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Yves Nosbusch

Personal Details

First Name:Yves
Middle Name:
Last Name:Nosbusch
Suffix:
RePEc Short-ID:pno84
http://www.lse.ac.uk/collections/accountingAndFinance/facultyAndStaff/profiles/Nosbusch.htm
Terminal Degree:2006 Department of Economics; Harvard University (from RePEc Genealogy)

Affiliation

Financial Markets Group (FMG)
London School of Economics (LSE)

London, United Kingdom
http://fmg.lse.ac.uk/

: 020-7955-7002
020-7242-1006
Houghton Street, London WC2A 2AE
RePEc:edi:fmlseuk (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Stéphane Guibaud & Yves Nosbusch & Dimitri Vayanos, 2013. "Bond Market Clienteles, the Yield Curve, and the Optimal Maturity Structure of Government Debt," NBER Working Papers 18922, National Bureau of Economic Research, Inc.
  2. Jens Hilscher & Yves Nosbusch, 2007. "Determinants of Sovereign Risk: Macroeconomic Fundamentals and the Pricing of Sovereign Debt," Money Macro and Finance (MMF) Research Group Conference 2006 114, Money Macro and Finance Research Group, revised 24 Apr 2007.
  3. John Y. Campbell & Yves Nosbusch, 2006. "Intergenerational Risksharing and Equilibrium Asset Prices," NBER Working Papers 12204, National Bureau of Economic Research, Inc.

Articles

  1. Yves Nosbusch, 2008. "Interest Costs and the Optimal Maturity Structure Of Government Debt," Economic Journal, Royal Economic Society, vol. 118(527), pages 477-498, March.
  2. Campbell, John Y. & Nosbusch, Yves, 2007. "Intergenerational risksharing and equilibrium asset prices," Journal of Monetary Economics, Elsevier, vol. 54(8), pages 2251-2268, November.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Stéphane Guibaud & Yves Nosbusch & Dimitri Vayanos, 2013. "Bond Market Clienteles, the Yield Curve, and the Optimal Maturity Structure of Government Debt," NBER Working Papers 18922, National Bureau of Economic Research, Inc.

    Cited by:

    1. Romanos Priftis & Rigas Oikonomou & Hafedh Bouakez, 2017. "Optimal Debt Management in a Liquidity Trap," 2017 Meeting Papers 1316, Society for Economic Dynamics.
    2. Challe, E. & Le Grand, F. & Ragot, X., 2010. "Incomplete markets, liquidation risk, and the term structure of interest rates," Working papers 301, Banque de France.
    3. Faraglia, Elisa & Marcet, Albert & Oikonomou, Rigas & Scott, Andrew, 2014. "Government Debt Management: The Long and the Short of It," CEPR Discussion Papers 10281, C.E.P.R. Discussion Papers.
    4. Ellison, Martin & Scott, Andrew, 2017. "Managing the UK National Debt 1694-2017," CEPR Discussion Papers 12304, C.E.P.R. Discussion Papers.
    5. Elisa Faraglia & Albert Marcet & Rigas Oikonomou & Andrew Scott, 2014. "Government Debt Management: The Long and the Short of It (Plus Appendix)," Working Papers 799, Barcelona Graduate School of Economics.
    6. Opazo, Luis & Raddatz, Claudio & Schmukler, Sergio L., 2014. "Institutional investors and long-term investment : evidence from Chile," Policy Research Working Paper Series 6922, The World Bank.
    7. S. M. Ali Abbas & Laura Blattner & Mark De Broeck & Asmaa A ElGanainy & Malin Hu, 2014. "Sovereign Debt Composition in Advanced Economies; A Historical Perspective," IMF Working Papers 14/162, International Monetary Fund.
    8. Davide Debortoli & Ricardo Nunes & Pierre Yared, 2014. "Optimal Time-Consistent Government Debt Maturity," NBER Working Papers 20632, National Bureau of Economic Research, Inc.
    9. Till Strohsal, 2013. "Testing the Preferred-Habitat Theory: The Role ofTime-Varying Risk Aversion," SFB 649 Discussion Papers SFB649DP2013-043, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    10. Howard Kung & Gonzalo Morales & Alexandre Corhay, 2017. "Fiscal Discount Rates and Debt Maturity," 2017 Meeting Papers 840, Society for Economic Dynamics.
    11. Yutaka Kurihara, 2016. "Term Structure of Interest Rates under Zero or Low Bound: The Recent Japanese Case," Economy, Asian Online Journal Publishing Group, vol. 3(1), pages 19-23.
    12. Davide Dottori & Michele Manna, 2015. "Strategy and tactics in public debt management," Temi di discussione (Economic working papers) 1005, Bank of Italy, Economic Research and International Relations Area.
    13. Edouard Challe & François Le Grand & Xavier Ragot, 2013. "Incomplete markets, liquidation risk, and the term structure of interest rates," Working Papers hal-00843147, HAL.

  2. Jens Hilscher & Yves Nosbusch, 2007. "Determinants of Sovereign Risk: Macroeconomic Fundamentals and the Pricing of Sovereign Debt," Money Macro and Finance (MMF) Research Group Conference 2006 114, Money Macro and Finance Research Group, revised 24 Apr 2007.

    Cited by:

    1. Paula Andrea Beltrán-Saavedra, 2015. "Precio del petróleo y el ajuste de las tasas de interés en las economías emergentes," Borradores de Economia 901, Banco de la Republica de Colombia.
    2. Ehrmann, Michael & D'Agostino, Antonello, 2013. "The pricing of G7 sovereign bond spreads: the times, they are a-changin," Working Paper Series 1520, European Central Bank.
    3. Juan Camilo Galvis Ciro & Juan Camilo Anzoátegui Zapata, 2018. "Announcements credibility and government securities: evidence from Colombia," Applied Economics Letters, Taylor & Francis Journals, vol. 25(4), pages 278-282, February.
    4. Burkhard Raunig, 2018. "Economic Policy Uncertainty and the Volatility of Sovereign CDS Spreads," Working Papers 219, Oesterreichische Nationalbank (Austrian Central Bank).
    5. Wellmann, Dennis & Trück, Stefan, 2018. "Factors of the term structure of sovereign yield spreads," Journal of International Money and Finance, Elsevier, vol. 81(C), pages 56-75.
    6. Geert Bekaert & Campbell R. Harvey & Christian T. Lundblad & Stephan Siegel, 2014. "Political Risk Spreads," NBER Working Papers 19786, National Bureau of Economic Research, Inc.
    7. Anne-Laure Delatte & Mathieu Gex & Antonia Lòpez-Villavicencio, 2011. "Has the CDS market influenced the borrowing cost of European countries during the sovereign crisis?," Post-Print hal-00658200, HAL.
    8. Balima, Wenéyam Hippolyte & Combes, Jean-Louis & Minea, Alexandru, 2017. "Sovereign debt risk in emerging market economies: Does inflation targeting adoption make any difference?," Journal of International Money and Finance, Elsevier, vol. 70(C), pages 360-377.
    9. Jeanneret, Alexandre & Souissi, Slim, 2016. "Sovereign defaults by currency denomination," Journal of International Money and Finance, Elsevier, vol. 60(C), pages 197-222.
    10. Wenxin Du & Jesse Schreger, 2014. "Local Currency Sovereign Risk," Working Paper 102321, Harvard University OpenScholar.
    11. Bruder, Benjamin & Hereil, Pierre & Roncalli, Thierry, 2011. "Managing sovereign credit risk in bond portfolios," MPRA Paper 36673, University Library of Munich, Germany.
    12. Luca Benzoni & Pierre Collin-Dufresne & Robert S. Goldstein & Jean Helwege, 2012. "Modeling credit contagion via the updating of fragile beliefs," Working Paper Series WP-2012-04, Federal Reserve Bank of Chicago.
    13. Jan Bruha & Evžen Kocenda, 2017. "Financial Stability in Europe: Banking and Sovereign Risk," CESifo Working Paper Series 6453, CESifo Group Munich.
    14. Eyssell, Thomas & Fung, Hung-Gay & Zhang, Gaiyan, 2013. "Determinants and price discovery of China sovereign credit default swaps," China Economic Review, Elsevier, vol. 24(C), pages 1-15.
    15. Srivastava, Sasha & Lin, Hai & Premachandra, Inguruwatte M. & Roberts, Helen, 2016. "Global risk spillover and the predictability of sovereign CDS spread: International evidence," International Review of Economics & Finance, Elsevier, vol. 41(C), pages 371-390.
    16. Gorea, Denis & Radev, Deyan, 2014. "The euro area sovereign debt crisis: Can contagion spread from the periphery to the core?," International Review of Economics & Finance, Elsevier, vol. 30(C), pages 78-100.
    17. Gorkem Bostanci & Kamil Yilmaz, 2015. "How Connected is the Global Sovereign Credit Risk Network?," Koç University-TUSIAD Economic Research Forum Working Papers 1515, Koc University-TUSIAD Economic Research Forum.
    18. Theologos Dergiades & Costas Milas & Theodore Panagiotidis, 2013. "Tweets, Google Trends and Sovereign Spreads in the GIIPS," GreeSE – Hellenic Observatory Papers on Greece and Southeast Europe 78, Hellenic Observatory, LSE.
    19. Eichler, Stefan, 2014. "The political determinants of sovereign bond yield spreads," Journal of International Money and Finance, Elsevier, vol. 46(C), pages 82-103.
    20. Blommestein, Hans & Eijffinger, Sylvester & Qian, Zongxin, 2016. "Regime-dependent determinants of Euro area sovereign CDS spreads," Journal of Financial Stability, Elsevier, vol. 22(C), pages 10-21.
    21. Kinateder, Harald & Wagner, Niklas, 2017. "Quantitative easing and the pricing of EMU sovereign debt," The Quarterly Review of Economics and Finance, Elsevier, vol. 66(C), pages 1-12.
    22. Wang, Alan T. & Yang, Sheng-Yung & Yang, Nien-Tzu, 2013. "Information transmission between sovereign debt CDS and other financial factors – The case of Latin America," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 586-601.
    23. Zinna, Gabriele, 2014. "Identifying risks in emerging market sovereign and corporate bond spreads," Emerging Markets Review, Elsevier, vol. 20(C), pages 1-22.
    24. Crifo, Patricia & Diaye, Marc-Arthur & Oueghlissi, Rim, 2017. "The effect of countries’ ESG ratings on their sovereign borrowing costs," The Quarterly Review of Economics and Finance, Elsevier, vol. 66(C), pages 13-20.
    25. Jennie Bai & Shang-Jin Wei, 2017. "Property Rights and CDS Spreads: When Is There a Strong Transfer Risk from the Sovereigns to the Corporates?," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 7(04), pages 1-36, December.
    26. Atil, Ahmed & Bradford, Marc & Elmarzougui, Abdelaziz & Lahiani, Amine, 2016. "Conditional dependence of US and EU sovereign CDS: A time-varying copula-based estimation," Finance Research Letters, Elsevier, vol. 19(C), pages 42-53.
    27. Jesse Schreger & Wenxin Du, 2014. "Sovereign Risk, Currency Risk, and Corporate Balance Sheets," Working Paper 209056, Harvard University OpenScholar.
    28. Mikhail Stolbov, 2017. "Assessing systemic risk and its determinants for advanced and major emerging economies: the case of ΔCoVaR," International Economics and Economic Policy, Springer, vol. 14(1), pages 119-152, January.
    29. Augustin, Patrick & Subrahmanyam, Marti G. & Tang, Dragon Yongjun & Wang, Sarah Qian, 2014. "Credit Default Swaps: A Survey," Foundations and Trends(R) in Finance, now publishers, vol. 9(1-2), pages 1-196, December.
    30. Konopczak, Karolina & Konopczak, Michał, 2017. "Impact of International capital flows on emerging markets’ sovereign risk premium – demand vs. vulnerability effect," Finance Research Letters, Elsevier, vol. 23(C), pages 239-245.
    31. Nicholas Apergis & Ahdi Noomen Ajmi, 2015. "Systemic Sovereign Risk and Asset Prices: Evidence from the CDS Market, Stressed European Economies and Nonlinear Causality Tests," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 65(2), pages 106-126, April.
    32. Eichler, Stefan & Hofmann, Michael, 2013. "Sovereign default risk and decentralization: Evidence for emerging markets," European Journal of Political Economy, Elsevier, vol. 32(C), pages 113-134.
    33. Zvi Wiener & Dan Galai, 2009. "Credit Risk Spreads in Local and Foreign Currencies," IMF Working Papers 09/110, International Monetary Fund.
    34. Marc D. Joffe, 2012. "Rating Government Bonds: Can We Raise Our Grade?," Econ Journal Watch, Econ Journal Watch, vol. 9(3), pages 350-365, September.
    35. Nicolas Carnot & Stéphanie Pamies Sumner, 2017. "GDP-linked Bonds: Some Simulations on EU Countries," European Economy - Discussion Papers 2015 - 073, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission.
    36. Paula Margaretic & Sebastián Becerra, 2017. "Dispersed Information and Sovereign Risk Premia," Working Papers Central Bank of Chile 808, Central Bank of Chile.
    37. Kim, Suk-Joong & Salem, Leith & Wu, Eliza, 2015. "The role of macroeconomic news in sovereign CDS markets: Domestic and spillover news effects from the U.S., the Eurozone and China," Journal of Financial Stability, Elsevier, vol. 18(C), pages 208-224.
    38. Andreas Rathgeber & David Rudolph & Stefan Stöckl, 2015. "Pricing anomaly at the first sight: same borrower in different currencies faces different credit spreads—an explanation by means of a quanto option," Review of Derivatives Research, Springer, vol. 18(2), pages 107-143, July.
    39. Sottile, Pedro, 2013. "On the political determinants of sovereign risk: Evidence from a Markov-switching vector autoregressive model for Argentina," Emerging Markets Review, Elsevier, vol. 15(C), pages 160-185.
    40. Gunther Capelle-Blancard & Patricia Crifo & Marc-Arthur Diaye & Rim Oueghlissi & Bert Scholtens, 2016. "Environmental, Social and Governance (ESG) performance and sovereign bond spreads: an empirical analysis of OECD countries," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-01401718, HAL.
    41. Florian Berg & Paula Margaretic & Sébastien Pouget, 2016. "Sovereign Bond Spreads and Extra-Financial Performance: An Empirical Analysis of Emerging Markets," Working Papers Central Bank of Chile 789, Central Bank of Chile.
    42. Bouri, Elie & de Boyrie, Maria E. & Pavlova, Ivelina, 2017. "Volatility transmission from commodity markets to sovereign CDS spreads in emerging and frontier countries," International Review of Financial Analysis, Elsevier, vol. 49(C), pages 155-165.
    43. Boris T. Petkov, 2017. "Excessive Debt or Excess Savings -- Transition Countries Sovereign Bond Spread Assessment," International Business Research, Canadian Center of Science and Education, vol. 10(3), pages 91-119, March.
    44. Bernd Schwaab, 2012. "Conditional probabilities and contagion measures for euro area sovereign default risk," Research Bulletin, European Central Bank, vol. 17, pages 6-11.
    45. Olusegun Ayodele Akanbi, 2016. "External debt accumulation in sub-Saharan African countries: how fast is safe?," International Journal of Sustainable Economy, Inderscience Enterprises Ltd, vol. 8(2), pages 93-110.
    46. Agliardi, Elettra & Agliardi, Rossella & Pinar, Mehmet & Stengos, Thanasis & Topaloglou, Nikolas, 2012. "A new country risk index for emerging markets: A stochastic dominance approach," Journal of Empirical Finance, Elsevier, vol. 19(5), pages 741-761.
    47. Edward W. Sun & Daniel Tenengauzer & Ali Bastani & Omid Rezania, 2011. "Identification of Driving Factors for Emerging Markets Sovereign Spreads," Economics Bulletin, AccessEcon, vol. 31(3), pages 2584-2592.
    48. Lafuente, Juan Angel & Serrano, Pedro, 2015. "On the compensation for illiquidity in sovereign credit markets," Journal of Multinational Financial Management, Elsevier, vol. 30(C), pages 83-100.
    49. Chiarella, Carl & ter Ellen, Saskia & He, Xue-Zhong & Wu, Eliza, 2015. "Fear or fundamentals? Heterogeneous beliefs in the European sovereign CDS market," Journal of Empirical Finance, Elsevier, vol. 32(C), pages 19-34.
    50. Sensoy, Ahmet & Ozturk, Kevser & Hacihasanoglu, Erk & Tabak, Benjamin M., 2017. "Not all emerging markets are the same: A classification approach with correlation based networks," Journal of Financial Stability, Elsevier, vol. 33(C), pages 163-186.
    51. Suh, Sangwon, 2015. "Measuring sovereign risk contagion in the Eurozone," International Review of Economics & Finance, Elsevier, vol. 35(C), pages 45-65.
    52. Martinez, Lisana B. & Terceño, Antonio & Teruel, Mercedes, 2013. "Sovereign bond spreads determinants in Latin American countries: Before and during the XXI financial crisis," Emerging Markets Review, Elsevier, vol. 17(C), pages 60-75.
    53. Markellos, Raphael N. & Psychoyios, Dimitris & Schneider, Friedrich, 2016. "Sovereign debt markets in light of the shadow economy," European Journal of Operational Research, Elsevier, vol. 252(1), pages 220-231.
    54. Clark, Ephraim & Kassimatis, Konstantinos, 2015. "Macroeconomic effects on emerging-markets sovereign credit spreads," Journal of Financial Stability, Elsevier, vol. 20(C), pages 1-13.
    55. Samuel Brazys & Niamh Hardiman, 2013. "From Tiger to PIIGS: Ireland and the use of heuristics in comparative political economy," Working Papers 201316, Geary Institute, University College Dublin.
    56. Stefan Eichler, 2017. "How Do Political Factors Shape the Bank Risk–Sovereign Risk Nexus in Emerging Markets?," Review of Development Economics, Wiley Blackwell, vol. 21(3), pages 451-474, August.
    57. Uhrig-Homburg, Marliese, 2013. "Sovereign credit spreads," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4217-4225.
    58. Lu, Yang-Cheng & Wei, Yu-Chen & Chang, Tsang-Yao, 2015. "The effects and applicability of financial media reports on corporate default ratings," International Review of Economics & Finance, Elsevier, vol. 36(C), pages 69-87.
    59. Emma Hooper, 2015. "Oil and Gas, which is the Belle of the Ball ? The Impact of Oil and Gas Reserves on Sovereign Risk," AMSE Working Papers 1540, Aix-Marseille School of Economics, Marseille, France, revised 02 Oct 2015.
    60. Patricia Crifo & Marc-Arthur Diaye & Rim Oueghlissi, 2015. "Measuring the effect of government ESG performance on sovereign borrowing cost," Working Papers hal-00951304, HAL.
    61. Afonso, António & Nunes, Ana Sofia, 2015. "Economic forecasts and sovereign yields," Economic Modelling, Elsevier, vol. 44(C), pages 319-326.
    62. Waldenström, Daniel, 2010. "Why does sovereign risk differ for domestic and external debt? Evidence from Scandinavia, 1938-1948," Journal of International Money and Finance, Elsevier, vol. 29(3), pages 387-402, April.
    63. Elena Kalotychou & Eli Remolona & Eliza Wu, 2014. "What Makes Systemic Risk Systemic? Contagion and Spillovers in the International Sovereign Debt Market," Working Papers 072014, Hong Kong Institute for Monetary Research.
    64. Lucas, André & Schwaab, Bernd & Zhang, Xin, 2013. "Conditional euro area sovereign default risk," Working Paper Series 269, Sveriges Riksbank (Central Bank of Sweden).
    65. Emilios C. Galariotis & Panagiota Makrichoriti & Spyros Spyrou, 2016. "Sovereign CDS Spread Determinants and Spill-Over Effects During Financial Crisis: A Panel VAR Approach," Post-Print hal-01358715, HAL.
    66. Frigyes F Heinz & Yan M Sun, 2014. "Sovereign CDS Spreads in Europe; The Role of Global Risk Aversion, Economic Fundamentals, Liquidity, and Spillovers," IMF Working Papers 14/17, International Monetary Fund.
    67. Jennie Bai & Shang-Jin Wei, 2012. "When Is There a Strong Transfer Risk from the Sovereigns to the Corporates? Property Rights Gaps and CDS Spreads," NBER Working Papers 18600, National Bureau of Economic Research, Inc.
    68. Richard H. Clarida & Ildikó Magyari, 2016. "International Financial Adjustment in a Canonical Open Economy Growth Model," NBER Working Papers 22758, National Bureau of Economic Research, Inc.
    69. Edward I. Altman & Herbert A. Rijken, 2011. "Toward a Bottom‐Up Approach to Assessing Sovereign Default Risk," Journal of Applied Corporate Finance, Morgan Stanley, vol. 23(1), pages 20-31, January.
    70. Min Zhang & Adam W. Kolkiewicz & Tony S. Wirjanto & Xindan Li, 2013. "The Impacts of Financial Crisis on Sovereign Credit Risk Analysis in Asia and Europe," Working Paper series 62_13, Rimini Centre for Economic Analysis.
    71. Schumacher, Ingmar, 2014. "On the self-fulfilling prophecy of changes in sovereign ratings," Economic Modelling, Elsevier, vol. 38(C), pages 351-356.
    72. Emma Hooper, 2015. "Oil and Gas, which is the Belle of the Ball ? The Impact of Oil and Gas Reserves on Sovereign Risk," Working Papers halshs-01211506, HAL.
    73. Liu, Tengdong & Hammoudeh, Shawkat & Thompson, Mark A., 2013. "A momentum threshold model of stock prices and country risk ratings: Evidence from BRICS countries," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 27(C), pages 99-112.
    74. Petra Palic & Petra Posedel Simovic & Maruska Vizek, 2017. "The Determinants of Country Risk Premium Volatility: Evidence from a Panel VAR Model," Croatian Economic Survey, The Institute of Economics, Zagreb, vol. 19(1), pages 37-66, June.
    75. Wu, Eliza & Erdem, Magdalena & Kalotychou, Elena & Remolona, Eli, 2016. "The anatomy of sovereign risk contagion," Journal of International Money and Finance, Elsevier, vol. 69(C), pages 264-286.
    76. Maltritz, Dominik, 2012. "Determinants of sovereign yield spreads in the Eurozone: A Bayesian approach," Journal of International Money and Finance, Elsevier, vol. 31(3), pages 657-672.
    77. Robert V. Breunig & Tse Chern Chia, 2015. "Sovereign Ratings and Oil-Exporting Countries: The Effect of High Oil Prices on Ratings," International Review of Finance, International Review of Finance Ltd., vol. 15(1), pages 113-138, March.
    78. Pagano, Michael S. & Sedunov, John, 2016. "A comprehensive approach to measuring the relation between systemic risk exposure and sovereign debt," Journal of Financial Stability, Elsevier, vol. 23(C), pages 62-78.
    79. María Virginia Mattheus & Alberto Martín Díaz Cafferata, 2011. "Co-movements in terms of trade volatility in land-abundant countries," Working Papers 07/11, Instituto Universitario de Análisis Económico y Social.
    80. Grosse Steffen, Christoph & Podstawski, Maximilian, 2017. "Ambiguity and Time-Varying Risk Aversion in Sovereign Debt Markets," Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking 168101, Verein für Socialpolitik / German Economic Association.
    81. Gündüz, Yalin & Kaya, Orcun, 2013. "Sovereign default swap market efficiency and country risk in the eurozone," Discussion Papers 08/2013, Deutsche Bundesbank.
    82. Jair Ojeda-Joya & José E. Gómez-González, 2012. "The Term-Structure of Sovereign Default Risk in Colombia and its Determinants," BORRADORES DE ECONOMIA 009603, BANCO DE LA REPÚBLICA.
    83. Bekaert, Geert & Harvey, Campbell R. & Lundblad, Christian T. & Siegel, Stephan, 2016. "Political risk and international valuation," Journal of Corporate Finance, Elsevier, vol. 37(C), pages 1-23.
    84. Weneyam Hippolyte Balima & Jean-Louis Combes & Alexandru Minea, 2015. "Sovereign Debt Risk in Emerging Countries: Does Inflation Targeting Adoption Make Any Difference?," Working Papers halshs-01128239, HAL.
    85. Altman, Edward & Rijken, Herbert, 2012. "Toward a bottom-up approach to assessing sovereign default risk: an update," Journal of Financial Transformation, Capco Institute, vol. 34, pages 19-29.
    86. Eichler, Stefan & Maltritz, Dominik, 2013. "The term structure of sovereign default risk in EMU member countries and its determinants," Journal of Banking & Finance, Elsevier, vol. 37(6), pages 1810-1816.
    87. Edward I. Altman & Herbert A. Rijken, 2013. "Sovereign default risk assessment," International Journal of Banking, Accounting and Finance, Inderscience Enterprises Ltd, vol. 5(1/2), pages 6-27.
    88. Huong Dang, 2014. "How dimensions of national culture and institutional characteristics influence sovereign rating migration dynamics," ZenTra Working Papers in Transnational Studies 42 / 2014, ZenTra - Center for Transnational Studies.
    89. Joy, Mark, 2012. "Sovereign default and macroeconomic tipping points," Research Technical Papers 10/RT/12, Central Bank of Ireland.
    90. Ali Acosta & Daniel Barráez & Danyira Pérez & Mariana Urbina, 2015. "Country Risk, Macroeconomic Fundamentals and Uncertainty in Latin American Economies," Monetaria, Centro de Estudios Monetarios Latinoamericanos, vol. 0(2), pages 147-174, July-Dece.
    91. Pu, Xiaoling & Zhang, Jianing, 2012. "Can dual-currency sovereign CDS predict exchange rate returns?," Finance Research Letters, Elsevier, vol. 9(3), pages 157-166.
    92. Zeaiter, Hussein & El-Khalil, Raed, 2016. "Extreme bounds of sovereign defaults: Evidence from the MENA region," International Review of Economics & Finance, Elsevier, vol. 41(C), pages 391-410.
    93. Ordoñez-Callamand, Daniel & Gomez-Gonzalez, Jose Eduardo & Melo-Velandia, Luis Fernando, 2017. "Sovereign default risk in OECD countries: Do global factors matter?," The North American Journal of Economics and Finance, Elsevier, vol. 42(C), pages 629-639.
    94. Pascal François & Georges Hübner & Jean-Roch Sibille, 2011. "A Structural Balance Sheet Model of Sovereign Credit Risk," Finance, Presses universitaires de Grenoble, vol. 32(2), pages 137-165.
    95. Ingmar Schumacher, 2014. "On the Self," Working Papers 2014-51, Department of Research, Ipag Business School.
    96. Ludovit Odor & Pavol Povala, 2016. "Risk Premiums in Slovak Government Bonds," Discussion Papers Discussion Paper No. 3/20, Council for Budget Responsibility.
    97. Christopher Findlay & Silvia Sorescu & Camilo Umana Dajud, 2016. "Markets are Smart! Structural Reforms and Country Risk," Working Papers 2016-23, CEPII research center.
    98. Benedicte Vibe Christensen, 2016. "Challenges of low commodity prices for Africa," BIS Papers, Bank for International Settlements, number 87, November.
    99. Andrade, Sandro C., 2009. "A model of asset pricing under country risk," Journal of International Money and Finance, Elsevier, vol. 28(4), pages 671-695, June.
    100. Juan Camilo Galvis Ciro & Helder Ferreira de Mendonça, 2016. "Inflation targeting credibility and sovereign risk: evidence from Colombia," Applied Economics Letters, Taylor & Francis Journals, vol. 23(14), pages 984-990, September.
    101. Airaudo, Marco, 2012. "Endogenous Dollarization, Sovereign Risk Premia and the Taylor Principle," School of Economics Working Paper Series 2012-11, LeBow College of Business, Drexel University.
    102. Luis Arturo Bárcenas & Lorena Barreiro & Carolina Pagliacci, 2016. "What Is the Role of Size in Latin American Banks’ Performancein Response to External Shocks?," Monetaria, Centro de Estudios Monetarios Latinoamericanos, vol. 0(2), pages 233-273, july-dece.
    103. Gündüz, Yalin & Kaya, Orcun, 2014. "Impacts of the financial crisis on eurozone sovereign CDS spreads," Journal of International Money and Finance, Elsevier, vol. 49(PB), pages 425-442.
    104. Anna Shostya & Moshe Banai, 2017. "Cultural and Institutional Antecedents of Country Risk," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 45(3), pages 351-364, September.
    105. Lafuente Luengo, Juan Ángel & Serrano, Pedro & Groba, Jonatan, 2014. "On the compensation for illiquidity in sovereign credit markets," DEE - Working Papers. Business Economics. WB wb142911, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
    106. Moretti, Laura, 2011. "Transparency and emerging market bond spreads," CFS Working Paper Series 2011/14, Center for Financial Studies (CFS).
    107. Zeaiter, Hussein Zeaiter, 2013. "Sovereign Debt Defaults: Evidence using Extreme bounds Analysis," Working Papers 32/2013, Universidade Portucalense, Centro de Investigação em Gestão e Economia (CIGE).
    108. Houssam Bouzgarrou & Tarek Chebbi, 2016. "The reaction of sovereign CDS spread volatilities to news announcements," Journal of Asset Management, Palgrave Macmillan, vol. 17(5), pages 347-360, September.
    109. Riedel, Christoph & Thuraisamy, Kannan S. & Wagner, Niklas, 2013. "Credit cycle dependent spread determinants in emerging sovereign debt markets," Emerging Markets Review, Elsevier, vol. 17(C), pages 209-223.
    110. Schwaab, Bernd & Lucas, André & Zhang, Xin, 2013. "Conditional and joint credit risk," Working Paper Series 1621, European Central Bank.
    111. Eichler, Stefan, 2015. "How Do Political Factors Shape the Bank Risk-Sovereign Risk Nexus in Emerging Markets?," Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 112877, Verein für Socialpolitik / German Economic Association.
    112. Edgardo Cayón, 2014. "The Effects of Contagion During the Global Financial Crisis in Government-Regulated and Sponsored Assets in Emerging Markets," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 30.
    113. Sorin Gabriel Anton, 2011. "The Local Determinants Of Emerging Market Sovereign Cds Spreads In The Context Of The Debt Crisis. An Explanatory Study "," Analele Stiintifice ale Universitatii "Alexandru Ioan Cuza" din Iasi - Stiinte Economice, Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, vol. 58, pages 41-52, november.

  3. John Y. Campbell & Yves Nosbusch, 2006. "Intergenerational Risksharing and Equilibrium Asset Prices," NBER Working Papers 12204, National Bureau of Economic Research, Inc.

    Cited by:

    1. Campbell, John Y. & Nosbusch, Yves, 2007. "Intergenerational risksharing and equilibrium asset prices," LSE Research Online Documents on Economics 24484, London School of Economics and Political Science, LSE Library.
    2. Guibaud, Stéphane & Nosbusch, Yves & Vayanos, Dimitri, 2013. "Bond Market Clienteles, the Yield Curve, and the Optimal Maturity Structure of Government Debt," CEPR Discussion Papers 9407, C.E.P.R. Discussion Papers.
    3. Glover, Andrew & Heathcote, Jonathan & Krueger, Dirk & Rios-Rull, Jose-Victor, 2014. "Intergenerational Redistribution in the Great Recession," Staff Report 498, Federal Reserve Bank of Minneapolis.
    4. Beetsma, Roel M.W.J. & Bovenberg, A. Lans & Romp, Ward E., 2011. "Funded pensions and intergenerational and international risk sharing in general equilibrium," Journal of International Money and Finance, Elsevier, vol. 30(7), pages 1516-1534.
    5. Marcel Lever & Ilja Boelaars & Ryanne Cox & Roel Mehlkopf, 2015. "The allocation of financial risks during the life cycle in individual and collective DC pension contracts," CPB Discussion Paper 317, CPB Netherlands Bureau for Economic Policy Analysis.
    6. Luciano Greco, 2008. "A Note on Social Security and Public Debt," "Marco Fanno" Working Papers 0083, Dipartimento di Scienze Economiche "Marco Fanno".
    7. Carlsson, Evert & Erlandzon, Karl, 2006. "The Bright Side of Shiller-Swaps: A Solution to Inter-generational Risk-sharing," Working Papers in Economics 233, University of Gothenburg, Department of Economics, revised 24 Oct 2006.
    8. Devis Geron, 2009. "Social Security Incidence under Uncertainty Assessing Italian Reforms," CESifo Working Paper Series 2812, CESifo Group Munich.

Articles

  1. Yves Nosbusch, 2008. "Interest Costs and the Optimal Maturity Structure Of Government Debt," Economic Journal, Royal Economic Society, vol. 118(527), pages 477-498, March.

    Cited by:

    1. Romanos Priftis & Rigas Oikonomou & Hafedh Bouakez, 2017. "Optimal Debt Management in a Liquidity Trap," 2017 Meeting Papers 1316, Society for Economic Dynamics.
    2. Niepelt, Dirk, 2008. "Debt Maturity without Commitment," CEPR Discussion Papers 7093, C.E.P.R. Discussion Papers.
    3. Elisa Faraglia & Albert Marcet & Andrew Scott, 2012. "Debt management and optimal fiscal policy with long bonds," BIS Papers chapters,in: Bank for International Settlements (ed.), Threat of fiscal dominance?, volume 65, pages 177-212 Bank for International Settlements.
    4. Faraglia, Elisa & Marcet, Albert & Oikonomou, Rigas & Scott, Andrew, 2014. "Government Debt Management: The Long and the Short of It," CEPR Discussion Papers 10281, C.E.P.R. Discussion Papers.
    5. Ellison, Martin & Scott, Andrew, 2017. "Managing the UK National Debt 1694-2017," CEPR Discussion Papers 12304, C.E.P.R. Discussion Papers.
    6. Elisa Faraglia & Albert Marcet & Rigas Oikonomou & Andrew Scott, 2014. "Government Debt Management: The Long and the Short of It (Plus Appendix)," Working Papers 799, Barcelona Graduate School of Economics.
    7. Faraglia, Elisa & Marcet, Albert & Scott, Andrew, 2008. "In Search of a Theory of Debt Management," CEPR Discussion Papers 6859, C.E.P.R. Discussion Papers.
    8. Guibaud, Stéphane & Nosbusch, Yves & Vayanos, Dimitri, 2013. "Bond Market Clienteles, the Yield Curve, and the Optimal Maturity Structure of Government Debt," CEPR Discussion Papers 9407, C.E.P.R. Discussion Papers.
    9. Faraglia, Elisa & Marcet, Albert & Scott, Andrew, 2014. "Modelling Long Bonds - The Case of Optimal Fiscal Policy," CEPR Discussion Papers 9965, C.E.P.R. Discussion Papers.
    10. Alessandro Missale, 2012. "Sovereign debt management and fiscal vulnerabilities," BIS Papers chapters,in: Bank for International Settlements (ed.), Threat of fiscal dominance?, volume 65, pages 157-176 Bank for International Settlements.
    11. Hanno Lustig & Christopher Sleet & Sevin Yeltekin, "undated". "Fiscal Hedging with Nominal Assets," GSIA Working Papers 2006-E35, Carnegie Mellon University, Tepper School of Business.
    12. Equiza-Goni, Juan & Faraglia, Elisa & Oikonomou, Rigas, 2016. "Union Debt Management," CEPR Discussion Papers 11181, C.E.P.R. Discussion Papers.
    13. Basil Dalamagas & Stefanos Tantos, 2017. "Optimal Sovereign Debt for an Overdebted Country," Australian Economic Papers, Wiley Blackwell, vol. 56(2), pages 95-118, June.
    14. Rigas Oikonomou & Albert Marcet & Elisa Faraglia, 2016. "Long term Government Bonds," 2016 Meeting Papers 565, Society for Economic Dynamics.
    15. Hans J. Blommestein & Anja Hubig, 2012. "A Critical Analysis of the Technical Assumptions of the Standard Micro Portfolio Approach to Sovereign Debt Management," OECD Working Papers on Sovereign Borrowing and Public Debt Management 4, OECD Publishing.
    16. Hans J Blommestein & Anja Hubig, 2012. "Is the standard micro portfolio approach to sovereign debt management still appropriate?," BIS Papers chapters,in: Bank for International Settlements (ed.), Threat of fiscal dominance?, volume 65, pages 141-155 Bank for International Settlements.
    17. Bank for International Settlements, 2011. "Interactions of sovereign debt management with monetary conditions and financial stability," CGFS Papers, Bank for International Settlements, number 42.
    18. Johannes Holler, 2013. "Funding Strategies of Sovereign Debt Management: A Risk Focus," Monetary Policy & the Economy, Oesterreichische Nationalbank (Austrian Central Bank), issue 2, pages 51-74.
    19. Massimo BERNASCHI & Alessandro MISSALE & Davide VERGNI, 2009. "Should governments minimize debt service cost and risk? A closer look at the debt strategy. Simulation approach," Departmental Working Papers 2009-53, Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano.

  2. Campbell, John Y. & Nosbusch, Yves, 2007. "Intergenerational risksharing and equilibrium asset prices," Journal of Monetary Economics, Elsevier, vol. 54(8), pages 2251-2268, November.
    See citations under working paper version above.

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 3 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-FMK: Financial Markets (2) 2006-05-13 2013-04-06
  2. NEP-BEC: Business Economics (1) 2006-05-13
  3. NEP-CBA: Central Banking (1) 2006-05-13
  4. NEP-DGE: Dynamic General Equilibrium (1) 2006-05-13
  5. NEP-FIN: Finance (1) 2006-05-13
  6. NEP-MAC: Macroeconomics (1) 2013-04-06
  7. NEP-PBE: Public Economics (1) 2006-05-13

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