Jesus A. Sierra J. - Academia.edu (original) (raw)

Papers by Jesus A. Sierra J.

Advances in the Practice of Public Investment Management, 2018

We document the effects of investor preferences for bonds with particular characteristics on thei... more We document the effects of investor preferences for bonds with particular characteristics on their yields. Using a unique security-level dataset on institutional investors’ monthly holdings of Government of Canada bonds, we study the relationship between the net purchases of investors with different investment mandates and bond yield changes. We find considerable heterogeneity in the impact of net purchases and yield changes, depending both on the type of investor and on the duration of the bond. This provides support for the notion that different segments of the bond maturity spectrum are “inhabited” by particular types of investors and that their investment mandates partly determine the nature of the interaction between their purchases and yields.

This paper shows than when there are significant costs for private agents to change their positio... more This paper shows than when there are significant costs for private agents to change their positions in foreign bonds, an incomplete markets two-country general equilib- rium monetary model with sticky prices can reproduce a "forward premium anomaly", an upward sloping term structure of uncovered interest parity (UIP) regression slope coefficients, Sharpe ratios for carry-trade strategies close to the data, and predicts a 2.3 basis-point decrease in the short-term foreign interest rate after an unexpected one standard deviation central bank purchase of foreign bonds. A crucial element of the analysis is the interaction between the central bank balance sheet, the private agents budget constraints, and market clearing conditions in both bond markets.

SSRN Electronic Journal, 2012

and Bank of Canada Brown Bag seminar participants for helpful comments and suggestions; Profr. Cl... more and Bank of Canada Brown Bag seminar participants for helpful comments and suggestions; Profr. Claude Francoeur at HEC Montréal for making the data on factor returns publicly available; and Brooke Biscoe and Rico Leppard at FunData Inc. for help in obtaining the data on expense ratios. All errors are mine.

SSRN Electronic Journal, 2014

This paper investigates the effects of monetary policy on the risk-taking behavior of fixed-incom... more This paper investigates the effects of monetary policy on the risk-taking behavior of fixed-income mutual funds in Canada. We consider different measures of the stance of monetary policy and investigate active variation in mutual funds' risk exposure in response to monetary policy. We find evidence in support of a systematic link between monetary conditions and intertemporal variation in the risk-taking behavior of mutual funds. Specifically, following an expansionary monetary shift, funds actively increase default-risk exposure (i.e., search-for-yield). This is particularly evident in the post-crisis period where interest rates were kept low for a prolonged period of time.

Quarterly Journal of Finance, 2014

We investigate whether foreign purchases of long-term U.S. Treasury securities significantly affe... more We investigate whether foreign purchases of long-term U.S. Treasury securities significantly affect their expected excess-returns. We run predictive regressions of realized excess returns on measures of net purchases of treasuries by both foreign official and private agents. We find that official flows, with a negative effect, appear similar to relative supply shocks; private flows, with a positive impact, resemble flows that absorb excess-supply and are thus compensated for this service, similar to the role of arbitrageurs. The results are robust to out-of-sample tests and the use of benchmark survey-consistent adjusted flows data.

Advances in the Practice of Public Investment Management, 2018

We document the effects of investor preferences for bonds with particular characteristics on thei... more We document the effects of investor preferences for bonds with particular characteristics on their yields. Using a unique security-level dataset on institutional investors’ monthly holdings of Government of Canada bonds, we study the relationship between the net purchases of investors with different investment mandates and bond yield changes. We find considerable heterogeneity in the impact of net purchases and yield changes, depending both on the type of investor and on the duration of the bond. This provides support for the notion that different segments of the bond maturity spectrum are “inhabited” by particular types of investors and that their investment mandates partly determine the nature of the interaction between their purchases and yields.

This paper shows than when there are significant costs for private agents to change their positio... more This paper shows than when there are significant costs for private agents to change their positions in foreign bonds, an incomplete markets two-country general equilib- rium monetary model with sticky prices can reproduce a "forward premium anomaly", an upward sloping term structure of uncovered interest parity (UIP) regression slope coefficients, Sharpe ratios for carry-trade strategies close to the data, and predicts a 2.3 basis-point decrease in the short-term foreign interest rate after an unexpected one standard deviation central bank purchase of foreign bonds. A crucial element of the analysis is the interaction between the central bank balance sheet, the private agents budget constraints, and market clearing conditions in both bond markets.

SSRN Electronic Journal, 2012

and Bank of Canada Brown Bag seminar participants for helpful comments and suggestions; Profr. Cl... more and Bank of Canada Brown Bag seminar participants for helpful comments and suggestions; Profr. Claude Francoeur at HEC Montréal for making the data on factor returns publicly available; and Brooke Biscoe and Rico Leppard at FunData Inc. for help in obtaining the data on expense ratios. All errors are mine.

SSRN Electronic Journal, 2014

This paper investigates the effects of monetary policy on the risk-taking behavior of fixed-incom... more This paper investigates the effects of monetary policy on the risk-taking behavior of fixed-income mutual funds in Canada. We consider different measures of the stance of monetary policy and investigate active variation in mutual funds' risk exposure in response to monetary policy. We find evidence in support of a systematic link between monetary conditions and intertemporal variation in the risk-taking behavior of mutual funds. Specifically, following an expansionary monetary shift, funds actively increase default-risk exposure (i.e., search-for-yield). This is particularly evident in the post-crisis period where interest rates were kept low for a prolonged period of time.

Quarterly Journal of Finance, 2014

We investigate whether foreign purchases of long-term U.S. Treasury securities significantly affe... more We investigate whether foreign purchases of long-term U.S. Treasury securities significantly affect their expected excess-returns. We run predictive regressions of realized excess returns on measures of net purchases of treasuries by both foreign official and private agents. We find that official flows, with a negative effect, appear similar to relative supply shocks; private flows, with a positive impact, resemble flows that absorb excess-supply and are thus compensated for this service, similar to the role of arbitrageurs. The results are robust to out-of-sample tests and the use of benchmark survey-consistent adjusted flows data.