The determinants of corporate bond yields

Previous studies have found that common factors explain a high proportion of corporate bond yields. In this paper, we test whether there is a systematic risk premium beyond that implied by a risk-neutral term structure model. We propose a reduced-form term structure model that incorporates both default and tax effects. After controlling the effects of personal taxes and default risk, empirical tests show that at least two of the Fama–French factors are important for corporate bond yields. Our results suggest that term structure models should incorporate aggregate common risk factors in order to better explain the dynamics of corporate bond yields.     

Forecasting the term structure of government bond yields

Despite powerful advances in yield curve modeling in the last 20 years, comparatively little attention has been paid to the key practical problem of forecasting the yield curve. In this paper we do so. We use neither the no-arbitrage approach nor the equilibrium approach. Instead, we use variations on the Nelson–Siegel exponential components framework to model the entire yield curve, period-by-period, as a three-dimensional parameter evolving dynamically. We show that the three time-varying parameters may be interpreted as factors corresponding to level, slope and curvature, and that they may be estimated with high efficiency. We propose and estimate autoregressive models for the factors, and we show that our models are consistent with a variety of stylized facts regarding the yield curve. We use our models to produce term-structure forecasts at both short and long horizons, with encouraging results. In particular, our forecasts appear much more accurate at long horizons than various standard benchmark forecasts.     

The causal structure of bond yields

This paper implements an emerging data-driven method of directed acyclic graphs to study the contemporaneous causal structure among the federal funds rate and U.S. Treasury bond yields of various maturities. Using high frequency daily data from 1994 to 2009, we find that innovations in the two-year Treasury bond yield play a central role. They contemporaneously cause most other bond yields. Therefore, monetary policy makers would benefit from closely monitoring the two-year yield in setting the interest rate target, a result echoing the policy rule suggested by Piazzesi (Journal of Political Economy, 2005). Both Fed and investors should also watch the seven-year bond yield because it explains significant portions of variability in many other yields.     

Forecasting bond yields in the Brazilian fixed income market

This paper studies the predictive ability of a variety of models in forecasting the yield curve for the Brazilian fixed income market. We compare affine term structure models with a variation of the Nelson–Siegel exponential framework developed by Diebold and Li [Diebold, F., & Li, C. (2006). Forecasting the Term Structure of Government Yields. Journal of Econometrics, 130, 337–364]. Empirical results suggest that forecasts made with the latter methodology are superior, and appear to be more accurate at long horizons than other different benchmark forecasts. These results are important for policy-makers, as well as for portfolio and risk managers. Further research could study the predictive ability of such models in other emerging markets.     

The issuer effect on default risk insured municipal bond yields

In this study, an interesting aspect of the secondary market's pricing of the riskiness of insured municipal bonds is examined. Do secondary market investors still consider the underlying intrinsic credit quality of the issuer in pricing insured bonds? Is the pricing of this “issuer effect” treated equally for both revenue and general obligation bonds? We find that, while the market does not differentiate between equally insured revenue and general obligation bonds, the intrinsic credit quality of the issuer is reflected in the bond issue's quality spread. The results suggest that investors are concerned with the default risk protection of insured municipal bonds regardless of whether they are revenue or general obligation bonds. The market does not perceive insurers to be perfect substitutes for issuers in a risk transfer. Further, the results suggest there is justification for obtaining an agency rating according to issuer credit quality even for insured bonds.     

Technology versus Government: Decentralisation will Depoliticise Life

A self-described 'Mad, Christian, libertarian economist', Norman Macrae, veteran Deputy Editor of The Economist, foresees eight-fold rise in living standards in a generation, a shrivelling of government, impotence of politicians, a burgeoning of entrepreneurship, emancipation from bureaucracy by personal computer-communication ('tele-commuting'), the accelerating eclipse of old by undreamt-of new industries. Arthur Seldon assesses Macrae's economic vision.     

General Bayesian time-varying parameter vector autoregressions for modeling government bond yields

US yield curve dynamics are subject to time-variation, but there is ambiguity about its precise form. This paper develops a vector autoregressive (VAR) model with time-varying parameters and stochastic volatility, which treats the nature of parameter dynamics as unknown. Coefficients can evolve according to a random walk, a Markov switching process, observed predictors, or depend on a mixture of these. To decide which form is supported by the data and to carry out model selection, we adopt Bayesian shrinkage priors. Our framework is applied to model the US yield curve. We show that the model forecasts well, and focus on selected in-sample features to analyze determinants of structural breaks in US yield curve dynamics.     

Relationships between municipal bond rates,underwriter margins and market yields

Expressions are given relating municipal bond coupon rates to underwrite profit margins and the market yield. These expressions are applied to the examination of net interest rates, net present value and the cost of capital of serial bond issues. The conditions which must be satisfied so that a decrease in net interest rate corresponds to an increase in net present value (hence a decrease in the cost of capital to the issuer) are presented.     

Long-run and short-run determinants of sovereign bond yields in advanced economies

We analyze determinants of sovereign bond yields in 22 advanced economies over the 1980–2010 period using panel cointegration techniques. The application of the cointegration methodology allows distinguishing between long-run (debt-to-GDP ratio, potential growth) and short-run (inflation, short-term interest rates, etc.) determinants of sovereign borrowing costs. We find that in the long run, government bond yields increase by about 2 basis points in response to a 1 percentage point increase in government debt-to-GDP ratio and by about 45 basis points in response to a 1 percentage point increase in the potential growth rate. In the short run, sovereign bond yields deviate from the level determined by the long-run fundamentals, but about half of the deviation adjusts in one year. When considering the impact of the global financial crisis on sovereign borrowing costs in euro area countries, the estimations suggest that spreads against Germany in some European periphery countries exceeded the level determined by fundamentals in the aftermath of the crisis, while some North European countries have benefited from “safe-haven” flows.     

The impact of fiscal positions on government bond yields in CEE countries

This paper investigates the influence of government debt and primary balance on long-term government bond yields in 10 Central and Eastern European (CEE) countries in the period 2000–2013. The results indicate that a one percentage point increase in the stock of government debt is associated with an increase in government bond yields of 2.7–4 basis points, while a one percentage point increase in the primary deficit to GDP ratio is associated with an increase in government bond yields of 12.9–24.3 basis points. We also find evidence of non-linearities in the debt-interest rate relationship, whereby the threshold after which the impact of debt turns from negative to positive is significantly lower than in advanced economies.     

Causality-in-variance and causality-in-mean between the Greek sovereign bond yields and Southern European banking sector equity returns

This paper adopts the robust cross-correlation function methodology developed by Hong (J Econom 103:183–224, 2001) in order to test for volatility and mean spillovers between Greek long-term government bond yields and the banking sector stock returns of four Southern European countries, namely Greece, Portugal, Italy, and Spain. Its primary focus is on investigating the potential impacts of the recent European sovereign debt crisis. While most previous studies have focused on within-country causalities, we rather assess cross-country transmission effects. The presented results provide evidence of bidirectional volatility spillovers between Greek long-term interest rates and the banking sector equities of Portugal, Italy, and Spain that emerged during the European sovereign debt crisis. We also find significant unidirectional causality-in-mean from bank stock returns in Greece to Greek long-term bond yields during the crisis period as well as significant causality at the mean level from the bank equity returns in Portugal, Italy, and Spain to Greek bond yields.     

Spillover effects on government bond yields in euro zone. Does full financial integration exist in European government bond markets?

This paper examines the time varying nature of European government bond market integration by employing multivariate GARCH models. We state that unlike other bond markets, in euro markets the default(credit) risk factor and other macroeconomic and fiscal indicators are not able to explain the sovereign bond yields after the beginning of monetary union. This fact might be counted as a signal for perfect financial integration. However, we also find that the global shocks affect Germany and the rest of euro bond markets in various levels, creating particular discrepancies in asset prices even we take into account the market specific factors. Different level responses of each euro market to the global shocks reveal that euro bond markets are not fully integrated with each other unlike the recent literature claimed. Besides, we explore that the global factors are effective for the volatility of yield differentials among euro government bonds.     

Personnel administration and the will to manage

How many personnel managers start with a will to manage and unremittingly stay with it? How many give up, and retreat to the personnel technology of recordkeeping and filling out forms? Advances in the behavioral sciences and new conceptions of the personnel manager's role allow us to redefine the personnel job–all we need is more of the will to manage.     

积极保持中国物流业发展的基本面不变

第三届中国物流发展东湖论坛,研讨全球金融危机下中国物流业与采购业发展的趋势,表彰十位物流界的领军人物和创新企业,这说明了三点:一是湖北物流业的确是扎扎实实的在发展在成长;二是湖北省物流协会是扎扎实实的在为行业办好事办实事办大事;三是在全球金融危机的处境下湖北省物流界不是悲观失望,不是失去信心,而是一起研讨发展对     

奥运给北京房地产带来了什么?

奥运会的举办改变了北京城市发展的进程。北京的城市建设、城市面貌、城市地位等方方面面由此发生的深刻变化,进一步提升了北京作为首善之区,国际性大都市的城市价值,增强了其城市综合竞争力。这些,已经成为北京房地产行业长期发展的基础性保障。     

浅谈科学发展观对企业党建工作困境的引导对策

坚持以人为本,全面、协调、可持续发展的科学发展观,是引领我国经济社会发展全局的重要指导思想。以科学发展观引领企业党建工作走出困境并取得创新发展,使之成为企业可持续发展的政治保障和重要支撑,对于提高企业的经营管理水平、增强凝聚力和竞争力、促进企业不断发展壮大具有十分重要的意义。     

The innovation galore,from classroom to the shop floor

Canada, and to a lesser extent the U.S.A., must look at technological innovation with a feeling of urgency. Although there is wide agreement about the pressing need for increased innovation in industry, especially in these times of decreasing productivity and growing imports of foreign high-technology products, there is no unanimity about the best ways to achieve a better posture in national and international markets for new technology. Yet, surely one of the keys lies in the upbringing of a larger flow of competent and highly imaginative technological innovators. This poses a singular challenge for universities whose pattern of higher education has followed traditional disciplinary lines, with little attention paid to the anatomy and the dynamics of the innovation process as it applies to the real world. To this date, four universities in the U.S.A. (M.I.T., Carnegie-Mellon, Oregon and Utah) and two in Canada (Waterloo and Ecole Polytechnique de Montréal) have tried to address this problem through the development of innovation centres situated on their campus and making use of university personnel and facilities to further their objectives. In one form or another, all of the centres strive to acquire deeper insight into the innovation process itself while attempting to develop a methodology to enhance innovation, both from an educational and managerial point of view.A methodology for innovation must improve both the effectiveness of new idea generation and innovation development and the yield of the dialogue between the innovator and the financial supporter of the project. When translated into education and training, this methodology systematizes the content of the innovator's subconscious and organizes his mental building blocks to produce a body of transferable knowledge, i.e. transforming intellectual property into a manageable and profitable asset. In contrast to traditional engineering or business education where knowledge is organized into disciplines and other logical formats to facilitate teaching, the structure of education in design and innovation is built on elemental physical configurations and system behaviours.Whereas the information flow in professional management is essentially financial in nature, in innovation management the information flow is more related to ideas than money, even though financial aspects underlie the whole structure as well. While the former operates in closed feedback loop fashion, the latter is an open-ended addendum to the usual company operations. It is aimed at future growth.Coaching innovators to excel in world market competition bears resemblance to the drilling of athletes for the Olympic Games. The Olympic contestant must have a tremendous amount of willpower, in addition to skills and physical fitness. The comparable behavioral element for innovation is motivation, with related entrepreneurial skills and technological competence. This motivation must be shared also by the other members of the innovation team. Thus, not only must there be a methodology to teach innovation but ways and means must be found to create the necessary motivation and nurture the entrepreneurship.