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 …

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

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 …

portfolio rebalancing during the European Central Bank's (ECB) purchase programme that started in March 2015. To quantify …% of ECB purchases are sold by non-euro area investors, and we do not find evidence that risks get concentrated in certain …

We evaluate the effects of three ECB policies (the Securities Markets Programme, the Outright Monetary Transactions …, 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 …

We document capital misallocation in the U.S. investment-grade (IG) corporate bond market, driven by quantitative … easing (QE). Prospective fallen angels -- risky firms just above the IG rating cutoff -- enjoyed subsidized bond financing …

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 …

affects prices of both government and other bonds via "broad" transmission channels, but only government bond prices through … Australia purchased most of the outstanding amount of the targeted government bond, and its yield dislocated from other …

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 …