This paper investigates the dynamic linkages in terms of the first and second moments between stock and bond returns … spillovers mostly run from stocks to bonds and exhibit a time-varying pattern over all three stages of the crisis in most … countries. Regarding the volatility spillovers, such spillovers from bond returns to those of stocks are stronger than the other …

a mechanism: as CDS insurance on their bond holdings becomes costlier, investors offload the bonds. Our results …We study the response of bond spreads to a liquidity supply shock in the credit default swap (CDS) market. Our … transactions and bond portfolio holdings of German investors. Following the shock, CDS market liquidity declines and bond spreads …

find that, in the first year, the impairments of banks' bond portfolios are much larger than the reductions in their net … interest derivatives have lower impairments in their bond portfolios. In addition, we find that banks' exposures to interest …

. Based on German government bond yieldsfrom September 1972 to May 2019,we construct a rolling window of bond ladders where …

Bond excess returns can be predicted by macro factors, however, large parts remain still unexplained. We apply a novel … term structure model to decompose bond excess returns into expected excess returns (risk premia) and the unexpected part … possible determinants of bond excess returns. We find that the expected part of bond excess returns is driven by macro factors …

hence higher yields than AAA-rated bonds issued by the most creditworthy countries. In particular, banks in vulnerable … countries exhibit a bias towards domestically issued government bonds as de jure safe assets. We show that scarcity of the … riskier) government bonds at the expense of bonds issued by core countries governments or EU supranational entities, as banks …