We examine the impact of Chinese monetary policies on excess local bond yields (the spreads over Chinese government …

We estimate the short-run reactions of bond spreads of selected EU member states vis-à-vis the German bund on fiscal …

from the fixed coupon-bearing bond prices. It meets the next no-arbitrage condition: the rates of return on zero-coupon and …

bond market. We exploit these policy changes using a difference-in-differences strategy, with ineligible corporate green …

, 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 …

Price-based liquidity metrics are better in 2013-2014 for small trades and large high-yield bond trades, but not for … large investment grade bond trades, relative to before the crisis, and are better for all bond types and trade sizes …-crisis liquidity could be low when markets are stressed. We consider three stress events: extreme VIX increases, extreme bond yield …

coupon payments can be reinvested at a rate equal to the yield to maturity,(ii) that the bond is held to maturity We show …

This study measures liquidity in the catastrophe (CAT) bond market and the liquidity premium embedded in CAT bond … bond market is 67.57bps, accounting for only 9.42% of the average CAT bond spread (717.37bps) in the secondary market … during the period 2002-2016. The average CAT bond liquidity premium is higher than the corporate bond liquidity premium of a …

Komponente für einen möglichen Ausfall der Anleihe und eine Komponente, die als Residualspread bezeichnet wird. Zur Erklärung …