macroeconomic shocks can reproduce time-varying stock and bond return correlations. Macroeconomic shocks generate sizable positive …

I provide evidence that risks in macroeconomic fundamentals contain valuable information about bond risk premia. I … account for up to 31% of the variation in excess bond returns. The main predictor factors are associated with point … unemployment rate. In addition, factors provide information about bond risk premia variation that is largely unrelated to that …

Empirically testing a bond portfolio hedging model is usually carried out when proposing a new model or to compare …

Bond Theory is an integral part of financial market. Understanding the same is essential for students entering the … approach to bring clarity to the Bond theory topic. Indian bond market conventions (30/360E, Semi-annual payment of coupon, FV … differential approach presented in this write up tries to make students understand bond pricing dynamics more intuitively. The …

We empirically investigate the importance of parameter uncertainty to bond investors. Using a Bayesian approach, we …

-additive risk measures, for which the eligible asset is a risk-free bond, on the grounds that the general case can be reduced to the …, typically when the eligible asset is a defaultable bond. In this paper we fill this gap allowing for general eligible assets. We …, when the eligible asset is a defaultable bond, cash subadditivity is the exception rather than the rule. Finally, we …

inflation volatility. Using an approximate solution to bond prices, we show that the ZLB model successfully captures interest …

How does uncertainty affect the costs of raising finance in the bond market and via bank loans? Empirically, this paper … finds that heightened uncertainty is accompanied by an increase in corporate bond yields and a decrease in bank lending … the value of the lending relationship and lowers the lending rate. Bond investors demand compensation for the increased …