implications of this finding for asset prices. The uncovered dynamics of consumption implies modestly upward sloping real bond and …

We propose a novel measure of bond market liquidity that does not depend on transaction data: the strength of the cross …

This paper uses the factor augmented regression framework to analyze the relation between bond excess returns and the … statistically significant predictive power for excess bond returns. We show how a bias correction to the parameter estimates of … real activity for excess bond returns is robust even after accounting for finite sample inference problems. Forecasts of …

I propose an implementation of the q-theory of investment using bond prices instead of equity prices. Credit risk makes … corporate bond prices sensitive to future asset values, and q can be inferred from bond prices. The bond market's q performs …

We analyze the effect of the US Federal Reserve's monetary policy on EME sovereign and corporate bond markets by … focusing on two dimensions: the evolution of the structure (size and currency composition) of the bond markets and their … allocations within the bond portfolios of US investors. Global factors, particularly the level of long-term US Treasury yields …

Price-based liquidity metrics are better in 2013-2014 for small trades and large high-yield bond trades, but not for … large investment grade bond trades, relative to before the crisis, and are better for all bond types and trade sizes …-crisis liquidity could be low when markets are stressed. We consider three stress events: extreme VIX increases, extreme bond yield …

We analyze reallocations within the international bond portfolios of US investors. The most striking empirical … economic growth. We also provide a descriptive analysis of global bond markets' structure and returns …

We assess the development of local currency bond markets in emerging market economies (EMEs). Supported by policies and … laws that helped to improve macroeconomic stability and creditor rights, many local currency EME bond markets have grown …