This analysis tests the price discovery relationship between sovereign CDS premia and bond yield spreads on the same … verified. Then, we examine whether the non-stationary CDS and bond spreads series are bound by a cointegration relationship … market moves ahead of the bond market in terms of price discovery. These findings are further supported by the Granger …

, and the Long-Term Refinancing Operations) on government bond yields. We use a novel Kalman-filter augmented event … rates to understand the channels through which policies reduced sovereign bond yields. On average across Italy, Spain and …

short-term effects of policy announcements on exchange rates and sovereign bond yields. We find that on average a central … bank's first whatever-it-takes announcement lowers 10-year bond yields by an additional 47 basis points relative to size …

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 …

stylized model to demonstrate that increased bond supply and tightening leverage constraints can explain this change in regime …