A convenience yield represents a difference between yield on a safe bond and yield on a synthetic safe bond …, constructed by combining a risky bond with a CDS contract. We explain the shapes of eurozone sovereign convenience curves using a … model in which arbitrageurs face higher funding costs on bonds with credit risk and bond demand shocks induce funding risk …

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

we label Convergence Gap (CG), contains information that is valuable for bond predictability. Adding CG in forecasting … regressions of bond excess returns significantly raises the R-squared, and restores countercyclical variation in bond risk premia … the path of rates, our factor has predictive ability for real bond excess returns. The importance of the gap remains …

Riksbank and the European Central Bank (ECB) on bond risk premia in the Swedish government bond market. Using a novel arbitrage …-free dynamic term structure model of nominal and real bond prices that accounts for bondspecific safety premia, we find that … Sveriges Riksbank's bond purchases raised inflation and short-rate expectations, lowered nominal and real term premia and …

Expectations of risky bond payments are unobservable and recovery rates for sovereigns are hard to estimate because …

This research investigates the macro factors for forecasting (1) bond risk premia and (2) term structure of government … bond yields by using Bayesian Model Averaging (BMA) based on empirical prior. Different from the traditional variable … further improve the other method's forecasting performance. The performance of using BMA to forecast bond excess return is …

Pricing bonds is generally one of the earliest applications of time value of money in a finance curriculum. A bond … security. This paper works through the pedagogy of bond pricing and extends the traditional bond pricing formula in a manner … about bond pricing and the time value of money …

Some key features in the historical dynamics of U.S. Treasury bond yields – a trend in long-term yields, business cycle …

This paper presents an equilibrium bond-pricing model that jointly explains the upward-sloping nominal and real yield …