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 …

research has found that auctions have an influence on the market yield days before they take place, and underpricing is usually … cycle and do not signal underpricing when a perfect matching between the auctioned bond and the market quote used is ensured. …

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

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

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 …

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 …

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 …, we find that the effects in yield and spread reduction were most pronounced for the initial announcement on the Public …

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 …