curve. Most importantly, variation in yield skewness has substantial forecasting power for future bond excess returns, high …

curve. Most importantly, variation in yield skewness has substantial forecasting power for future bond excess returns, high …

, cumulatively, due to low bond yields since the onset of the Euro crisis. In order to determine the contribution of the "flight to … quality" to this sum, we define the flight to quality as a factor which has caused German bond yields and crisis country bond …

factors have contributed to the recent decline in bond yields in the US. For that purpose, we start with a very general model … to establish a stable long-run relationship and find that the behaviour of bond rates in the last few years may well be … overestimation of bond yields is not unusual historically. Finally, our bond yield equation outperforms a random walk model in …

We analyze how interest rates affect cross-border portfolio investments. Data on U.S. bond holdings by foreign …

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