Exchange rate dynamics and US dollar-denominated sovereign bond prices in emerging markets

Using data on Brazil, Colombia, Mexico, the Philippines, Russia and Turkey, our empirical results show that the exchange rates of their currencies have adequate explanatory power in explaining their US dollar-denominated sovereign bonds, particularly in the post-global financial crisis period. We develop a two-factor pricing model with closed-form solutions for the sovereign bonds in which the correlated factors are foreign exchange rates and US risk-free interest rates that follow a double square-root process relevant in the low interest rate environment. The numerical results and associated error analysis show that the model credit spreads can broadly track the market credit spreads.     

The price of going green: the role of greenness in green bond markets

In this paper, we empirically investigate how greenness information is priced in the green bond market. Our comparison of liquidity-adjusted yield premiums of green bonds versus synthetic conventional bonds indicates that, on average, there is no robust and significant yield premium or discount on green bonds. However, green bonds certified by an external reviewer enjoy a discount of about 6 bps. Furthermore, green bonds that obtain a Climate Bonds Initiative certificate show a discount of around 15 bps. The findings suggest that a universally accepted greenness measure can benefit the development of the green bond market.     

Technology before engineering: How James Bond films mediate between fiction and reality in the portrayal of innovation

Imaginary technical devices and machinery portrayed in the James Bond films are known to have inspired real innovation activities. This paper investigates the dynamics of cultural entrepreneurship behind this phenomenon. It presents a hermeneutic analysis of the James Bond film series which identifies various patterns in the portrayal of technology which create labels and vocabularies for innovation activities and cognitive legitimacy for their implementation. These patterns have little in common with systematic approaches known from industrial research and development. They are instead related to general strategies of sense-making among users, which neglect practical issues in engineering. Drawing on Suvin's concept of the novum, the paper describes this as a transformational approach to innovation, which is less interested in the actual characteristics of a new artefact, but rather its function as an enabler for change.     

Risk factors in Australian bond returns

This study examines the risk factors in Australian bond returns. The study quantifies bond liquidity and estimates a liquidity risk factor in the Australian setting. We develop a three‐factor asset pricing framework that uses term, default and liquidity risk factors to explain the variation of Australian bond returns. Our findings corroborate the US evidence on the pervasiveness of these risk factors faced by bond investors. The three‐factor model developed in this study has practical applications when calculating the cost of debt, evaluating the performance of an active bond fund manager and hedging underlying risk in a bond portfolio.     

债券融资支持工具实践路径研究--基于2018~2019年浙江省民营企业数据

为稳定和促进民营企业发债融资,以市场化方式帮助缓解民营企业融资难,2018年,国务院常务会议决定设立"民营企业债券融资支持工具"。基于此背景,本文选取民营企业债券融资支持工具作为研究对象,分析其实践机制,并以浙江为例探索实施民营企业债券融资支持工具的实现路径和难点所在。研究发现:浙江债券融资支持工具的实践探索持续协调发展,在创设主体、标的债务、凭证定价等三方面呈现趋优转向,但其发展仍受认知差异、计量规则、风险偏好、预期收益等复杂因素影响。     

Security design,market risk and round quotes in the treasury bond market

Prior literature finds that the tendency of price-endings to cluster on rounder fractions increases with price volatility. We estimate the separate influences and relative importance of the determinants of price volatility, security design and market risks. Our data is from a market setting that is ideal for isolating and studying the relations of interest. Results for both quote and trade prices indicate that the tendency to use round price-endings increases with both a security’s inherent risk, attributable to security design, and variation over time in market risks. Security design influences clustering more than market risks, but market risks are influential in determining clustering once security design is fixed. The estimated effects are strongest in the on-the-run market segment where liquidity facilitates the aggregation of information into price.     

地方债发行能否推动实体企业高质量发展？—基于中国A股和新三板制造业上市公司数据的实证研究

对中国2015-2021年制造业上市公司财务报表和地方债数据的关系研究表明：地方债水平的提高能显著提升中国制造业企业全要素生产率。从机制分析发现,地方债发行通过缓解融资约束、刺激企业加大研发投入促进制造业企业全要素生产率提升,但地方债发行不利于高素质人才集聚,进而抑制制造业企业全要素生产率提升。异质性分析发现,专项债比一般债更能显著提升制造业企业全要素生产率,并且地方债发行对提高大中型企业、国有企业、非劳动密集型企业、经济发达地区、低债务水平地区企业的全要素生产率的作用更加显著,进一步研究发现,地方债发行规模与企业高质量发展存在倒U型关系,地方债水平超过0.0773极值后,地方债发行会抑制企业高质量发展。研究结论对坚持通过地方债发行促进经济发展和企业高质量发展的政策具有重要现实意义。     

The determinants of credit spreads changes in global shipping bonds

This paper investigates whether bond, issuer, industry and macro-specific variables account for the observed variation of credit spreads’ changes of global shipping bond issues before and after the onset of the subprime financial crisis. Results show that conclusions as to the significant variables of spreads depend significantly on whether two-way cluster-adjusted standard errors are utilized, thus rendering results in the extant literature ambigious. The main determinants of global cargo-carrying companies’ shipping bond spreads are found in this paper to be: the liquidity of the bond issue, the stock market’s volatility, the bond market’s cyclicality, freight earnings and the credit rating of the bond issue.     

Oil price shocks and volatility spillovers in the Nigerian sovereign bond market

This paper investigates volatility spillover in the Nigerian sovereign bond market arising from oil price shocks, using Vector Autoregressive Moving Average ‐ Asymmetric Generalized Autoregressive Conditional Heteroscedasticity (VARMA‐AGARCH) model. The paper covers the period March 22, 2011 to April 14, 2016 and makes use of the daily data of the Nigerian Sovereign Bond, Brent oil and West Texas Intermediate (WTI), respectively. We endogenously and sequentially detect structural break points using the test of Bai and Perron (2003) framework. In order to accurately estimate the model, we modify it by incorporating the break points into the VARMA‐AGARCH model, a process which if ignored would lead to model misspecification. The results obtained demonstrate a significant cross‐market volatility transmission between oil and sovereign bond market with ample sensitivity to structural breaks. The study also computes optimum weight portfolio and hedge ratio both with and without structural breaks and results equally indicate sensitivity to structural breaks.     

DETERMINANTS OF SOVEREIGN BONDS RATINGS: A ROBUSTNESS ANALYSIS

Several studies have attempted to deduce the determinants of sovereign bond ratings. In this study, Extreme Bounds Analysis is applied to approximately 30 factors proposed by the literature in order to assess their robustness with a focus on the relative importance that economic and political variables receive in the shaping of the ratings. We find that policies that constrain the public sector are among the most robust. Variables such as rule of law, openness to economic flows, central bank independence, and market friendly policies are found to be more robustly correlated with the ratings than foreign reserves, fiscal deficit, sovereign bond yields, and economic growth.