long vs. the short maturity bond segments and show that enhanced institutional quality, higher credit quality and better …

the euro area and in five major European economies. It also introduces a set of indicators for excess bond premia …, adjusting corporate bond spreads for credit risk of the issuer and the term, coupon and liquidity premia. I find that the … majority of macroeconomic indicators can be better predicted by the excess bond premia compared to non-adjusted indices; the …

timed the bond market by shifting their issuance toward bonds eligible for the program. However, issuers of eligible bonds … bond market and in the default swap market, whereas the valuation of eligible bonds did not change relative to comparable … ineligible bonds. Firms took advantage of reduced risk premia by issuing riskier bond types. Using a novel and comprehensive …

To study inflation expectations and associated risk premia in emerging bond markets, this paper provides estimates for … Mexico based on an arbitrage-free dynamic term structure model of nominal and real bond prices that accounts for their … liquidity risk. In addition to documenting the existence of large and time-varying liquidity premia in nominal and real bond …

credit default swap (CDS) premium and the hypothetical CDS premium implied by emerging market bond yields. On average, the … quality is bad. I study the effects of bond liquidity, liquidity in the CDS market, equity market performance and … macroeconomic variables on the non-default component of the emerging market yield spreads. I show that bond liquidity has a …

cross-section of eight euro area government bond yield curves since January 1999. The existence of a common monetary policy …