foreign real bonds. Bonds matter: in equilibrium, investors structure their bond portfolio to hedge real exchange rate risk … since relative bond returns are strongly correlated with real exchange rate movements. Equity home bias does not arise from … against other sources of risk, conditionally on bond returns. We estimate the optimal equity and bond portfolios implied by …

This note considers a relatively new form of financing for social services, the "Social Impact Bond." Proponents of …

This paper develops an affine model of the term structure of interest rates in which bond yields are driven by …

We explore a variety of models and approaches to bond pricing, including those associated with Vasicek, Cox … calculus of high theory and the binomial models of classroom fame. In this setting, most of the models we examine are easily …

historical bond data …

Workhorse Gaussian affine term structure models (ATSMs) attribute time-varying bond risk premia entirely to changing … preferences. The new model has an ATSM representation with analytical bond prices making it empirically tractable. We find that … time variation in bond term premia is predominantly driven by the price of risk, especially, the price of expected …