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 …

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 …

We examine whether there is a flight-to-liquidity premium in Treasury bond prices by comparing them with prices of … bonds issued by Refcorp, a U.S. Government agency, which are guaranteed by the Treasury. We find a large liquidity premium … in Treasury bonds, which can be more than fifteen percent of the value of some Treasury bonds. This liquidity premium is …

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 …

Despite common wisdom that equities and bonds are segmented, the organization structure of fund families can offset … frictions regarding cross-asset segmentation. We find that actively-managed equity funds and corporate bond funds linked within … a mutual fund family exhibit a significant co-movement in holdings of commonly-held firms' equities and bonds. Such …

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 …

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 …