stabilization of the homeowner’s net wealth, price the instruments, and quantify the expected decrease in the mortgage default risk …

We examine empirically the response of bond returns and their volatility to good and bad macroeconomic news in economic … bad news for bond returns in expansions and, to a lesser extent, when it contains good news for bond returns in … contractions. In particular, we observe the strongest bond market response to bad news in the release of non-farm payrolls in …

correlations and to explain how economic fundamentals influence the correlation between stock and bond returns. The presented model … to generate stock-bond correlations that are in line with empirically observed figures. …

Do bond investors demand credit quality or liquidity? The answer is both, but at different times and for different … reasons. Using data on the Euro-area government bond market, which features a unique negative correlation between credit … market uncertainty. In contrast, the destination of large flows into the bond market is determined almost exclusively by …

is essential in pricing mortgage contracts since prepayment truncates the timing and amount of expected cash flows …

We identify local and global factors across international bond markets that arepoorly spanned by the traditional level …, slope and curvature factors but havestrong forecasting power for future bond excess returns. Local and global fac-tors are … jointly signicant predictors of bond returns, where the global factor isclosely linked to US bond risk premia and …