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 …

premium is implied from bond markets under the assumption of no-arbitrage. We estimate a regime switching term structure model …

, which is more pronounced for higher maturities and when risk aversion proxied by bond market volatility is high. Going …

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 …

The appearance of negative bond yields presents significant challenges for the fixed income markets, which mainly … negative sovereign bond yields. We conclude that the model adjusted well for all countries' yield curves, although no changes …

This paper analyzes the joint dynamic processes of macroeconomic and monetary variables and bond yields in China. We … changes in macroeconomic and monetary variables. These results differ from an earlier study on bond yields by Ang and Piazzesi …

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 …

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

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