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 …

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 … 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 …

Using a novel data of institutional investors' bond holdings, we examine a transmission of the crisis of 2007-2008 from … the securitized bond market to the corporate bond market via joint ownership of these bonds by investors. We posit that … greater portions of their corporate bond holdings and in particular lower-rated bonds. In contrast, insurance companies sold …

We identify flight-to-safety (FTS) days for 23 countries using only stock and bond returns and a model averaging … approach. FTS days comprise less than 2% of the sample, and are associated with a 2.7% average bond-equity return differential … and significant flows out of equity funds and into government bond and money market funds. FTS represents flights to both …

bonds declined, and secondary credit markets became highly illiquid. In this paper we analyze liquidity in bond markets … bond value deteriorates, bond illiquidity increases, consistent with an adverse selection model of the information …