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 …

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 …

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 …

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 …

between the stock's earnings and bond yields. The novelty of our econometric methodology consists in using a vector error … that the stock's earnings yield followed the bond yield in both the short- and long-run, but not the other way around …

contributory factor to this conundrum was the contemporaneous increase in US bond demand. Using ARDL-based models, which … accommodate structural breaks, this paper estimates the impact of demand on US bond yields in the conundrum period. This impact is … shown to have been everywhere significantly negative. The fact that our model fully explains the bond yield conundrum gives …