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 …

match the return on their euro government bond portfolio with their own funding costs. In addition, prospects for a …

Affine term structure models of bond yields are important tools for analyzing fixed income markets and monetary policy …

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 …

Can a negative shock to sovereign ratings invoke a vicious cycle of increasing government bond yields and further … reproduce the joint dynamics of sovereign ratings and government bond yields. The individual equations resemble Pesaran …