This paper examines how emerging market bonds react to macroeconomic announcements.
Global bond spreads respond to rating actions and changes in US interest rates rather than …

This paper introduces a new dataset on the composition of the investor base for government
securities in the G20 advanced economies and the euro area. During the last decades, …

This paper examines the impact of macroeconomic and financial sector policy announcements
in the United States, the United Kingdom, the euro area, and Japan during the recent …

Credit default swaps (CDS) provide the buyer with insurance against certain types of credit
events by entitling him to exchange any of the bonds permitted as deliverable against their …

Small emerging economies, despite their significant growth, lack the scale to develop
thriving capital markets from their local investor and issuer base that are able to deliver the …

task has become particularly challenging in European advanced economies where
expectations of low growth and limits to monetary policy support are shifting the burden of …

This article reinvigorates the" recovery of face value"(RVF) concept, which furthermore
allows recovery and default probability parameters to be disentangled. This approach fits …

In housing crises, high mortgage debt can feed a vicious circle of falling housing prices and
declining consumption and incomes, leading to higher mortgage defaults and deeper …

This study characterizes volatility dynamics in external emerging bond markets and examines
how prices and volatility respond to news about macroeconomic fundamentals. As in …

Since recent debt restructurings that constitute credit events have been more frequent than
outright defaults, sovereign bond prices may not collapse during distress. In this case, the …