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 …

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

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 …

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 …