Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
7358820 | Journal of Economic Dynamics and Control | 2018 | 23 Pages |
Abstract
Further results with calibrated instruments for Germany, Italy and South Africa shed light on a policy question, whether the risk premia of these bonds make them beneficial for sovereigns. Our findings affirm that designs are possible for both coupon-indexed and principal-indexed bonds that can benefit a sovereign, with an advantage for coupon-indexed bonds. This finding is robust, but a nuanced reading is needed due to the many inter-related risk factors and design parameters that affect prices and premia.
Related Topics
Physical Sciences and Engineering
Mathematics
Control and Optimization
Authors
Andrea Consiglio, Stavros A. Zenios,