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Risk and Return in International Corporate Bond Markets (ECB, 55 page read) Average corporate bond returns increase with risk, something the world CAPM can confirm in developed countries. The model does not, however, explain return variations and co-movements very well. A factor model does, and suggests local factors explain variations in returns.
Keeping Track of Global Trade in Real Time (Bank of Spain, 19 page read) Introduces an innovative composite world trade cycle index that can be used to perform short-term forecasts of world trade growth.
Patterns in Invoicing Currency in Global Trade (ECB, 28 page read) The European Central Bank provides the most comprehensive and up-to-date panel data set of invoicing currencies in global trade. Interestingly, the data shows that the euro is used as a vehicle currency in parts of Africa.
Does FinTech Substitute for Banks? (NBER, 25 page read) Following on from our Deep Dive discussion last week, there is yet more evidence that traditional banks are playing a less prominent role in the supply of financial services. In this case, PPP loans seems to be disproportionately provided by FinTech firms.
Book-to-Market, Mispricing, and the Cross-Section of Corporate Bond Returns (NBER, 58 page read) Paper finds that calculating the corporate bonds “book-to-market” ratio can prediction future returns.