This paper develops measures of emerging market credit spreads for the 1990s, based on data on new bond issues and bank … loans, that cover a broader range of borrowers than the Brady bond spreads most commonly used to date. These measures are … by Brady bonds. Finally, and in contrast to much market commentary, we find that variations in industrial country short …

This paper has two main goals: to analyze country allocations in international bond portfolios and to describe the … development of bond markets around the world. In the primary analysis, we find that country weights in U.S. investors' foreign … bond portfolios are determined by the openness of capital accounts and potential diversification benefits. Positions in …

We study the role played by private and public information in the process of price formation in the U.S. Treasury bond … equilibrium implications by analyzing the response of two-year, five-year, and ten-year U.S. bond yields to order flow and real …-time U.S. macroeconomic news. We find strong evidence of informational effects in the U.S. Treasury bond market …

, we study the relationship between the secondary market spreads (over hard-currency government bond yields) of bonds … issued by emerging market firms and bonds issued by their home governments over the past 3 1/2 years. Our results indicate … government. We do find that the spreads of emerging market corporate and government bonds over hard-currency government bonds are …

We find that adding a measure of market jump volatility risk to a regression of excess bond returns on the term … enhancement of bond return predictability is robust to different forecasting horizons, to using non-overlapping returns and to the … price-dividend ratio in explaining much of the countercyclical movement in bond risk premia. We argue that this finding …

We estimate the nondefault component of corporate bond yield spreads and examine its relationship with bond liquidity … yield spreads, it is the largest for AAA-rated bonds. We find a positive and significant relationship between the nondefault … component and illiquidity for investment-grade bonds but no significant relationship for speculative-grade bonds. In addition …

Because illiquid bonds may be relatively poorly priced, the ability to infer investor perceptions of changes in a … banking organization's financial health from such bonds may be obscured. To examine the time-series effect of trading … trading frequency from observed bond prices. Using these indirect liquidity measures, we find evidence that trading frequency …

-volatility relationship in the muni market. We find a positive relationship between the number of transactions and a bond's price volatility …Utilizing a comprehensive database of transactions in municipal bonds, we investigate the volume …. In contrast to previous studies, we find a negative relationship between average deal size and price volatility. These …

This paper tests a new hypothesis that bank managers issue bonds, at least in part, to convey positive, private … migrations, equity returns, bond issuance, and balance sheet data for US bank holding companies. The results add to our … requirements that banking organizations frequently issue public bonds might augment "market discipline." …