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 … a mechanism: as CDS insurance on their bond holdings becomes costlier, investors offload the bonds. Our results …

creditor countries before and after bond market segmentation. We show that, when secondary debt markets are segmented, a large … selective default probability can be priced in bond yield spreads. Selective default risk accounted for one third of the yield …

During the global financial crisis, stressed market conditions led to skyrocketing corporate bond spreads that could …-variations in the relationship between systematic risk factors and corporate bond spreads. First, we apply Bayesian model averaging …

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 …

bond spreads of ten euro member countries. Our motivation is to evaluate which of the two players - the ECB or the EU … fiscal level - has been more crucial for the stabilization of euro sovereign bond markets in the crisis environment of the … rising public debt levels as so far, the stabilization of sovereign bond markets appears to hinge largely on the Eurosystem …

This paper investigates the dynamic linkages in terms of the first and second moments between stock and bond returns … countries. Regarding the volatility spillovers, such spillovers from bond returns to those of stocks are stronger than the other …

This paper presents a new approach, based on the Merton model, to decomposing corporate bond spreads into the expected … loss, bond risk premium and liquidity premium components. The approach focuses on establishing the bond risk premium using …, French, Spanish and Italian firms. The results show that the bond risk premium is the largest component. While the expected …