We test the hypothesis that the government bond markets in the Eurozone are more fragile and more susceptible to self …

Theory predicts that the equilibrium real interest rate, r*t, and the perceived trend in inflation, ð*t, are key …*t substantially increases the accuracy of long-range interest rate forecasts, helps predict excess bond returns, improves estimates of …

In this paper, we revisit the fiscal theory of the price level (FTPL) within the New Keynesian (NK) model. We show in …

curve. Most importantly, variation in yield skewness has substantial forecasting power for future bond excess returns, high …

green bond returns and volatilities. On the whole, the evidence suggests weaker linkages, and thus a lower degree of …

Were government bond risk premia affected by the media in addition to the effects of major events? Revisiting the … European debt crisis, we analyze the role of television news in the rise and re-convergence of GIIPS bond spreads vis … stability and “international financial support” to distressed countries in reducing bond spreads. Moreover, weekend news enables …