easing, over its first year of activity (June 2016 - June 2017). Focusing on the primary bond market, we find evidence of a ….The magnitude and the timing of the changes in yield spreads, coupled with the evolution of bond placements, are fully consistent …

In this paper, we study the dynamics and drivers of sovereign bond yields in euro area countries using a factor model … mechanism of bond yields. Our key contribution is exploring both the global and the local dimensions of bond yield determinants … periphery euro area bond yields from the core countries yields following the financial crisis and the scope of their subsequent …

The purpose of this paper is to study the compensation for in ation risks priced in sovereign bond yields. And we do so … expected and unexpected in ation shocks embedded in sovereign bond yields; and provides estimates of the real risk-free rate …. We show that nominal sovereign bond yields for Germany, France, Japan and the United States, reflect, over the more …

subordinated bond yield spreads over senior unsecured bonds, and links the bond yields developments with the characteristics of the … play a key role in explaining bond spreads. Interestingly, after the introduction of the new bail-in framework, there is a … convergence between the bond yields of the GSIBs and the non-GSIBs, which could point out to a reduction in the market perception …

We decompose euro area sovereign bond yields into five distinct components: i) expected future short-term risk …) segmentation (convenience) premium. Iden- tification is achieved by considering sovereign bond yields jointly with other rates … bond purchases, the E.U.'s fiscal policy announcements lowered yields more uniformly. …

captures the arbitrage-free dynamics of stock returns and nominal bond yields. The model nests the class of affine term … structure (of interest rates) models. Stock returns and bond yields as well as risk premia are affine functions of the state …