This paper uses the factor augmented regression framework to analyze the relation between bond excess returns and the … statistically significant predictive power for excess bond returns. We show how a bias correction to the parameter estimates of … real activity for excess bond returns is robust even after accounting for finite sample inference problems. Forecasts of …

Price-based liquidity metrics are better in 2013-2014 for small trades and large high-yield bond trades, but not for … large investment grade bond trades, relative to before the crisis, and are better for all bond types and trade sizes …-crisis liquidity could be low when markets are stressed. We consider three stress events: extreme VIX increases, extreme bond yield …

dynamics and time-varying risk premia on bonds and stocks. Consumers' first-order condition for the real risk-free interest …. Estimating the model separately for 1979-2001 and 2001-2011 explains why the exposure of US Treasury bonds to the stock market … changed from positive to negative. A change in the comovement between inflation and the output gap explains changing bond …

We analyze reallocations within the international bond portfolios of US investors. The most striking empirical … observation is a steady increase in US investors' allocations toward emerging market local currency bonds, unabated by the global … economic growth. We also provide a descriptive analysis of global bond markets' structure and returns …

We analyze the effect of the US Federal Reserve's monetary policy on EME sovereign and corporate bond markets by … focusing on two dimensions: the evolution of the structure (size and currency composition) of the bond markets and their … allocations within the bond portfolios of US investors. Global factors, particularly the level of long-term US Treasury yields …

We propose a novel measure of bond market liquidity that does not depend on transaction data: the strength of the cross … portfolio holdings to be at a given point in time. The perceived liquidity of speculative grade and Rule 144A bonds is … significantly lower than investment grade bonds in the cross section and deteriorated significantly following the 2008-9 financial …

important factor contributing to the credit cycle. This paper presents a detailed study of this phenomenon in the corporate bond … market. We show that insurance companies, the largest institutional holders of corporate bonds, reach for yield in choosing … their investments. Consistent with lower rated bonds bearing higher capital requirement, insurance firms' prefer to hold …

I believe that every tax-paying firm's defined benefit pension fund portfolio should be invested entirely in bonds (or … will mean changes in the firm's pension contributions. Shifting from stocks to bonds in the pension funds will increase the … bonds. There is no indirect tax benefit if the pension funds are invested in stocks. Fully implementing the plan will mean …

It is well known that the funding status of state and local government defined benefit pension plans, as measured by …