Arbeitspapier
Bond convenience curves and funding costs
A convenience yield represents a difference between yield on a safe bond and yield on a synthetic safe bond, constructed by combining a risky bond with a CDS contract. We explain the shapes of eurozone sovereign convenience curves using a model in which arbitrageurs face higher funding costs on bonds with credit risk and bond demand shocks induce funding risk. We provide novel causal evidence for our mechanism using variation in funding costs generated through exogenous haircut category changes. Changes in convenience yields represent a key transmission channel of unconventional monetary policy to bond yields.
- ISBN
-
978-952-323-417-8
- Sprache
-
Englisch
- Erschienen in
-
Series: Bank of Finland Research Discussion Papers ; No. 11/2022
- Klassifikation
-
Wirtschaft
Asset Pricing; Trading Volume; Bond Interest Rates
International Financial Markets
- Thema
-
Sovereign bond convenience yields
money markets
asset pricing with frictions
monetary policy
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Nissinen, Juuso
Sihvonen, Markus
- Ereignis
-
Veröffentlichung
- (wer)
-
Bank of Finland
- (wo)
-
Helsinki
- (wann)
-
2022
- Handle
- URN
-
urn:nbn:fi:bof-202209281394
- Letzte Aktualisierung
- 10.03.2025, 11:43 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Nissinen, Juuso
- Sihvonen, Markus
- Bank of Finland
Entstanden
- 2022
Ähnliche Objekte (12)
The net stable funding ratio requirement when money is endogenous
Buffer funding of unemployment insurance in a dynamic labour union model
Estimating open economy Phillips curves for the euro area with directly measured expectations
The term structure of real interest rates: Theory and evidence form UK index-linked bonds
Relevance of uncertainty on the volatility and trading volume in the US Treasury bond futures market
Bonds, currencies and expectational errors
Forecasting the electronification of payments with learning curves: The case of Finland
Descriptive analysis of Finnish equity, bond and money market returns
Determinacy of interest rate rules with bond transaction services in a cashless economy
Public funding of banks and firms in a time of crisis
Shifts in euro area Beveridge curves and their determinants
Sovereign risk, European crisis resolution policies and bond yields
The net stable funding ratio requirement when money is endogenous
Buffer funding of unemployment insurance in a dynamic labour union model
Estimating open economy Phillips curves for the euro area with directly measured expectations
The term structure of real interest rates: Theory and evidence form UK index-linked bonds
Relevance of uncertainty on the volatility and trading volume in the US Treasury bond futures market
Bonds, currencies and expectational errors
Forecasting the electronification of payments with learning curves: The case of Finland
Descriptive analysis of Finnish equity, bond and money market returns
Determinacy of interest rate rules with bond transaction services in a cashless economy
Public funding of banks and firms in a time of crisis
Shifts in euro area Beveridge curves and their determinants
Sovereign risk, European crisis resolution policies and bond yields
The net stable funding ratio requirement when money is endogenous
Buffer funding of unemployment insurance in a dynamic labour union model
Estimating open economy Phillips curves for the euro area with directly measured expectations
The term structure of real interest rates: Theory and evidence form UK index-linked bonds
Relevance of uncertainty on the volatility and trading volume in the US Treasury bond futures market
Bonds, currencies and expectational errors
Forecasting the electronification of payments with learning curves: The case of Finland
Descriptive analysis of Finnish equity, bond and money market returns
Determinacy of interest rate rules with bond transaction services in a cashless economy
Public funding of banks and firms in a time of crisis
Shifts in euro area Beveridge curves and their determinants