selective default probability can be priced in bond yield spreads. Selective default risk accounted for one third of the yield …This paper explores how selective default expectations affect the pricing of sovereign bonds in a historical laboratory …: the German default of the 1930s. We analyze yield differentials between identical government bonds traded across various …

This paper studies the bank-sovereign link in a dynamic stochastic general equilibrium set-up with strategic default on … public debt. Heterogeneous banks give rise to an interbank market where government bonds are used as collateral. A default … from an interbank freeze and feeds back into default risk. The arising amplification mechanism propagates aggregate shocks …

in bond markets. Asset purchase policies are not without side effects, though, as the induced scarcity has an adverse …

sovereign debt and default in which convenience yield arises because investors are able to pledge government bonds as collateral …How does convenience yield interact with sovereign risk and the supply of government bonds? We propose a model of … supply of government bonds, and haircuts that increase with sovereign risk. Calibrated to Italian data, convenience yield …

results of an analysis of the relationships between my main survey measure of expected returns and measures of economic … conditions are largely consistent with the view that expected returns are counter-cyclical. In particular, I find a positive … relationship between expected returns and the dividend–price ratio, which is at odds with the findings of previous papers studying …

returns. The results of an analysis of the relationships between his main survey measure of expected returns and measures of … economic conditions are largely consistent with theview that expected returns are counter-cyclical. In particular, the author … finds a positive relationship between expected returns and the dividend-price ratio, which is at odds with the findings of …

Commercial banks in some euro area member states hold large amounts of sovereign debt that offer a risk premium and … match the return on their euro government bond portfolio with their own funding costs. In addition, prospects for a … preferential treatment of domestic creditors in case of a public default and government pressure on banks to increase their …

We use no arbitrage models with macro variables to study the interaction between the macroeconomy and the yield curve …

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