used to decompose the municipal to treasuries bond spreads into liquidity, maturity, and default risk premiums. The first … breaks in bond distortions. This study finds that the currency price distortions of the Swiss franc in January 2015 made long …-run changes in the composition of the municipal bond spreads. This research contributes to the understanding of municipal bond …

Riksbank and the European Central Bank (ECB) on bond risk premia in the Swedish government bond market. Using a novel arbitrage …-free dynamic term structure model of nominal and real bond prices that accounts for bondspecific safety premia, we find that … Sveriges Riksbank's bond purchases raised inflation and short-rate expectations, lowered nominal and real term premia and …

To study inflation expectations and associated risk premia in emerging bond markets, this paper provides estimates for … Mexico based on an arbitrage-free dynamic term structure model of nominal and real bond prices that accounts for their … liquidity risk. In addition to documenting the existence of large and time-varying liquidity premia in nominal and real bond …