We use spatial panel data model analysis to study the international transmission of U.S. monetary policy shocks in the global equity and bond markets. Through this analysis, we decompose the overall effect of such a shock into 1) direct effects, 2) higher-order network effects transmitted...

We study the impact of news embedded in scheduled macroeconomic announcements on the government bond market in Poland and the Czech Republic. We conduct an event study on intraday data and time-series regressions using daily data over an eight-year period, distinguishing between effects under...

I provide evidence that risks in macroeconomic fundamentals contain valuable information about bond risk premia. I extract factors from a set of quantile-based risk measures estimated for US macroeconomic variables and document that they account for up to 31% of the variation in excess bond...