Following the upset of the financial crisis, and especially after the collapse of Lehman Brothers, Governments in advanced economies have provided support to the fi nancial sector to help restoring its normal functioning and to avoid the widening of the meltdown. Banking CDS premia climbed from...

Political uncertainty drives markets. Among macroeconomic forces, it is one of the fewfactors that systematically affect most assets - hence it qualifies as a state variable in the senseof the ICAPM and should carry a risk premium. We employ static and conditional factormodels using data in...

We explore the impact of the COVID-19 pandemic on the term structure of interest rates. Using data from developed and emerging countries, we demonstrate that the expansion of the disease significantly affects sovereign bond markets. The growth of confirmed cases significantly widens the term...

Using unique data at transaction and identity levels, we provide the first systematic study of interest rate swaps traded over the counter. We find substantial and persistent heterogeneity in derivative prices consistent with a pass-through of regulatory costs on to market prices via so-called...

Are yields of long-maturity bonds distorted by demand pressure of clientele investors, regulatory effects, or default, flight-to-safety or liquidity premiums? Using data on German nominal bonds between 2005 and 2015, we study the differential pricing and liquidity of short and long maturity...

This paper examines whether and how differences in investors' information environment are related to cross-country differences in the market risk premium volatility. We use the vector-autoregressive and implied cost of capital methods to extract time variation in risk premiums for 41 developed...

Treasury securities normally possess unparalleled safety and liquidity and, consequently, carry a money premium. We use recent debt limit impasses, which temporarily increased the riskiness of Treasuries, to investigate the relationship between the money premium, safety, and liquidity. Our...

I empirically show that underpricing of uniform-price U.S. Treasury auctions is explained by risk premia. I posit that intermediaries demand a risk premium to offset future secondary market price uncertainty, in which uncertainty is captured by treasury auction return volatility, which is...

The COVID-19 pandemic has highlighted the impacts that rare disasters can have on credit markets. We discuss and quantify the asset-pricing implications of disaster risk on the risk-free rate, credit spreads, and their term structures. The findings underscore the heterogeneous effects of...

Employing time series of single-name CDS market spreads from 29 European banks located in the EU-12 plus Switzerland and the UK over the period from January 2004 through September 2010 this paper analyses the relationship between increasing sovereign risk and bank-specific CDS pricing. Results...