In this paper, we study the dynamics and drivers of sovereign bond yields in euro area countries using a factor model … mechanism of bond yields. Our key contribution is exploring both the global and the local dimensions of bond yield determinants … periphery euro area bond yields from the core countries yields following the financial crisis and the scope of their subsequent …

The purpose of this paper is to study the compensation for inflation risks priced in sovereign bond yields. And we do … for expected and unexpected inflation shocks embedded in sovereign bond yields; and provides estimates of the real risk …-free rate. We show that nominal sovereign bond yields for Germany, France, Japan and the United States, reflect, over the more …

subordinated bond yield spreads over senior unsecured bonds, and links the bond yields developments with the characteristics of the … play a key role in explaining bond spreads. Interestingly, after the introduction of the new bail-in framework, there is a … convergence between the bond yields of the GSIBs and the non-GSIBs, which could point out to a reduction in the market perception …

We study what makes government bonds a safe asset. Building on a sample of monthly changes in government bond yields in … changes in global risk (VIX). We find that inertia (whether the bond behaved as a safe asset in the past) and good …

Using large panel data of public and private firms, this paper dissects the growth of bond financing in the Euro Area … through the lens of the cross-section of issuers. In recent years, the composition of bond issuers has shifted, with the entry …, holdings of ‘buy-and-hold’ bond investors are large in aggregate but small for weaker issuers. Nevertheless, the bond investors …

otherwise standard New Keynesian model. The model can be estimated with standard Bayesian techniques and the bond pricing …-term bonds and the cyclicality of fiscal policy has an impact on the bond premium that is quantitatively important. Technology …, government spending, and mark-up shocks are the main drivers of the time-variation in bond premia …

This paper quantifies liquidity and credit premia in German and French government bond yields. For this purpose, we … markets. The results allow us to quantify the price impact of so-called “safe haven flows”, which strongly affected bond …

estimates determinants of G7 sovereign bond spreads, using high‐frequency proxies for market expectations about macroeconomic …