abroad, including inflow of capital to local sovereign bond markets and an increase in international comovement of term …

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 explore the macroeconomic impact of a compression in the long-term bond yield spread within the context of the Great … programmes on long-term government bond yield spreads, our counterfactual simulations indicate that U.S. and U.K. unconventional …

across a large sample of major advanced economies. We find that the same tick-shaped linear combination of (relative) bond …

similar impact of foreign bond buying on US Treasury yields. These results are relevant both from a euro area and a global … perspective, as they show that the phenomenon of lower long-term interest rates due to foreign bond buying is not exclusive to the …