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 …

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 …

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 …

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 …

in price dispersion. TRACE-associated decreases in crossfund bond mark dispersion provide indirect support for …

This paper develops high-frequency econometric methods to test for jumps in the spread of bond yields. We derive a …