Suchergebnisse

In the context of the German regional government bond market, this paper studies the hypothesis that governments use moral suasion to persuade home government-owned banks to hold more home government debt. The empirical approach makes use of German banks' ownership structure, heterogeneity in the states' fiscal strength and detailed bank-level panel data on German banks' state bond portfolio on the security- and bank-level for the time period Q4:2005-Q2:2014. Results show that home state-owned banks hold a significantly higher amount of home state bonds than other home banks when fiscal fundamentals of the home state are weak. Banks located in other German states hold fewer state bonds in these situations. These findings are in line with moral suasion by state governments and are robust against controlling for observed and unobserved alternative incentives for banks' (home) state bond holdings such as risk-shifting by banks, lending opportunities or information asymmetries.

The aim of this theoretical paper is to discuss the researches implemented in government bond and other financial markets, and to identify the most important global factors, influencing government bond market comovements. Even though, there exist various groups of factors, influencing government bond markets, this research is concentrated in the existence of global factors. If the influence of these factors is significant, investors cannot hedge from this influence by diversifying. The research in this paper is implemented by using the analysis, synthesis and systemization of the researches and other scientific literature. This research uses a novel approach by excluding and the most common global factors, influencing government bond market comovements and discussing the measures to assess the influence of these factors on the comovements. The research resulted in identification of 5 global factors, most commonly disclosed by other researchers as influencing government bond market comovements: global risk aversion, global market portfolio, money market uncertainty, commodity market uncertainty and economic policy uncertainty, with the most important factor being global risk aversion. The existence of these factors reduces the benefits from international diversification: if the markets are strongly influence by the same global factors, the deterioration of these factors will influence the investment portfolio in the same way. JEL Codes: F36, G11, G15. DOI: https://doi.org/10.15544/ssaf.2016.01

In this paper we examine the predictive power of the Heterogeneous Autoregressive (HAR)model for the return volatility of major European government bond markets. Results fromHAR-type volatility forecasting models show that past short and medium-term volatilityare significant predictors of the term structure of intraday volatility of European bondswith maturities ranging from 1-year up to 30-years. When we decompose bond marketvolatility into its continuous and discontinuous (jump) component, we find that the jumpcomponent is a significant predictor. Moreover, we show that feedback from past short-term volatility to the forecast of future volatility is stronger in days that precede monetarypolicy announcements.