We analyze the long-run impact of emerging-market sovereign bond yields on corporate bond yields, finding that the …

country-specific factors have started playing a more important role. The perceived source of contagion itself has changed …

Models of “contagion” rely on market imperfections to explain why adverse shocks in one asset market might be … associated with asset sales in many unrelated markets. This paper demonstrates that contagion can be explained with basic … portfolio theory without recourse to market imperfections. It also demonstrates that “Value-at-Risk” portfolio management rules …

, Japanese, and UK government bond and equity markets in a vector autoregression. The results suggest that U.S. financial shocks … reverberate around the world much more strongly than shocks from other regions, including the Euro area, while inward spillovers … financial markets and spillovers from Europe to Japan. The results also suggest that the uncertainty about the direction of …

interest rates. While bond yields are not fully efficient?reflecting regulation, liquidity, and segmentation?we find they …: changes in PBC rates influence the structure of Treasury, financial, and corporate bond yield curves, which are then …

, which is more pronounced for higher maturities and when risk aversion proxied by bond market volatility is high. Going …

sovereign bonds during 32 crises since 1998, taking into account losses from bond exchanges as well as profits before and after …

interest-rate derivative markets, and their use by governments. Their stabilizing properties imply that, when bond prices fall …

therefore investigates the impact of climate change vulnerability and resilience on sovereign bond yields and spreads in 98 … risk. That is, countries that are more resilient to climate change have lower bond yields and spreads relative to countries …