned by the cross-section of yields and are well proxied by economic growth and real interest rates. [ABSTRACT FROM AUTHOR]

This article examines a neglected structural transformation in European finance: the growing importance of government debt as collateral for Europe's repo markets, where banks borrow cash against collateral. Seduced by the promises of repo market-driven financial integration, the EU institutions and Member States encouraged private finance to generate its own architecture for the European repo market in the early years of the euro, sidelining known problems about systemic fragilities. These fragilities materialized after Lehman Brothers' collapse and were exacerbated by the ECB's collateral policies. The European sovereign debt crisis shows that governments, just like private asset issuers, can rapidly become vulnerable to repo pro-cyclicality and collateral crises. [ABSTRACT FROM AUTHOR]

The article presents a legal analysis of the European Central Bank's (ECB's) Outright Monetary Transactions (OMT) programme which is designed to combat a European debt crisis, and it mentions the legislative measures that were adopted by the European Union (EU) in response to a fiscal crisis in 2011. EU laws and government bonds are mentioned, along with the EU's monetary policy and legal challenges before the Constitutional Court of Germany.

This paper investigates the impact of European Monetary Union (EMU) and of the recent financial and fiscal crisis on the integration of the European sovereign debt market using annual data 1992–2010. The panel regression dependent variable is time-varying market linkages computed from daily realised correlations between sovereign bond returns for 13 European economies and Germany. The results indicate that the elimination of currency risk following the implementation of EMU led to a fundamental and significant one-off increase in integration. The net impact of fiscal fundamentals was negligible up until 2009 as the markets seemed to be pricing in a potential bailout for member states in crisis and not fully pricing default risk. However, by 2010 the parlous situation of the peripheral economies lead the markets to price default risk and heralded a return to segmentation. The related increase in peripheral economy sovereign spreads has exacerbated the problem of fiscal imbalances which pose a major challenge for policy-makers. [ABSTRACT FROM AUTHOR]

In recent years we have witnessed a significant growth in government balance deficits and thus government debts, especially in European countries and mainly in the Eurozone. The aim of this paper is to analyse individual factors that influence the changes in risk margins (focusing on V4 countries -- the Czech Republic, the Slovak Republic, Poland, and Hungary). The analysis is based on the Risk spread creation and volatility model. We used empirical-statistical methods and comparison within the frame of the specific model, which is used and applied on the countries of Eastern Europe. [ABSTRACT FROM AUTHOR]

Abstract: The sovereign debt crisis in the euro area has not yet been solved and recent developments in Spain and Italy have further deteriorated the situation. In this paper we develop a new approach to analyze the ongoing Eurozone crisis. Firstly, we use Maximum Spanning Trees to analyze the topological properties of government bond rates’ dynamics. Secondly, we combine the information given by both Maximum and Minimum Spanning Trees to obtain a measure of market dissimilarity or disintegration. Thirdly, we extend this measure to include a convenient distance not limited to the interval [0, 2]. Our empirical results show that Maximum Spanning Tree gives an adequate description of the separation of the euro area into two distinct groups: those countries strongly affected by the crisis and those that have remained resilient during this period. The measures of market dissimilarity also reveal a persistent separation of these two groups and, according to our second measure, this separation strongly increased during the period July 2009–March 2012. [Copyright &y& Elsevier]

Two propositions underpin the retreat from post-crisis fiscal expansion instituted by several G7 governments in the summer of 2010. One is that the threat of debt intolerance is general: the reasoning is that the sharp rise in government debt levels caused by post-crisis fiscal expansion will force investors to abandon government bonds in favour of some other asset class. The other proposition is that there is a one-size debt threshold: the reasoning is that no government, those of the G7 countries included, can escape the serious consequences of debt intolerance and the threat of exit should its debt to GDP ratio reach 90 per cent. This paper argues that neither of these propositions can have credibility at a time of continuing global economic slowdown and consequent contraction in the global supplies of investable assets. At such a time investors cannot possibly hold up the threat of intolerance to core economy governments because they have no choice but to store substantial portions of their wealth in the latter's bonds, a fact which in turn means that the debt thresholds for core economy governments cannot possibly be the same as the average for other governments. [ABSTRACT FROM PUBLISHER]

The aim of this paper is to present an extension of Mario Monti's proposal for an anti-spread shield, presented at the European Council on 28-29 June 2012, about the stabilization of yield on European government bonds. In particular, by using Game Theory, we focus our attention on three players: a large bank with immediate access to the market of government bonds (hereinafter called Speculator, our first player), the European Financial Stability Facility (EFSF, the second player) and the State in economic troubles (our third player). We propose the introduction of a tax on financial transactions (cashed directly by the State in economic troubles), which hits only the speculative profits. We show that the above tax would be able to limit the speculation, and, even in case of speculation on its government bonds, the State would manage to pull itself out of the crisis. Finally, we also propose a cooperative solution that enables all economic actors involved (the Speculator, the EFSF and the State) to obtain a profit. [ABSTRACT FROM AUTHOR]