article aims to investigate the effect of investor sentiment as a systematic risk factor on speculative bond yield spreads … period extends from January 1997 to August 2014. In the VAR models, speculative bond spreads and consumer confidence index … period sentiment. Empirical findings imply that investor sentiment is a systematic risk factor in risky bond markets. …

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

In this paper, we study the dynamics and drivers of sovereign bond yields in euro area countries using a factor model … mechanism of bond yields. Our key contribution is exploring both the global and the local dimensions of bond yield determinants … periphery euro area bond yields from the core countries yields following the financial crisis and the scope of their subsequent …