I construct a no-arbitrage term structure model with endogenous regime shifts and apply it to Japanese government bond … ZIRP, the deflationary effect on bond yields increases on the longer end of yield curves; on the other hand, the effect of … output gaps on raising bond yields weakens for all maturities …

quantitative easing paradox: LSAP raise long-term government bond yields, while a premature exit lowers long-term government bond … effect on long-term government bond yields …

In this paper, we investigate whether credit spread curve information helps forecast the government bond yield curve … and whether the joint dynamics of the government bond yields and credit spreads have structural changes. For this purpose …

This note examines the stochastic behaviour of US monthly 10-year government bond yields. Specifically, it estimates a …

corporate bond yield changes and stock returns should be informative about firm level default risk of this corporate debt. In … estimate the contemporaneous correlation between firm level corporate bond yield changes and stock returns using daily data … evidence that as the stock-bond correlations increase in absolute value, the default risks of bonds increase, as expected. In …

In their seminal paper on bond fund performance, Blake, Elton and Gruber (1993) state that survivorship bias is … unimportant for this market segment. Many bond fund studies have since been published without treating survivorship bias despite … disappearance of bond funds comprehensively. As key determinants we identify fund size and flows. Compared to equity funds, returns …