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

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 …

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

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 …

This paper empirically investigates the relationship between TV news coverage and the GIIPS countries' bond yield …

This note examines the stochastic behaviour of US monthly 10-year government bond yields. Specifically, it estimates a …

the highest 5% quantile of bond returns, providing insights into tail dependencies, crucial during market downturns and … volatility transmission. We find significant cross-market relationships between U.S. and German stock and bond markets …

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 …