{"id":2972,"date":"2025-01-23T16:05:07","date_gmt":"2025-01-23T16:05:07","guid":{"rendered":"https:\/\/pension-research.is\/?p=2972"},"modified":"2025-06-03T09:31:50","modified_gmt":"2025-06-03T09:31:50","slug":"price-fyrirlestur-i-mai-um-tengsl-a-eignamorkudum","status":"publish","type":"post","link":"https:\/\/pension-research.is\/en\/price-fyrirlestur-i-mai-um-tengsl-a-eignamorkudum\/","title":{"rendered":"PRICE fyrirlestur um tengsl \u00e1 eignam\u00f6rku\u00f0um (uppf\u00e6rt me\u00f0 helstu ni\u00f0urst\u00f6\u00f0um)"},"content":{"rendered":"<p>\u00deann 7. ma\u00ed 2025 var m\u00e1lstofa \u00e1 vegum Ranns\u00f3knarstofnunar l\u00edfeyrism\u00e1la \u00fear sem <strong>Celso Brunetti<\/strong>, hagfr\u00e6\u00f0ingur vi\u00f0 Se\u00f0labanka Bandar\u00edkjanna, h\u00e9lt fyrirlestur um \u00e1hrif tengslaneta \u00e1 fyrirt\u00e6kjaskuldabr\u00e9f. \u00cd sta\u00f0 \u00feess a\u00f0 feta \u00ed f\u00f3tspor fyrri ranns\u00f3kna og sko\u00f0a hvernig fj\u00e1rfestar eru tengdir, beinir Brunetti sj\u00f3num a\u00f0 \u00fev\u00ed hvernig skuldabr\u00e9f eru tengd. \u00deau teljast<em> tengd<\/em> ef \u00feau eru \u00ed sama eignasafninu og \u00feannig getur hvert skuldabr\u00e9f veri\u00f0 tengt m\u00f6rgum \u00f6\u00f0rum br\u00e9fum og a\u00f0 mismiklu leyti.<\/p>\n<p><img fetchpriority=\"high\" decoding=\"async\" class=\"wp-image-3361 aligncenter\" src=\"https:\/\/pension-research.is\/wp-content\/uploads\/2025\/01\/Celso-Picture-1-300x280.png\" alt=\"\" width=\"436\" height=\"407\" srcset=\"https:\/\/pension-research.is\/wp-content\/uploads\/2025\/01\/Celso-Picture-1-300x280.png 300w, https:\/\/pension-research.is\/wp-content\/uploads\/2025\/01\/Celso-Picture-1-768x717.png 768w, https:\/\/pension-research.is\/wp-content\/uploads\/2025\/01\/Celso-Picture-1-13x12.png 13w, https:\/\/pension-research.is\/wp-content\/uploads\/2025\/01\/Celso-Picture-1.png 916w\" sizes=\"(max-width: 436px) 100vw, 436px\" \/><\/p>\n<p>Ranns\u00f3knin byggir \u00e1 st\u00f3ru gagnasafni sem n\u00e6r utan um alla skuldabr\u00e9faeign bandar\u00edskra fagfj\u00e1rfesta fr\u00e1 1998 til 2021, broti\u00f0 ni\u00f0ur \u00e1 einstaka br\u00e9f. <strong>Helstu ni\u00f0urst\u00f6\u00f0ur eru<\/strong>:<\/p>\n<ul>\n<li>\u00dev\u00ed sterkari sem tenging br\u00e9fs er vi\u00f0 \u00f6nnur br\u00e9f \u00e1 marka\u00f0num \u00fev\u00ed minna \u00e1lag (e. spread) fylgir br\u00e9finu og \u00fev\u00ed minna fl\u00f6kt (e. volatility) er \u00e1 ver\u00f0i \u00feess.<\/li>\n<li>Tengdari br\u00e9f fyrirt\u00e6kja \u00ed vi\u00f0kv\u00e6mum geirum ur\u00f0u fyrir minni \u00e1hrifum af COVID skellinum \u00ed samanbur\u00f0i vi\u00f0 minna tengd br\u00e9f.<\/li>\n<li>Fyrir marka\u00f0inn \u00ed heild auka tengslin st\u00f6\u00f0ugleika, \u00e1h\u00e6tta dreifist og \u00e1hrif \u00e1falla ver\u00f0a minni.<\/li>\n<\/ul>\n<p>Ni\u00f0urst\u00f6\u00f0urnar eru \u00e1hugaver\u00f0ar \u00ed \u00edslensku samhengi \u00fear sem l\u00edfeyrissj\u00f3\u00f0ir eru fyrirfer\u00f0amiklir \u00e1 marka\u00f0inum og fj\u00f6ldi br\u00e9fa takmarka\u00f0ur og \u00fev\u00ed sennilegt a\u00f0 eignasafn \u00feeirra innihaldi s\u00f6mu br\u00e9fin.<\/p>\n<p>Eftir fyrirlesturinn spunnust umr\u00e6\u00f0ur \u00ed sal um \u00e1hrif v\u00edsitalna og sj\u00f3\u00f0a (og sj\u00f3\u00f0asj\u00f3\u00f0a) \u00e1 ni\u00f0urst\u00f6\u00f0urnar, en br\u00e9f sem eru \u00ed einum sj\u00f3\u00f0i, sem t.d. fj\u00e1rfestir \u00ed br\u00e9fum fyrirt\u00e6kja \u00ed S&amp;P500 v\u00edsit\u00f6lunni, er l\u00edklegra til a\u00f0 vera einnig \u00ed \u00f6\u00f0rum sj\u00f3\u00f0um. \u00deetta g\u00e6ti svo haft \u00e1hrif \u00e1 \u00e1h\u00e6ttu\u00e1lag og fl\u00f6kt br\u00e9fsins. Celso og me\u00f0h\u00f6fundar eru me\u00f0vita\u00f0ur um \u00feetta og eru a\u00f0 vinna \u00ed umb\u00f3tum.<\/p>\n<p>&nbsp;<\/p>\n<p>\u00fatdr\u00e1ttur:<\/p>\n<p><strong>Does interconnectedness improve market quality? Yes.<\/strong><\/p>\n<p>We develop an alternative network structure, the assets network: assets are connected<br \/>\nif they are held by the same investors. We use several large datasets to build the assets<br \/>\nnetwork for the corporate bond market. Through careful identification strategies based<br \/>\non the COVID-19 shock and \u201cfallen angels,\u201d we find that interconnectedness improves<br \/>\nmarket quality especially during stress periods. Our findings contribute to the debate<br \/>\non the role of interconnectedness in financial markets and show that highly interconnected<br \/>\ncorporate bonds allow for risk sharing and require a lower compensation for risk.<\/p>\n<p>Celso Brunetti er hagfr\u00e6\u00f0ingur vi\u00f0 Se\u00f0labanka Bandar\u00edkjanna (Board of Governors of the Federal Board System)<\/p>\n<p>Gl\u00e6rur er a\u00f0 finna h\u00e9r: <a href=\"https:\/\/pension-research.is\/wp-content\/uploads\/2025\/01\/Interconnectedness_in_the_Corporate_Bond_Market_slides.pdf\">Interconnectedness_in_the_Corporate_Bond_Market_slides<\/a><\/p>","protected":false},"excerpt":{"rendered":"<p>\u00deann 7. ma\u00ed 2025 var m\u00e1lstofa \u00e1 vegum Ranns\u00f3knarstofnunar l\u00edfeyrism\u00e1la \u00fear sem Celso Brunetti, hagfr\u00e6\u00f0ingur vi\u00f0 Se\u00f0labanka Bandar\u00edkjanna, h\u00e9lt fyrirlestur um \u00e1hrif tengslaneta \u00e1 fyrirt\u00e6kjaskuldabr\u00e9f. \u00cd sta\u00f0 \u00feess a\u00f0 feta \u00ed f\u00f3tspor fyrri ranns\u00f3kna og sko\u00f0a hvernig fj\u00e1rfestar eru tengdir, beinir Brunetti sj\u00f3num a\u00f0 \u00fev\u00ed hvernig skuldabr\u00e9f eru tengd. \u00deau teljast tengd ef \u00feau eru [&hellip;]<\/p>","protected":false},"author":3,"featured_media":2970,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"_acf_changed":false,"footnotes":""},"categories":[11],"tags":[],"class_list":["post-2972","post","type-post","status-publish","format-standard","has-post-thumbnail","hentry","category-vidburdir","wpbf-post"],"acf":[],"_links":{"self":[{"href":"https:\/\/pension-research.is\/en\/wp-json\/wp\/v2\/posts\/2972","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/pension-research.is\/en\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/pension-research.is\/en\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/pension-research.is\/en\/wp-json\/wp\/v2\/users\/3"}],"replies":[{"embeddable":true,"href":"https:\/\/pension-research.is\/en\/wp-json\/wp\/v2\/comments?post=2972"}],"version-history":[{"count":7,"href":"https:\/\/pension-research.is\/en\/wp-json\/wp\/v2\/posts\/2972\/revisions"}],"predecessor-version":[{"id":3363,"href":"https:\/\/pension-research.is\/en\/wp-json\/wp\/v2\/posts\/2972\/revisions\/3363"}],"wp:featuredmedia":[{"embeddable":true,"href":"https:\/\/pension-research.is\/en\/wp-json\/wp\/v2\/media\/2970"}],"wp:attachment":[{"href":"https:\/\/pension-research.is\/en\/wp-json\/wp\/v2\/media?parent=2972"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/pension-research.is\/en\/wp-json\/wp\/v2\/categories?post=2972"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/pension-research.is\/en\/wp-json\/wp\/v2\/tags?post=2972"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}