, in the U.S. and Germany, in the period 1990-2024. Specifically, we focus on the lowest 5% quantile of stock returns and …

counterfactual stock market index price change that results purely from the change in the default-free yield curve induced by the … monetary policy surprise. The yield curve change in turn partly reflects a change in expected future short-term interest rates …/odd week FOMC cycle in stock index returns is also largely due to an FOMC cycle in the yield curve rather than the equity …

This paper analyses the effects of newspaper coverage of macro news on the spread between the yield on the 10-year … yield spreads in all PIIGS countries but Italy before September 2008; markets respond more to negative news, and their … reaction has increased during the recent financial crisis. News volatility has a significant impact on yield spread volatility …

, we find that the effects in yield and spread reduction were most pronounced for the initial announcement on the Public … declining degree to which the ECB surprised markets and the increasingly burdensome institutional set-up of the APP. While yield …

with a decrease/increase of the GIIPS yield spreads vis-à-vis Germany. Moreover, some news is not immediately and …This paper empirically investigates the relationship between TV news coverage and the GIIPS countries' bond yield …-specific economic issues. We find that an increasing share of news about the Eurozone reduces yield spreads, especially when the news …

-à-vis Germany from 2007 to 2016. We use a dataset of more than one million human-coded news items from leading newscasts worldwide …

model outperforms significantly most structural and non-structural Macro-Finance yield curve models in terms of cross …-sectional fit of the yield curve. Second, we find that financial shocks, either in the form of liquidity or risk premium shocks …, have a statistically and economically significant impact on the yield curve. The impact of financial shocks extends …