superior depth and liquidity of trading in FX and government bond markets contributes importantly to this difference. … contaminating volatility estimates; bond returns may be sampled as frequently as once every 2 to 3 minutes on days without U … 40 seconds for bond returns. These sampling frequencies, especially in the case of FX returns, are much higher than those …

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 analyze the development of, and foreign participation in, 49 local bond markets. Countries with stable inflation … rates and strong creditor rights have more developed local bond markets and rely less on foreign-currency-denominated bonds …. Less developed bond markets have returns characterized by high variance and negative skewness, factors eschewed by U …

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 …

reflected in the return) and the benefits that these bonds introduce. When the nonindexed bond market is shut down and only … deepens the impact of Sudden Stops for degrees of indexation higher than a certain threshold. When the nonindexed bond market …