subordinated bond yield spreads over senior unsecured bonds, and links the bond yields developments with the characteristics of the … play a key role in explaining bond spreads. Interestingly, after the introduction of the new bail-in framework, there is a … convergence between the bond yields of the GSIBs and the non-GSIBs, which could point out to a reduction in the market perception …

principles. Empirically, we show that four factors explain the discount bond excess return curve and term structure premium. Cash …

We study the effect of oil price shocks on bond risk premia. Based on Baumeister and Hamilton (2019), we identify the … Joslin et al. (2014). This is done for a total of 15 countries. Bond risk premia of net oil-exporting countries show a … one would expect. Among the unspanned factors, global economic activity explains most of the variability in bond …

We study the effect of oil price shocks on bond risk premia. Based on Baumeister and Hamilton (2019), we identify the … Joslin et al. (2014). This is done for a total of 15 countries. Bond risk premia of net oil-exporting countries show a … one would expect. Among the unspanned factors, global economic activity explains most of the variability in bond risk …

no leverage. Yet using unique granular data on the bond holdings of institutional funds, we show that their trading …

capital and its impact on bond risk premia. We show that institutional fund managers trade strongly procyclically: they … price impact in both corporate and sovereign bond markets. We provide evidence that this procyclical behaviour is driven by …

capital and its impact on bond risk premia. We show that institutional fund managers trade strongly procyclically: they … price impact in both corporate and sovereign bond markets. We provide evidence that this procyclical behaviour is driven by …

This paper develops high-frequency econometric methods to test for jumps in the spread of bond yields. We derive a …

bond primary market. We find that supply shocks have positive effects on nominal and real interest rates. Most of the …