*t substantially increases the accuracy of long-range interest rate forecasts, helps predict excess bond returns, improves estimates of …

Conditional yield skewness is an important summary statistic of the state of the economy. It exhibits pronounced … curve. Most importantly, variation in yield skewness has substantial forecasting power for future bond excess returns, high …-frequency interest rate changes around FOMC announcements, and consensus survey forecast errors for the ten-year Treasury yield. The …

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

-depletion risk being their main concern, tend to quote wider (narrower) spreads when they think bond appreciation is more (less …) likely to occur. It is also found that the probability of being in a specific regime is related to observable bond market …. -- liquidity ; trading activity ; treasury bond market ; Europe ; commonality …

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

structure can help predict interest rates and excess bond returns. We demonstrate that the statistical tests that have been used … slope of the yield curve are robust predictors of excess bond returns, and there is no robust and convincing evidence for …

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 …