Search results for "Bond market"

The grain market, short-term credit, and economic inequality in the Kingdom of Valencia. The towns of Cocentaina, and Castellón in the Fifteenth-Cent…

2018

Despite the predominance of small peasant farms in the Valencian countryside in the Late Middle Ages, large sections of the peasantry were forced to turn to the market to obtain cereals for consumption and sowing. Insufficient land and lack of liquidity caused by the seasonal cycle of crops made it necessary to use short-term credit, which was recorded in the court of local justice in the legal form of “obligacions”. The aim of this paper is to analyse the economic role of this credit market, identifying varieties of commercialised cereals, seasonality of purchases and payments, price trends and the socio-professional background of buyers (debtors) and sellers (creditors). Thus, we study ho…

¿Una feria de cambios a la valenciana? Debate financiero y energía emprendedora en el siglo XVII

2020

In 1619 Philip IV sent to print a Real Pragmatic [Royal Pragmatic legislation] that would regulate changes between Valencia and Medina del Campo being introduced by Valencian merchant families to enable them to receive interest on their loans without being accused of usury. Only three years later, in 1622, the Republic of Genoa inaugurated the exchange fairs of Novi Ligure, with which the Genoese consolidated their international position in the international credit market. These apparently independent circumstances constitute an important episode for international financial knowledge and the transformation of the Mediterranean credit market during the seventeenth century. Studying financial…

Integrated simulation and optimization models for tracking international fixed income indices

2001

Portfolio managers in the international fixed income markets must address jointly the interest rate risk in each market and the exchange rate volatility across markets. This paper develops integrated simulation and optimization models that address these issues in a common framework. Monte Carlo simulation procedures generate jointly scenarios of interest and exchange rates and, thereby, scenarios of holding period returns of the available securities. The portfolio manager’s risk tolerance is incorporated either through a utility function or a (modified) mean absolute deviation function. The optimization models prescribe asset allocation weights among the different markets and also resolve b…

Estimating the size of the loan sharking market in Italy

2014

In the current economic crisis, the risk is so high that entrepreneurs, commercial activities and even families may turn to the illegal market to obtain liquidity. This article proposes an estimate of the size of the usury credit market in Italy. The estimate is based on the assumption, provided by Guiso1, that before coming to a moneylender the borrower seeks to obtain credit through official channels. The results of our estimates confirm the seriousness of the problem, but provide much lower data than those reported periodically by the media. It is estimated that 372,000 economic activities may have been potentially involved in the usury market in 2012. The volume of loans disbursed in th…

Comparative efficiency of green and conventional bonds pre- and during COVID-19: An asymmetric multifractal detrended fluctuation analysis

2021

Abstract Motivated by the lack of research on price efficiency dynamics of green bonds and the impact of the COVID-19 on the pricing of fixed-income securities, this study investigates the comparative efficiency of green and conventional bond markets pre- and during the COVID-19 pandemic applying asymmetric multifractal analysis. Specifically, the multifractal scaling behaviour is examined separately during upward and downward trends in bond markets using the asymmetric multifractal detrended fluctuation analysis (A-MF-DFA) approach. The empirical findings confirm the presence of asymmetric multifractality in the green and traditional bond markets. Not surprisingly, inefficiency in both bon…

Sekcijas “Latvijas konkurētspēja: Finanšu pieejamība” Ekonomikas un vadības fakultātē (18. februāris, 2016): Referātu tēzes

2016

Financial Companies in Latvia: Why are they Coming to the Bond Market?

2019

In the period 2013-2017 Latvian corporate bond market had experienced the abrupt growth of the number of public Latvian corporate bond issues outstanding. The base of the expansion was formed by the financing activity of Latvian financial sector issuers (FSIs) with their weight in the pool of corporate bond issues listed in Nasdaq Riga at 85%. In 2019, FSIs remain the main issuer in Latvian corporate bond market (64% of the number of issues (Nasdaq Baltic, 2019)). The financing needs and preferences of the FSIs not only shape the segment profitability but also build Latvian corporate bond market sustainability. 
 Academic papers provide broad motivation for corporate debt issuing: an e…

Testing for external sustainability under a monetary integration process. Does the Lawson doctrine apply to Europe?

2015

Monetary integration, and more specifically, the creation of a monetary union in Europe, raises new economic questions concerning its functioning and governance. In particular, we focus on the implications of high and persistent current account deficits for the economic performance of monetary union members in the medium term. Recent literature has argued that conventional measures of external sustainability are misleading because they omit the effects of capital variations on net foreign asset positions due to, among others, stock or debt market crises. In this paper we revisit external sustainability making use of the database developed by Lane and Milesi-Ferretti (2007) that includes the…

Time-varying dependence between stock and government bond returns: International evidence with dynamic copulas

2015

Abstract This paper investigates the dependence pattern between stock and long-term government bond returns for a wide range of developed countries over the last two decades by using a dynamic DCC-GARCH-copula model. This approach allows obtaining a flexible and comprehensive description of the time variation in the linkage between stock and bond markets. The empirical results show that the dependence structure between stock and 10-year government bond returns varies significantly over time for most countries. In particular, a positive stock–bond association is observed during the 1990s, while the relationship becomes negative from the early 2000s, supporting the presence of flight-to-quali…

The Economic Value of Volatility Transmission Between the Stock and Bond Markets

2008

This study has two main objectives. Firstly, volatility transmission between stocks and bonds in European markets is studied using the two most important financial assets in these fields: the DJ Euro Stoxx 50 index futures contract and the Euro Bund futures contract. Secondly, a trading rule for the major European futures contracts is designed. This rule can be applied to different markets and assets to analyze the economic significance of volatility spillovers observed between them. The results indicate that volatility spillovers take place in both directions and that the stock-bond trading rule offers very profitable returns after transaction costs. These results have important implicatio…