foot-print of sector rotation has predictive power for the evolution of the economy and future bond market returns, even …

This analysis tests the price discovery relationship between sovereign CDS premia and bond yield spreads on the same … verified. Then, we examine whether the non-stationary CDS and bond spreads series are bound by a cointegration relationship … market moves ahead of the bond market in terms of price discovery. These findings are further supported by the Granger …

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 …

important factor contributing to the credit cycle. This paper presents a detailed study of this phenomenon in the corporate bond … of bond and issuer controls, including bond liquidity and duration, and issuer fixed effects. This behavior is related to …

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

We study the economic sources of stock-bond return comovements and its time variation using a dynamic factor model. We … stock and bond return correlations, but that other factors, especially liquidity proxies, play a more important role. The … macro factors are still important in fitting bond return volatility; whereas the "variance premium" is critical in …