Listing 1 - 10 of 37 | << page >> |
Sort by
|
Choose an application
Money market --- Foreign exchange rates --- China --- Asia --- Foreign economic relations --- Money markets --- Finance --- Financial institutions --- Money --- Asian and Pacific Council countries --- Eastern Hemisphere --- Eurasia --- Cina --- Kinë --- Cathay --- Chinese National Government --- Chung-kuo kuo min cheng fu --- Republic of China (1912-1949) --- Kuo min cheng fu (China : 1912-1949) --- Chung-hua min kuo (1912-1949) --- Kina (China) --- National Government (1912-1949) --- China (Republic : 1912-1949) --- People's Republic of China --- Chinese People's Republic --- Chung-hua jen min kung ho kuo --- Central People's Government of Communist China --- Chung yang jen min cheng fu --- Chung-hua chung yang jen min kung ho kuo --- Central Government of the People's Republic of China --- Zhonghua Renmin Gongheguo --- Zhong hua ren min gong he guo --- Kitaĭskai︠a︡ Narodnai︠a︡ Respublika --- Činská lidová republika --- RRT --- Republik Rakjat Tiongkok --- KNR --- Kytaĭsʹka Narodna Respublika --- Jumhūriyat al-Ṣīn al-Shaʻbīyah --- RRC --- Kitaĭ --- Kínai Népköztársaság --- Chūka Jinmin Kyōwakoku --- Erets Sin --- Sin --- Sāthāranarat Prachāchon Čhīn --- P.R. China --- PR China --- PRC --- P.R.C. --- Chung-kuo --- Zhongguo --- Zhonghuaminguo (1912-1949) --- Zhong guo --- Chine --- République Populaire de Chine --- República Popular China --- Catay --- VR China --- VRChina --- 中國 --- 中国 --- 中华人民共和国 --- Jhongguó --- Bu̇gu̇de Nayiramdaxu Dundadu Arad Ulus --- Bu̇gu̇de Nayiramdaqu Dumdadu Arad Ulus --- Bu̇gd Naĭramdakh Dundad Ard Uls --- BNKhAU --- БНХАУ --- Khi︠a︡tad --- Kitad --- Dumdadu Ulus --- Dumdad Uls --- Думдад Улс --- Kitajska --- China (Republic : 1949- )
Choose an application
Choose an application
Choose an application
Choose an application
Recent events have shown that sovereigns, just like banks, can be subject to runs, highlighting the importance of the investor base for their liabilities. This paper proposes a methodology for compiling internationally comparable estimates of investor holdings of sovereign debt. Based on this methodology, it introduces a dataset for 24 major advanced economies that can be used to track US$42 trillion of sovereign debt holdings on a quarterly basis over 2004-11. While recent outflows from euro periphery countries have received wide attention, most sovereign borrowers have continued to increase reliance on foreign investors. This may have helped reduce borrowing costs, but it can imply higher refinancing risks going forward. Meanwhile, advanced economy banks’ exposure to their own government debt has begun to increase across the board after the global financial crisis, strengthening sovereign-bank linkages. In light of these risks, the paper proposes a framework—sovereign funding shock scenarios (FSS)—to conduct forward-looking analysis to assess sovereigns’ vulnerability to sudden investor outflows, which can be used along with standard debt sustainability analyses (DSA). It also introduces two risk indices—investor base risk index (IRI) and foreign investor position index (FIPI)—to assess sovereigns’ vulnerability to shifts in investor behavior.
Political Science --- Law, Politics & Government --- Public Finance --- Debts, Public --- Finance, Public --- Cameralistics --- Public finance --- Debts, Government --- Government debts --- National debts --- Public debt --- Public debts --- Sovereign debt --- Currency question --- Debt --- Bonds --- Deficit financing --- E-books --- Public finances --- Banks and Banking --- Investments: General --- Financial Crises --- Portfolio Choice --- Investment Decisions --- Debt Management --- Sovereign Debt --- Banks --- Depository Institutions --- Micro Finance Institutions --- Mortgages --- General Financial Markets: General (includes Measurement and Data) --- Public finance & taxation --- Banking --- Investment & securities --- Foreign banks --- Government debt management --- Government securities --- Financial institutions --- Public financial management (PFM) --- Securities --- Banks and banking, Foreign --- Banks and banking --- Financial instruments --- United States
Choose an application
Asset allocation decisions of international investors are at the core of capital flows. This paper explores the impact of these decisions on long-term government bond yields, using a quarterly investor base dataset for 22 advanced economies over 2004-2012. We find that a one percentage point increase in the share of government debt held by foreign investors can explain a 6-10 basis point reduction in long-term sovereign bond yields over the sample period. Accordingly, international flows to core advanced economy bond markets over 2008-12 are estimated to have reduced 10-year government bond yields by 40-65 basis points in Germany, 20-30 basis points in the U.K., and 35-60 basis points in the U.S. In contrast, foreign outflows are estimated to have raised 10-year government bond yields by 40-70 basis points in Italy and 110-180 basis points in Spain during the same period. Our results suggest that the divergence in long-term bond yields between core and periphery economies in the euro area may continue unless the “normalization” of macroeconomic determinants of bond yields is accompanied by a similar “normalization” of the foreign investor base.
Cointegration. --- Government securities --- Rate of return --- Econometrics --- Investment return --- Investment yield --- Return on equity --- Return on investment --- ROI (Rate of return) --- Capital investments --- Profit --- Ratio analysis --- Risk-return relationships --- Government agency securities --- Government bonds --- Public securities --- Treasuries (Securities) --- Treasury bonds --- Bonds --- Debts, Public --- Securities --- Econometric models. --- Banks and Banking --- Exports and Imports --- Investments: Bonds --- Public Finance --- General Financial Markets: General (includes Measurement and Data) --- Interest Rates: Determination, Term Structure, and Effects --- Debt --- Debt Management --- Sovereign Debt --- International Lending and Debt Problems --- Investment & securities --- Finance --- Public finance & taxation --- International economics --- Bond yields --- Yield curve --- Sovereign bonds --- Public debt --- External debt --- Financial institutions --- Financial services --- Interest rates --- Debts, External --- United States
Choose an application
This paper proposes an approach to track US$1 trillion of emerging market government debt held by
foreign investors in local and hard currency, based on a similar approach that was used for advanced
economies (Arslanalp and Tsuda, 2012). The estimates are constructed on a quarterly basis from 2004
to mid-2013 and are available along with the paper in an online dataset. We estimate that about half a
trillion dollars of foreign flows went into emerging market government debt during 2010–12, mostly
coming from foreign asset managers. Foreign central bank holdings have risen as well, but remain
concentrated in a few countries: Brazil, China, Indonesia, Poland, Malaysia, Mexico, and South
Africa. We also find that foreign investor flows to emerging markets were less differentiated during
2010–12 against the background of near-zero interest rates in advanced economies. The paper extends
some of the indicators proposed in our earlier paper to show how the investor base data can be used to
assess countries’ sensitivity to external funding shocks and to track foreign investors’ exposures to
different markets within a global benchmark portfolio.
Debts, Public --- Fiscal policy --- Local finance --- Tax policy --- Taxation --- Economic policy --- Finance, Public --- Debts, Government --- Government debts --- National debts --- Public debt --- Public debts --- Sovereign debt --- Debt --- Bonds --- Deficit financing --- Econometric models. --- Government policy --- Developing countries --- Politics and government. --- Banks and Banking --- Finance: General --- Public Finance --- Investments: General --- Exports and Imports --- Financial Crises --- Portfolio Choice --- Investment Decisions --- Debt Management --- Sovereign Debt --- Banks --- Depository Institutions --- Micro Finance Institutions --- Mortgages --- General Financial Markets: General (includes Measurement and Data) --- International Lending and Debt Problems --- Public finance & taxation --- Banking --- Finance --- Investment & securities --- International economics --- Foreign banks --- Securities markets --- Emerging and frontier financial markets --- Financial institutions --- Financial markets --- Government securities --- External debt --- Banks and banking, Foreign --- Banks and banking --- Capital market --- Financial services industry --- Debts, External --- South Africa
Choose an application
Portfolio flows to emerging markets (EMs) tend to be correlated. A possible explanation is the role global benchmarks play in allocating capital internationally, the so-called “benchmark effect.” This paper finds that benchmark-driven investors indeed play a large role in a key segment of the market—the EM local currency government bond market—, accounting for more than one third of total foreign holdings as of end-2014. We find that the prominence of these investors declined somewhat after the May 2013 taper tantrum, but remain high. This distinction is important in understanding the drivers of EM capital flows and their sensitivity to different types of shocks. In particular, a high share of benchmark-driven investors may result in capital flows that are more sensitive to global shocks and less sensitive to country factors.
Finance: General --- Investments: Bonds --- Financial Crises --- Portfolio Choice --- Investment Decisions --- General Financial Markets: General (includes Measurement and Data) --- Investment & securities --- Finance --- Sovereign bonds --- Securities markets --- Inflation-indexed bonds --- Bonds --- Emerging and frontier financial markets --- Financial institutions --- Financial markets --- Capital market --- Financial services industry --- Romania
Choose an application
Portfolio rebalancing is a key transmission channel of quantitative easing in Japan. We construct a realistic rebalancing scenario, which suggests that the BoJ may need to taper its JGB purchases in 2017 or 2018, given collateral needs of banks, asset-liability management constraints of insurers, and announced asset allocation targets of major pension funds. Nonetheless, the BoJ could deliver continued monetary stimulus by extending the maturity of its JGB purchases or by scaling up private asset purchases. We quantify the impact of rebalancing on capital outflows and discuss JGB market signals that can be indicative of limits being within reach.
Portfolio management --- Quantitative easing (Monetary policy) --- Asset-liability management --- Asset-liability management (Banking) --- Funds management --- Financial institutions --- QE (Monetary policy) --- Queasing (Monetary policy) --- Banks and banking, Central --- Monetary policy --- Investment management --- Investment analysis --- Investments --- Securities --- Management --- Banks and Banking --- Money and Monetary Policy --- Public Finance --- Industries: Financial Services --- Investments: General --- Current Account Adjustment --- Short-term Capital Movements --- Portfolio Choice --- Investment Decisions --- International Financial Markets --- Banks --- Depository Institutions --- Micro Finance Institutions --- Mortgages --- Social Security and Public Pensions --- Pension Funds --- Non-bank Financial Institutions --- Financial Instruments --- Institutional Investors --- Monetary Policy, Central Banking, and the Supply of Money and Credit: General --- Monetary Policy --- General Financial Markets: General (includes Measurement and Data) --- Banking --- Pensions --- Monetary economics --- Finance --- Investment & securities --- Pension spending --- Insurance companies --- Bank credit --- Unconventional monetary policies --- Expenditure --- Money --- Banks and banking --- Credit --- Financial instruments --- Japan
Choose an application
In this paper, we develop a methodology to assess potential losses to the government that could arise from bank failures. The approach is intended to be simple, parsimonious, and used in real time. It generates an index that we call the banking sector contingent liability index (BCLI), based on the banking sector’s size, concentration, diversification, leverage, and riskiness of assets. The index is illustrated for 32 advanced and emerging market economies from 2006 to 2013, as well as a group of banks including global systemically important banks (G-SIBs).
Banks and banking --- Contingent liabilities (Accounting) --- Bank failures --- Failure of banks --- Business failures --- Liabilities (Accounting) --- Agricultural banks --- Banking --- Banking industry --- Commercial banks --- Depository institutions --- Finance --- Financial institutions --- Money --- Econometric models. --- Banks and Banking --- Financial Risk Management --- Macroeconomics --- Public Finance --- Contingent Pricing --- Futures Pricing --- option pricing --- Banks --- Depository Institutions --- Micro Finance Institutions --- Mortgages --- Corporate Finance and Governance: Government Policy and Regulation --- Public Administration --- Public Sector Accounting and Audits --- Financial Crises --- Public finance & taxation --- Economic & financial crises & disasters --- Contingent liabilities --- Global financial crisis of 2008-2009 --- Financial crises --- Public financial management (PFM) --- Banking crises --- Fiscal policy --- Global Financial Crisis, 2008-2009 --- Australia
Listing 1 - 10 of 37 | << page >> |
Sort by
|