This paper seeks to analyse the impact of government debt and other macroeconomic variables on the long term bond yield …-regressive distributed lag (ARDL) technique to estimate the determinants of the long-term bond yield. Our results show that the short … long term yield positively impact long term bond yields both in the short- and long-run. The rate of inflation, economic …

This study assesses the short and long-run behaviour of long-term sovereign bond yields in OECD countries, for the …

negative sovereign bond yields. We conclude that the model adjusted well for all countries' yield curves, although no changes …The appearance of negative bond yields presents significant challenges for the fixed income markets, which mainly … application of the NSS model to fit the yield curve of a set of 20 countries, the majority from the Eurozone, which registered …

In this paper, we propose a new method to assess the impact of sovereign ratings on sovereign bond yields. We estimate …

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

autocorrelation in bond risk premia and because unexpected bond return shocks increase the premium. Yield curve momentum is primarily … due to autocorrelation in yield changes rather than autocorrelation in bond carry and can largely be captured using a … single bond return or yield change factor. Because yield changes are partly induced by changes in the federal funds rate …

-based structure. Liquidity conditions for EFSF bonds in the secondary market are different from those of large sovereign bond issuers …, which affects bond pricing. This paper offers the first study of the term structure of EFSF bond yields and a decomposition … of the EFSF curve and the swap curve allows to further identify the liquidity and credit components of both yield curves …

dynamics and measures the persistence of shocks to the sovereign bond yield volatility in India from 1 January 2016, to 18 May …Does Indian sovereign yield volatility reflect economic fundamentals, or whether it is a self-generated force flowing … yield volatility. For a positive γ, the results suggest the possibility of a "leverage effect" that is markedly different …

-term response of the Colombian long-term bond yield and other asset prices to shocks to the US long-term Treasury rate. We use daily …. Our findings show that the link between sovereign bond yields has changed over time, and that the short-run responses of …