This paper analyses persistence and non-linearities in quarterly and monthly US Treasury 10-year bond yields over the …

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 …

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

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

This paper investigates the informational efficiency of green bond markets using a recently introduced quantitative … inefficiency of the green bond market is generally found to be very similar to that of benchmark bond markets such as treasury bond … green bond markets are very similar to those in the benchmark bond markets. In other words, fundamental factors that drive …

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

default probability, showing that it decreases with central bank bond-holdings. Calibrating the model to Germany and Italy, we …

development of bond yields and spreads around these releases. More precisely, we try to estimate different asset price channels by … signalling channel, measured by the OIS rate, and the portfolio rebalancing channel, proxied by the conditional bond-OIS spread …