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

Earlier studies in the finance literature show that macroeconomic fundamentals can predict excess bond returns. We … less than the real factors; (iii) the inflation factors have almost no predictivepower and (iv) the excess bond returns …

% year-on-year while the CPI of euro area increased by 5% year-on-year. In China, the CPI increased by 2.3% year-on-year, the ….3%. In this month, monetary policy operations achieved a net money withdrawal for the amount of RMB320 billion, and the bond … repo rates showed ups and downs. Bond yields went down in general, and the ChinaBond New Composite Index rose slightly …

This paper analyzes the joint dynamic processes of macroeconomic and monetary variables and bond yields in China. We … changes in macroeconomic and monetary variables. These results differ from an earlier study on bond yields by Ang and Piazzesi … policy is conducted in China …

Considering the Chinese and U.S. bond risk premia jointly, we find that n-year bond excess return can be forecast by n … attitude structures in the U.S. bond market change radically in last decade …

Bond market order flow contains information about future yield changes that is not incorporated into the current yield … tiers of the Norwegian government bond market, enables the paper to investigate the sources of predictability. Forecasts … based on individual bond dealer order flow suggest that customer type, rather than the size of the customer base, is one of …

This paper investigates whether ETF returns lead the returns of underlying bonds and similar style bond funds. Bond … predicted, we find that ETF returns predict its own NAV returns and aggregated ETF returns for each bond also predict the … underlying bond returns on a monthly basis. We show that bond liquidity is the determining factor of the predictability and the …

corporate bond and stock markets. Using a comprehensive bond dataset, we observe a significant momentum effect in corporate bond … returns and bond credit spread changes. The momentum effect in bond total returns, however, is confined to low-grade bonds and … bond credit spread, not the total return, is a more appropriate proxy to examine the response of bond prices to new …

Eurobonds from the US, Europe, and other countries around the world, we show that bond performance around M&A announcements is …