green bond returns and volatilities. On the whole, the evidence suggests weaker linkages, and thus a lower degree of …

green bond returns and volatilities. On the whole, the evidence suggests weaker linkages, and thus a lower degree of …

the variation of excess bond risk premia in the sample. Additionally, the factor unveils differences between monetary …

We develop a structural bond pricing approach and implement it on a large panel of US industrial bonds using an … form models. Furthermore, our analysis provide evidence that bond yield spreads incorporate a substantial liquidity … spreads ; default ; structural bond pricing models …

explain the average shape of the nominal yield curve, the variation of yields over time, and the predictability of excess bond …

In this paper we estimate and interpret the factors that jointly determine bond returns of different maturities in the … US, Germany and Japan. We analyze both currency-hedged as well as unhedged bond returns. For currency-hedged bond returns …, we find that five factors explain 96.5% of the variation of bond returns. These factors can be associated with changes in …

business model and market functioning?, and (3) how did the coronavirus (COVID-19) shock in March 2020 affect the OTC bond and … highlighted by the US bond market dislocation in March 2020. …

We document an inverse relation between stock-bond correlations and correlations of growth and inflation. We find that … rising inflation uncertainty lowers stock prices but can either lower or raise nominal bond prices depending on whether … important drivers of stock-bond correlations during the countercyclical period 1965-2000 while output shocks dominated during …