Unconventional monetary policies and the corporate bond market

The paper uses a reduced-form vector autoregressive framework to study the effects of quantitative easing and operation “twist”, as well as a conventional monetary expansion, on corporate bond yields and spreads. We construct rating- and maturity-based weekly bond portfolios using TRACE and simulate monetary policies as shocks to the Treasury yield curve. We find that none of the policies can persistently lower corporate spreads, and that operation twist is the only policy capable of lowering corporate yields. This latter finding can be accounted for by the operation twist’s ability to keep the monetary base constant and, therefore, to flatten the riskless yield curve without generating inflationary expectations.     

The side effects of quantitative easing: Evidence from the UK bond market

We examine the returns to UK government bonds before, during and between the phases of quantitative easing to identify the side effects for the market itself. We show that the onset of QE led to a sustained reduction in the costs of trading and removed some return regularities. However, controlling for a wide range of market activity, including issuance and QE announcements, we find evidence that investors could have earned excess returns after costs by trading in response to the purchase auction calendar. Drawing on economic theory, we explore the implications of these findings for both the efficiency of the market and the costs of government debt management in both the short and long run.     

Disentangling types of liquidity and testing limits-to-arbitrage theories in the CDS–bond basis

We disentangle asset-specific, market, and funding liquidity in the CDS–bond basis outside and during the 2007–9 global financial crisis. Our findings stress the importance of separating different types of liquidity, since all three measures have independently negative impacts on the basis. Funding liquidity emerges as the economically most important liquidity metric. While asset-specific liquidity is cross-correlated in both the cash and derivative markets, funding and market liquidity only matter for the cash market. We exploit the decomposition of the basis to test predictions of limits-to-arbitrage theories. We find strong evidence in favor of margin-based asset pricing and flight-to-quality effects.     

Effects of Eurobonds: A stochastic sovereign debt sustainability analysis for Portugal,Ireland and Greece

This paper assesses the impact of Eurobonds on sovereign debt dynamics for selected European member states (Greece, Ireland and Portugal). For each member state, we produce sovereign debt fan charts of (i) a baseline scenario (no Eurobonds) and (ii) a Full-Fledged Eurobond introduction. The key building blocks of our methodology are (i) a debt framework (which embeds the traditional recursive debt equation), (ii) a vector autoregressive model to take into account and parametrise macroeconomic uncertainty and (iii) a fiscal reaction function. Conditional on the absence of moral hazard, we find Eurobonds to be a good instrument to absorb macroeconomic shocks and to diminish uncertainty over future debt forecasts; for Ireland and Portugal, we find debt to be 20 percentage points lower than under our baseline scenario, by 2020.     

CONVERTIBLE BOND PRICING MODELS

Convertible bonds are an important segment of the corporate bond market, with worldwide outstandings approaching US$235 billion. Simple pricing models value a convertible bond as being equivalent to a straight bond with an embedded option that enables the bond holder to convert to a specific amount of common stock. The straight bond is subject to both interest rate and credit risk, whereas the option to convert is dependent on the underlying stock price, which exposes the convertible bond holder to equity risk. The complexity of these features means that convertible bonds tend to be treated casually in major derivatives and corporate finance textbooks. This paper presents a survey of the theoretical and empirical aspects of convertible bond pricing. The limitations of these studies are highlighted to identify those areas of research that may improve the valuation process and facilitate the application of these securities for corporate financing.     

Positive asymmetric information in volatile environments: The black market dollar and sovereign bond yields in Venezuela

PurposeWe test the informational efficiency of Venezuelan USD sovereign bond yields when the black market exchange-rate premium (BMERP) changes.DesignWe use a non-parametric, asymmetric, Granger causality test to test our hypothesis.FindingsWe find that the bond market with less than or equal to 5 years of maturity seems to be efficient when good news is released on the BMERP. However, this market is not informationally efficient, and when combined with unbiased bad news regarding the BMERP, arbitrage opportunities are created.Originality/valueCapital controls that restrict free exchange-rate mechanisms create arbitrage opportunities with negative news as opposed to positive news.     

Emerging Bond Market Volatility and Country Spreads

Using JPMorgan's emerging market bond index, this paper analyzes how increases in country credit spreads can persist in emerging bond markets. The results of T-GARCH regressions show that, during financial crisis periods, emerging countries' credit spreads may increase persistently as a result of interaction between changes in spreads and volatilities, making emerging bond markets more turbulent. The results suggest that emerging countries should endeavor to develop a stabilization mechanism by enhancing information efficiency in bond markets. In particular, because Asian countries have experienced persistent, overreactive volatility, this paper implies that Asian countries should work together more closely during financial crisis periods.     

我国中小企业新型融资工具探析——基于集合债券和集合票据的分析

中小企业统一发行集合债券或集合票据,成为当前拓宽我国中小企业直接融资渠道的一个重要模式,然而当前我国中小企业集合发债仍面临诸多困难。对此,应大力发挥各地政府在集合发债项目中的作用,加强信用担保体系建设,实现集合债券（票据）信用增级,建立多层次支持中小企业发展的政策法律体系。     

完善我国地方政府债券发行主体制度之构想

我国地方政府债券的发行主体制度方面存在一些问题。在总结国外有关有益经验基础上,结合我国现实背景,对我国地方政府债券主体制度设计提出了构想。按照循序渐进的原则,我国应采取两步走战略,分别围绕主体范围、主体资格等方面,通过修改《预算法》等法律法规和制定《地方政府债券法》,逐步完善我国地方政府债券的主体制度。     

巨灾债券运行效应问题研究

在巨灾风险证券化产品中,巨灾债券交易最为活跃,也最具代表性,越来越多的保险公司、再保险公司及大型企业倾向于发行巨灾债券来转移、分散巨灾风险。作为功能上与再保险基本相似的新型风险管理工具,巨灾债券具有传统再保险不可比拟的优势。它不仅能使保险市场实现帕累托改进,对证券市场、国家财政也会产生深远的影响。最后,本文分析了巨灾债券在我国的发展前景。