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This article investigates spillovers from foreign economies to the U.S. through changes in long-term Treasury yields. We document a decline in the contribution of U.S. domestic news to the variance of long-term Treasury yields and an increased importance of overnight yield changes, a proxy for foreign shocks' contribution to U.S. yields. A model that identifies U.S., Euro area, and U.K. shocks that move global yields suggests that foreign shocks account for at least 20% of the daily variation in long-term U.S. yields in recent years. We also document the predictability of long-term U.S. yields by the U.S.–foreign yield spread. [ABSTRACT FROM AUTHOR]

As inflation moderates at higher than optimal levels and real rates on 5-year Treasury inflation-protected securities (TIPS) are above 2 percent, TIPS become increasingly relevant. This column examines important issues associated with TIPS. Since TIPS are marked-to-market, their returns are much noisier than inflation bond returns. Clients can invest directly or indirectly in TIPS, and each has important advantages. Investors must be careful when comparing TIPS funds because reported yields sometimes include inflation and fund expenses (i.e., there is no uniformity among funds). Lastly, duration interpretation is a bit different for TIPS versus nominal bonds. [ABSTRACT FROM AUTHOR]

We decompose the yield curve of U.S. Treasury bonds into three components—the level, slope, and curvature. We then explore the interaction between these factors and uncertainty in the U.S. bond market. We assess this uncertainty using a VIX-style estimate originating in options on the CBOE's Treasury Note futures. Using monthly data for 2003–2020, we find that interest rate uncertainty drives the evolution in the shape of the yield curve, but not vice versa. Specifically, the bond market's VIX-style metric not only correlates with but also influences the yield curve's level and slope. Moreover, increased uncertainty about interest rates is negatively associated with, and can significantly influence, the yield curve's curvature. The results of this study are crucial for both policymakers and money managers. [ABSTRACT FROM AUTHOR]

Copyright of Contaduría y Administración is the property of Facultad de Contaduria y Administracion-Universidad Nacional Autonoma de Mexico and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)

As a key tool in implementing monetary policy and government financing, government bonds play an essential role in financial markets. By means of Islamic financial innovations in the Islamic capital market, the instrument of Islamic treasury bill is published and tradable in the over-the-counter market. Islamic treasury bills have many risks in terms of execution, including the ease of trading and liquidity in the secondary market. Therefore, this research aims to examine some microstructural elements of government bonds using a vector autoregressive model. In this article, the effect of trading volume on bid-ask spread of orders has been investigated. To survey the impact of these variables, the vector autoregressive (VAR) model has been used on intraday data of 17 symbols of Islamic treasury bills in the over-the-counter market, which had the most trading days from 2021 to September 2023. According to the studies, there is a significant relationship between the trading volume and bid-ask spread only in Islamic treasury bills with long-term maturity. Therefore, the effect of the bid-ask spread of orders in different periods is greater than the trading volume, especially in longer-term Islamic treasury bills. Hence, in this research, by analyzing the impulse response function, if there is a shock on the variables, the effect of the trading volume's shock remains for several periods and affects unremarkably the bid-ask spread of orders in most of the short-term and long-term Islamic treasury bills, while effects of the bid-ask spread shocks during initial periods for long-term and short-term Islamic treasury bills is excellent, but decrease sharply during the following periods. These results help traders pay attention and reduce the risk of trading in the over-the-counter market, specifically the long-term treasury bills. [ABSTRACT FROM AUTHOR]

Since the early 1980s, there have been a number of principally empirical studies of the impact of government budget deficits on interest rates that have typically tested the hypothesis that larger deficits raise interest rates. However, in more recent years, this topic has received far less attention. Accordingly, this study seeks to "update" the findings of such studies and to do so for the dominant North American economies of Canada and the U.S. Furthermore, in the pursuit of further insights into interest rates, the present study also investigates an effectively heretofore overlooked variable that arguably also might influence interest rates, namely, economic freedom. Finally, given the increased upward trend of government debt (relative to GDP) in recent years in Canada and the U.S., this study investigates the interest rate impact of rising national debt-to-GDP ratios. For the 1995–2024 period (and also in one estimate for the 1985–2001 period), this exploratory study finds compelling evidence (1) that the real interest rate yield on 10-year Treasuries in Canada and the real interest rate yield on 10-year U.S. Treasury notes are increasing functions of the central government budget deficits in both Canada and the U.S., respectively, and (2) the real interest rate yields on 10-year Treasuries in Canada and 10-year U.S. Treasury notes are both decreasing functions of economic freedom in Canada and the U.S., respectively. On the other hand, regarding the impact of a higher national debt-to-GDP ratio on the real ten-year Treasury yield, there is only very mixed support for an impact, with support for its impact coming from the Canadian estimates but no support whatsoever coming from the U.S. estimates. [ABSTRACT FROM AUTHOR]

Investigating the transition from the London interbank offered rate (LIBOR) to the secured overnight financing rate (SOFR) and considering the documented volatility of SOFR, this study examines the dynamic nature and potential drivers of the SOFR by analyzing both the SOFR–EFFR (effective Federal Funds rate) and SOFR–IOER (interest on excess reserves) spreads. The results reveal noteworthy correlations between the SOFR and end‐of‐month anomalies and Federal Reserve market interventions in the repo market. These effects persist even after controlling for other variables, such as the amount of outstanding Treasury securities, Treasury General Account balance, and net repo transactions by primary dealers. Investors in SOFR‐linked instruments should be mindful of the possible impact of these factors. [ABSTRACT FROM AUTHOR]

Copyright of Revista de Derecho de la Seguridad Social, Laborum is the property of Ediciones Laborum S.L. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)

As another US presidential election approaches, investor interest in the impact of these elections on asset returns and the existence of a presidential puzzle reemerges. To help investors decide on whether or not they should consider presidential elections and related criteria in making tactical asset allocation decisions, we update prior literature to include more recent elections and we directly test for differences in real returns on various asset classes. Considered independently, there is evidence that the party of the President, political gridlock, and monetary policy continue to have a relationship to stock, bond, and T-Bill returns that continues to diminish over time. Examining these relationships in a simultaneous, multivariate setting yields similar results. In an efficient frontier portfolio setting, Democrats provide investors with better risk-return tradeoffs than Republicans for stock, government bond, and T-Bill allocations with higher allocation toward equities, but Republicans have provided better tradeoffs for conservative investors that are more weighted toward bonds and T-Bills. As the election approaches, active investors should remain cognizant of a presidential puzzle and related risk-return tradeoffs. [ABSTRACT FROM AUTHOR]

Inflation, the terrifying beast, was gradually put to sleep over the past 40 years. For a while, people had forgotten its presence. In fact, since 2008, most monetary and fiscal policies have been fighting deflation, not inflation. It is only natural that when it was woken up by a combination of COVID-19-induced supply chain destruction and monstrous fiscal stimulus, investors were not prepared. They soon found that most inflation-protection assets, such as Treasury inflation-protected securities (TIPS), real estate, commodities, gold, and even bitcoins lost money in that inflationary environment, mainly as a result of global central banks tightening monetary policies to fight inflation. In this article, the authors first study the rationale behind the ineffectiveness of traditional inflation-protection assets, then provide a solution based on a carefully designed structure using centrally cleared inflation swaps. With a small twist, the authors also propose a simple one-stop shop structure to match real liabilities for institutions such as pensions, endowments, and foundations. Lastly, for allocators who are concerned about the intrinsic leverage in a derivative-based strategy, the authors suggest a cheap tail risk hedging mechanism using oversupplied inflation options to mathematically contain the downside risk of our structure. [ABSTRACT FROM AUTHOR]

Despite the long history of calculating inflation betas, estimates of investment returns' response to the temporary and persistent components of inflation are strikingly absent. This article attempts to fill that void. Using officially reported inflation as well as real economic, survey, and time-series measures, the author decomposes inflation and estimates the reaction of stocks, bonds, and Treasury bills to its components. Persistent inflation is destabilizing, can harm economic growth, and, if this article's findings are reliable, is negatively associated with equity returns. But it is rare. Large relative-price changes are common, but equities may react indifferently to them. Portfolio inflation protection isn't free: It comes at the expense of allocations to higher-return asset classes. The author's findings might affect the amount of costly inflation insurance practitioners require. [ABSTRACT FROM AUTHOR]

Our article contains three critical elements. First, by way of motivation, we consider active optimal mean-variance portfolios within the confines of a three-risky-asset model (based on common equity, corporate bonds, and long-dated Treasury securities) and a short-term, riskless security. Within that context, our article models and numerically demonstrates the impact of the magnitude and sign of the interest-rate term premium in optimal asset allocation. Then, based on interest-rate survey data, we demonstrate the occurrence of a negative term premium in the Treasury market, and proceed to permit such an occurrence within a model whereby asset returns covary with a market portfolio. Finally, turning to empirics, we document the relationship between the sign of the term premium and the sign of the covariance between Treasury and equity returns. Recognizing the deficiency in using historical data as inputs to active optimal mean-variance portfolios, we seek to obtain forward-looking inputs to render our model prospective (rather than merely retrospective): we design and implement tests for obtaining forward-looking measures of covariation. [ABSTRACT FROM AUTHOR]

We examine the impact of global geopolitical risk (GPR) measures on US Treasuries' returns and volatilities, differentiating between long- and short-run investment behaviours among an array of time-to-maturities ranging from 1 month to 30 years, taking into account various economic and financial factors. Using monthly data and a panel autoregressive distributed lag (ARDL) model, the results indicate a negative long-run relationship between US Treasuries' returns and the global GPR index. These results generally hold when we consider geopolitical threats and geopolitical acts, although they exhibit some discrepancies between these two components and across the yield curve. Further results show a positive and strong long-run relationship between the US Treasuries' realized volatilities and the various geopolitical risk measures. The evidence holds true when we disentangle 'bad' from 'good' realized volatilities, although the impact of bad volatility is stronger than that of good volatility, which points to an asymmetric effect of realized volatility in US Treasuries. A sub-sample analysis suggests the robustness of the main results. Our analyses provide the first empirical evidence of the information content of GPR for US Treasury securities' returns and volatilities, which matters to fixed-income investors and decision-makers at the Federal Reserve. [ABSTRACT FROM AUTHOR]

Interbank interest rates and Treasury Bill (TB) yields of maturities of three and six months move together, but not 12 months, under a "quantitative and qualitative easing policy." On the other hand, interbank interest rates and TB yields of maturities of 3, 6, and 12 months move together under a "negative interest rate policy." Interbank and TB markets are partially integrated up to the 6‐month maturity as a short‐term money market under a "quantitative and qualitative easing policy," while interbank and TB markets are integrated up to the 12‐month maturity as a short‐term money market under a "negative interest rate policy." This indicates that the arbitrage of interbank and TB markets works. Practitioners of the interbank market are limited to financial institutions, but those of TB markets also include non‐financial institutions. [ABSTRACT FROM AUTHOR]

This study examined the performance of 371 equity real estate investment trusts (REITs) over the period 1972–2020. Unlike stocks, we found that the majority of the 371 REITs outperformed one-month T-bills, particularly over longer holding periods and in the modern REIT era. While most REITs outperformed the T-bills, only a minority of them outperformed the overall equity REIT market. REITs that outperformed the overall equity REIT market concentrated in the health care, industrial, residential, and other specialty REIT sectors. In terms of wealth creation, REITs in aggregate created a total net wealth of $0.89 trillion to their shareholders, but the wealth creation was highly concentrated in relatively few top-performing REITs. Specifically, the top five (20) REITs together accounted for almost 30% (60%) of the total net wealth creation. Overall, our results suggest that relative to the T-bills, REITs performed better than stocks. [ABSTRACT FROM AUTHOR]

Using a wavelet local multiple correlation methodology that blends multiscale and multivariate approaches, this article investigates the relationships between US stocks and bonds. A spillover analysis completes this methodology. The S&P 500 stock index and US Treasury notes with maturities ranging from 1 to 30 years make up the data. From 1985 to 2022, it is sampled on a daily basis, and from 1990 to 2022, it is sampled on a monthly basis to take inflation and volatility into consideration. The results suggest that the correlation sign for long-term scales is usually negative between bonds and inflation or stocks and volatility and is positive between stocks and inflation or bonds and volatility. Moreover, volatility often has more influence than inflation. The two scales for which a recent correlation shift, from negative to positive, occurred are the monthly and yearly scales. The major conclusions demonstrate that the stock–bond correlation is prone to timescale effects and is time-varying at all maturities. [ABSTRACT FROM AUTHOR]

In this paper, different monetary policy rules are re‐estimated employing real‐time data, known as Greenbook data, through MLE and Bayesian Estimation. The results favour the rule with persistent shocks and show that the inertial movement of the Federal funds rate is an illusion, as mentioned by Rudebusch (2002). Since it would be possible to have an omitted variable bias due to impure serial correlation, however, the rule with persistent shock could imply that the other serially correlated variable is required to explain the inertial movement of Federal funds rates. Based on this idea, serial correlation tests are implemented, showing the possibility of an omitted serial correlated variable. Therefore, it is reasonable to search for other persistent variables. As an illusion implies unpredictability in the movement of the Federal funds rate, this hypothesis could be against the credibility of the central bank. In order to have a reasonable explanation for the inertial movement other than persistent shocks, therefore, modifying the rule with a 3‐month t‐bill rate is re‐estimated. The result shows that the rule with the t‐bill rate outperformed in all aspects and is compatible with one theoretical explanation of minimizing the financial volatility for inertial movement. [ABSTRACT FROM AUTHOR]

We examine whether impending government shutdowns affect money market fund (MMF) investors and managers. Research suggests that market participants place increased risk on US Treasury Bills around government shutdown periods. There are three sets of decision makers in our sample: retail MMF investors, institutional MMF investors, and MMF investment managers. We ask the question; as the country moves toward a federal government shutdown do investors exit MMFs and do MMF managers shorten their maturities? In general, we find that fund managers did little to respond to government shutdowns. Institutional investors withdrew funds from MMFs (both Government and Prime). Retail investors moved funds into MMFs and moved into both Prime and Government funds. [ABSTRACT FROM AUTHOR]

This study investigates whether public procurement mitigates or exacerbates innovative enterprises' financial constraints. We distinguish between general and environmentally beneficial innovative enterprises. Theory suggests that the treatment effects of public procurement, particularly when mediated by the demand-pull effect, may lower a company's funding constraints for innovation. We test this theory with extended probit models allowing for endogenous treatment and selection. The findings reveal a significantly positive treatment effect of public procurement on the probability of facing financial constraints in both areas: general and environmentally beneficial innovative activities. Thus, the principal implications of this study are (1) that being an innovating SME exacerbates financial constraints and (2) that strengthening SMEs' participation in European public tenders would not contribute to lowering SMEs' financial constraints. On the contrary, complementary grants or other financial incentives might be necessary to substantially increase the SMEs' bidding rates in public tenders. Plain English Summary: Public procurement incre ases the chance of innovative firms, in particular SMEs, to face financial constraints. This study investigates whether public procurement mitigates or exacerbates financial constraints of enterprises with general or environmentally beneficial innovative activities. The principal implication is that owning a public procurement contract is no instrument to lower innovative firms', in particular SMEs', financial constraints. On the contrary, complementary grants or other financial incentives might be necessary to substantially increase the SMEs' bidding rates in a public tender. [ABSTRACT FROM AUTHOR]

This paper tests using two-regime Markov-switching models with asymmetric, time-varying exponential generalized autoregressive conditional heteroskedasticity (MS-EGARCH) variances in random-length lumber futures trading. By assuming a two-regime context (a low s = 1 and high s = 2 volatility), a trading algorithm was simulated with the following trading rule: invest in lumber futures if the probability of being in the high-volatility regime s = 2 is lower or equal to 50%, or invest in the 3-month U.S. Treasury bills (TBills) otherwise. The rationale tested in this paper was that using a two-regime Markov-switching (MS) algorithm leads to an overperformance against a buy-and-hold strategy in lumber futures. To extend the current literature in MS trading algorithms, two location parameter scenarios were simulated. The first uses an unconditional mean or expected value (no factors), and the second incorporates market and behavioral factors. With weekly simulations form 2 January 1994 to 28 July 2023, the results suggest that using MS-EGARCH models in a no-factors scenario is appropriate for active lumber futures trading with an accumulated return of 158.33%. Also, the results suggest that it is not useful to add market and behavioral factors in the MS-GARCH estimation because it leads to a lower performance. [ABSTRACT FROM AUTHOR]

The yield on the 10-year U.S. Treasury Note is among the most cited interest rates by investors, policymakers, and financial institutions. We show that the 10-year Treasury yield's forward-looking volatility, a VIX-style measure that is a proxy for uncertainty about future interest rates, is a useful state variable capable of predicting the returns and volatility of crude oil prices over the near term. Using monthly data from 2003 to 2020, we document that higher implied volatility in the 10-year U.S. Treasury derivatives market predicts declining oil prices and higher forward-looking volatility in those prices. Our results are robust to different subsamples and various empirical designs. [ABSTRACT FROM AUTHOR]

The Sharpe ratio function is a commonly used risk/return measure in financial econometrics. To estimate this function, most existing methods take a two-step procedure that first estimates the mean and volatility functions separately and then applies the plug-in method. In this paper, we propose a direct method via local maximum likelihood to simultaneously estimate the Sharpe ratio function and the negative log-volatility function as well as their derivatives. We establish the joint limiting distribution of the proposed estimators, and moreover extend the proposed method to estimate the multivariate Sharpe ratio function. We also evaluate the numerical performance of the proposed estimators through simulation studies, and compare them with existing methods. Finally, we apply the proposed method to the three-month US Treasury bill data and that captures a well-known covariate-dependent effect on the Sharpe ratio. [ABSTRACT FROM AUTHOR]

Congress faces challenges when attempting to raise the debt limit promptly. We address a gap in the literature by investigating whether policy uncertainty or interest group competition influenced the U.S. Treasury bill spread during three debt ceiling crises. Hence, we used an auto-regressive distributed lag model, examining a novel set of economic, financial, and political data. Both policy uncertainty and net total group funding in opposition negatively impacted the U.S. Treasury yield spread. Interest groups in support had a positive effect. This is important, as the U.S. Treasury bill is normally not called into question for its risk. [ABSTRACT FROM AUTHOR]

This paper studies how a tick size change affects market quality, price discovery, and the competition for liquidity provision by dealers and high-frequency trading firms (HFTs) in the U.S. Treasury market. Using difference-in-differences regressions around the November 19, 2018, tick size reduction in the 2-year Treasury note and a similar change in the 2-year futures eight weeks later, we find significantly improved market quality. Moreover, dealers become more competitive in liquidity provision and price improvement, consistent with the hypothesis that HFTs find liquidity provision less profitable in the smaller tick size environment. Last, we find a significant shift in short-run price discovery toward the cash market, which then reverses when the futures market tick size is reduced, suggesting that the finer pricing grid in the cash market allows traders to act on small information signals that are not profitable to exploit in the larger-tick futures market. Our findings suggest that reducing the tick size in tick-constrained and highly liquid markets like the Treasury market is on balance beneficial. This paper was accepted by Bruno Biais, finance. Funding: F. Ruela acknowledges support from the National Science Foundation Graduate Research Fellowship Program [Grant DGE-1746045]. Any opinions, findings, and conclusions or recommendations expressed in this material are those of the author(s) and do not necessarily reflect the views of the National Science Foundation. Supplemental Material: The data files and online appendix are available at https://doi.org/10.1287/mnsc.2022.4663. [ABSTRACT FROM AUTHOR]

We use clickstream data to show that investors' demand for information about macroeconomic factors affecting the path of future interest rates is a measure of their uncertainty about this path. In particular, an increase in information demand ahead of influential economic announcements affecting investors' beliefs about future interest rates predicts a stronger reaction of U.S. Treasury note yields to these announcements, as it should if information demand positively covaries with uncertainty. This relationship does not vanish after using standard measures of uncertainty as predictors, suggesting that clickstream data contain unique information about investors' uncertainty. [ABSTRACT FROM AUTHOR]

At the macro-level, whether US dollar (USD) spillover could sustain the prosperity and stability of international economic and financial systems should become a key basis for judging the rationality of the current USD standard international monetary system. As the main contributor to USD liquidity externalities, US Treasury securities have long been favored by major economies worldwide due to their perceived safety and reliability, and their yield should be a key indicator for measuring the effect of USD liquidity spillover and the rationality of the international monetary system. However, the discussion in previous studies concerning the efficiency of holding US Treasury securities on the microeconomic level is insufficient. This study considers the negative externality of asset allocation behavior when analyzing its rationality at the macro-level. According to the empirical results, we find a clear negative relationship between the efficiency and the risk of USD assets and the holding scale of USD foreign exchange reserves. This finding indicates the dilemma faced by major economies in managing international liquidity without a sound replacement for USD assets. We argue that the current USD standard monetary system needs to be reformed and diversified to optimize the benefit of liquidity holdings globally. An internationalized RMB could play a more important role on the global and regional stages in strengthening and reforming the current monetary ecosystem. [ABSTRACT FROM AUTHOR]

Effect of money market instruments on economic growth of Nigeria from 1993 to 2022 was investigated in this study. Research design adopted for this study is ex-post-facto. Data were obtained from Central Bank of Nigeria (CBN) Statistical Bulletin to estimate the model. Multiple regression approach was employed to analyse impact of money market instruments on economic growth in Nigeria for the period of the study. From the empirical result obtained, the study conclude that money market enhanced development in Nigeria. It is recommended that CBN create appropriate monetary and fiscal measures which would develop money market for promotion of productive activities and investment thereby improve Nigeria development. [ABSTRACT FROM AUTHOR]

How effective and efficient are the instruments of the monetary policy in stimulating the work of small and medium-sized enterprises? What are the studies that examine the impact of monetary policy on the survival of small and medium-sized enterprises? These questions initiate that the focus of this research is precisely determining the impact of monetary policy on the operation of small and medium-sized enterprises, which impact will be evaluated by applying the regression model. Despite the extensive literature available to us, there is still a lack of specific literature based on the relationship between monetary policy and the performance of small and medium-sized enterprises. For this purpose, this study tries to evaluate the impact that loans given by banks, the money supply in circulation M2 and the mandatory reserve have on the operation of wholesale and retail trade in the Republic of North Macedonia. It also investigates the effect that interest rates on treasury bills and interest rates on loans to small and medium enterprises have on the performance of small and medium enterprises. The rest of the work paper refers to the literature review, research methodology, presentation of results and concluding observations. [ABSTRACT FROM AUTHOR]

Copyright of Revista de Derecho de la Seguridad Social, Laborum is the property of Ediciones Laborum S.L. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)

Copyright of Revista de Derecho de la Seguridad Social, Laborum is the property of Ediciones Laborum S.L. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)

This study examines the factors affecting the promotion of portfolio investment among individual investors in Zambia using the Lusaka Stock Exchange as a point of reference. The study derives its cause with the observational view that little investments are occurring in the stock market, which has eventually affected the promotion of portfolio investments in Zambia and, thereby, did a disservice to the main purpose for which Lusaka Securities Exchange was established. The study observed that individual investors have instead channeled their investments towards other portfolios such as Treasury Bills, Government Bonds, Real Estate, Agriculture and Village Banking, some of which are higher risk than the stock market. The study identified variables through the theoretical framework developed using investment theories to help establish what influences investment choices among individual investors. The variables used were individual characteristics, listed companies' characteristics and public awareness. The purpose is to assist policymakers in devising policies that directly target these variables, intending to encourage individual investors to invest in the stock market. The data collection was done through primary and secondary techniques from community households and the Lusaka Securities Exchange, Bank of Zambia (BOZ), the Ministry of Finance (MOF) and the Securities Exchange Commission (SEC). The study revealed that awareness related to the functioning of the Stock Market has a positive and significant influence on the investment decisions of individual investors. The results further suggest that households who are aware of the stock market are more likely to invest in stocks than those who are unaware of the stock market. An education programme for investors' particularly educational tours and short courses offered on a continual basis is very crucial in helping to educate the public about securities. Media can also be used to reach out to more people, particularly in explaining the significance of investing in the stock market. [ABSTRACT FROM AUTHOR]

the aim of this paper is to estimate using monthly data the influence of the Mexican Stock Market in the nominal Exchange Rate from 1993 to 2022. We conducted an Exploratory Data Analysis to identify the most important correlations of the following monetary variables: 28-day Mexican Debt bills/ (T-Bill), interest rates, inflation, and Stock Exchange Market both from Mexico and from the USA respectively. We then resorted to a VAR model to indentify which of these variables determined changes in Mexico´s nominal Exchange Rate more significantly. During the period in question the model showed, that Exchange Rate variations were driven by the Mexican Stock Exchange Market, the Dow Jones Industrial Average and the US Treasury Bills. The model also pointed out that variations in Mexican Stock Market were determined by the Mexican Stock Market itself, the Dow Jones Industrial Average and the US Treasury Bills (T-Bills). [ABSTRACT FROM AUTHOR]

Inflation-sensitive investors who have an explicit goal of hedging inflation in the short to medium term cannot rely on traditional portfolio optimization to achieve their desired inflation hedge because common frameworks focus on long-term wealth maximization and total return efficiency rather than an inflation-hedging objective. When it comes to measuring inflation, an investor's personalized consumption basket can also differ by archetype and result in anticipated spending needs that materially differ from broad measures of inflation such as the Consumer Price Index. In this article, the authors introduce a methodology to systematically construct portfolios through an expected utility of wealth maximization approach that is also tailored to an investor's personalized inflation rate (PIR) over the short to medium term. This framework can balance the likelihood that the portfolio will outperform an investor's PIR in the long run with the likelihood that it will achieve a specific beta to PIR in the near term. A novel framework is presented for how to calculate an investor's PIR and allocate to assets with greater inflation-hedging properties such as commodities and, to a lesser extent, Treasury Inflation-Protected Securities to hedge inflation volatility in the short to medium term or equities and other risky assets to grow the portfolio in excess of inflation over the long term. [ABSTRACT FROM AUTHOR]

Most of the literature exploring the relationship between inflation and asset prices focuses on inflation hedging from the perspective of a static, buy-and-hold investor. Few studies consider potential strategies for dynamically hedging inflation risk. In this article, the authors use high-frequency inflation indexes derived from the websites of multichannel retailers around the world. The authors first show that these series contain information about future official government inflation releases and find that online inflation predicts changes in the breakeven inflation spread between nominal and inflation-linked Treasury bond yields in the United States. The authors then test an investment strategy to allocate dynamically between Treasury Inflation-Protected Securities and nominal Treasury bonds with the goal of earning a higher yield during periods of low inflation and benefiting from inflation protection during periods of high inflation. [ABSTRACT FROM AUTHOR]

Copyright of Revista de Derecho de la Seguridad Social, Laborum is the property of Ediciones Laborum S.L. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)

Copyright of Revista de Derecho de la Seguridad Social, Laborum is the property of Ediciones Laborum S.L. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)

Treasury securities enjoy a "money premium" because they are ultra‐safe and liquid. However, during debt limit impasses, the safety and liquidity of Treasury securities temporarily deteriorate, eroding the money premium. Using past impasses, we find the money premium eroded by roughly six basis points across all Treasury securities and up to 50 basis points for the shortest maturities at the greatest risk of a delayed principal payment. Safety and liquidity each accounted for about half of the erosion. The deterioration of safety and liquidity also appears to interact, consistent with theories of default‐driven liquidity risk and the information sensitivity of debt. [ABSTRACT FROM AUTHOR]

GRAPH: Figure 4: Rate Elasticity of Share Versus Peak Rate Note: The "rate elasticity of share" is the ratioof the share increase to the rate increase. The interest rate elasticity of the share is defined as the ratio of the peak-to-trough change in the share to the peak-to-trough change in the T-bill rate. Those lags are also variable, and the lag from rate peak to share peak is typically as long as the lag from rate trough to share trough. [Extracted from the article]

The world has gone through various economic crises in the past century, and their effects have had varying implications on the economies of countries all over the world. In a bid to help stabilise economies all over the world, various measures have been put in place. Some of these measures include regulations and policies by the Bretton Woods institutions (World Bank and International Monetary Fund) and their agencies. The idea behind these measures is to ensure sustainable growth and development among member states and other countries of the world. Some of these policies include the privatization and liberalization policies of the Bretton Woods institutions as well as other policies bordering on such economic and social benefits for people all over the world. The Nigerian economy in our contemporary time can be described as passing through a rather 'volatile' phase with respect to interest rate, financial development and foreign capital inflow. Thus, this study investigated the impact of interest rate spread and financial development on foreign capital inflow in Nigeria. Several studies have been carried out using different methodologies, such as; co-integration equation, multivariate vector auto regressive (VAR) model and vector error correction technique. Each methodology used was in line with the objective of the research in question. However, to achieve its objective, this paper adopted the Classical Linear Regression Model. The results of the study showed that financial development has a positive impact on foreign capital inflow, while interest rate spread on the other hand, was also found to have a positive impact on foreign capital inflow. Other control variables such as market capitalization and treasury bills rate were also found to positively affect foreign capital inflow, while the all share index had a negative impact on foreign capital inflow. Some economists have opined that the Nigerian economy is currently going through a phase of recession. In order for large scale investments to be made within the country, there is a need for foreign participants to be attracted to the Nigerian economy and pull their resources, both financial and nonfinancial into the country (but, not without regulation). However, for these investors to have confidence to make investments in the Nigerian economy, there has to be a high degree of economic stability in the country. This can be supported by enacting and implementing policies that can enhance the quality of interest rates spread and financial development within the country. The policy implication here involves enhancing financial development through sound policies and adopting competitive interest rates, could increase the rate of foreign inflow into the economy. In view of this, it is also recommended that government policies should target interest rate competitiveness, financial and economic development as well as sustainability. [ABSTRACT FROM AUTHOR]

We explore the ability of market emotions (fear, gloom, joy, optimism) to predict S&P 500 Index and 10-year Treasury notes futures returns by utilizing VAR and TGARCH models. In our VAR models, we find that one of four emotions (fear) has predictive power for stock index futures returns. We also find Treasury futures market returns are influenced by joy and optimism measures of emotions. Further, we employ a TGARCH model with anemotional sentiment measure (fear) and find that fear has a major effect on the market returns and conditional volatility of futures markets. [ABSTRACT FROM AUTHOR]