to overestimate the number of jumps in yield spreads and puts the coherence of test results at risk. We formalize the …

varies substantially with market conditions. In periods of high volatility, systematic credit risk - rather than interest … rate movements - contributes to driving up spreads. Moreover, while market-wide liquidity risk is not priced when … capture credit risk and suggest it must be reassessed during periods of financial distress. …

term structure model to decompose bond excess returns into expected excess returns (risk premia) and the unexpected part …. In order to explore these risk premia and innovations, we complement macro variables by financial condition variables as …

loss, bond risk premium and liquidity premium components. The approach focuses on establishing the bond risk premium using … the equity risk premium and the hedge ratio, which are estimated using a dividend discount model and a BEKK-GARCH model …, French, Spanish and Italian firms. The results show that the bond risk premium is the largest component. While the expected …

Using arbitrage-free affine models, we analyze the dynamics of German bond yields and risk premia for the period 1999 … macroeconomic factors allows us to analyze their effect on the risk aversion of market participants. Looking at the impact of the … recent crises, we see that particularly the market prices of risk for the real activity and the price factor changed most …

-variations in the relationship between systematic risk factors and corporate bond spreads. First, we apply Bayesian model averaging … to a battery of candidate variables for determining meaningful systematic risk factors. Second, Markov switching … market conditions, on the other. Our evidence for market indices of euro-denominated bonds suggests that systematic risk …

way to come up with a measure of time-varying disaster risk in the spirit of Wachter (2013). Our findings imply that both … the disaster and the long-run risk paradigm can be extended towards explaining movements in the stock-bond return …