In this paper we estimate and interpret the factors that jointly determine bond returns of different maturities in the … US, Germany and Japan. We analyze both currency-hedged as well as unhedged bond returns. For currency-hedged bond returns …, we find that five factors explain 96.5% of the variation of bond returns. These factors can be associated with changes in …

, which is more pronounced for higher maturities and when risk aversion proxied by bond market volatility is high. Going …

what extent and why political communication has had an impact on the sovereign bond spreads of selected euro area countries … bond spreads. This effect can be positive or negative depending on the type of communication, possibly fueling self …

Affine term structure models of bond yields are important tools for analyzing fixed income markets and monetary policy …

, cumulatively, due to low bond yields since the onset of the Euro crisis. In order to determine the contribution of the "flight to … quality" to this sum, we define the flight to quality as a factor which has caused German bond yields and crisis country bond …

States. A structural VAR is used to identify aggregate supply, aggregate demand, monetary policy and inflation scare shocks … inflation scares do not. As the latter are more important in the United States, they reduce the predictive content of the term …