Recent findings on the term structure of equity and bond yields pose serious challenges to existing models of … dynamics of equity and bond yields (and their yield spreads). The movements of equity and bond yields are driven mainly by … returns/yields and nominal bond returns/yields switched from positive to negative after the late 1990s, owing mainly to a …

Equilibrium bond-pricing models rely on inflation being bad news for future growth to generate upward-sloping nominal …

Some key features in the historical dynamics of U.S. Treasury bond yields-a trend in long-term yields, business cycle …

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 …

different borrowers that is distinct from the standard metrics gleaned from bond yields or credit-default swaps. As such, while …

. This research assess if it is possible successfully use interest rates sensitivity arbitrage in bond portfolio (also known …, being long the first bond while shorting the second (of higher convexity) would result in a market-directional bet for …

deviations from no-arbitrage relationships. It is simple, intuitive and can be computed model-free for any bond. A pseudo …

In this paper I study the relationship between rationality and asset prices when agents have heterogeneous and …