In this paper, we study the dynamics and drivers of sovereign bond yields in euro area countries using a factor model … mechanism of bond yields. Our key contribution is exploring both the global and the local dimensions of bond yield determinants … periphery euro area bond yields from the core countries yields following the financial crisis and the scope of their subsequent …

stylized facts. In a decomposition of long-term bond returns we find that the expectations component from the level factor is … innovations in the level factor to explain the volatility of long-term bond returns. The model also implies that excess bond …

stylized facts. In a decomposition of long-term bond returns we find that the expectations component from the level factor is … innovations in the level factor to explain the volatility of long-term bond returns. The model also implies that excess bond …

This study analyzes the magnitude of the US monetary policy spillover on the Indonesian local currency government bond …

dynamics and measures the persistence of shocks to the sovereign bond yield volatility in India from 1 January 2016, to 18 May …

Understanding the behaviour of the equity yield and its relation to the bond yield is important for portfolio managers … previously greater than the bond yield-declined, while the bond yield rose and became higher. Research, seeking to understand … this, put forward the view that stock and bond return volatility is key. Evidence from the 2000s suggest that the relative …

We document a strong positive cross-sectional relation between corporate bond yield spreads and bond return … volatilities. As corporate bond prices are generally attributable to both credit risk and illiquidity as discussed in Huang and …, our credit and illiquidity proxies can explain almost three quarters of the yield spread-bond volatility relation with …