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Forward guidance in the yield curve : short rates versus bond suppyl

Greenwood, Robin; Hanson, Samuel G.; Vayanos, Dimitri - 2015

Persistent link: https://www.econbiz.de/10011440933

Do inflation-linked bonds contain information about future inflation?

Vicente, José Valentim Machado; Guillén, Osmani … - In: Revista brasileira de economia : RBE ; revista da … 67 (2013) 2, pp. 251-260

Persistent link: https://www.econbiz.de/10011443921

Robust bond risk premia

Bauer, Michael D.; Hamilton, James D. - 2016 - Revised: January 20, 2016

Persistent link: https://www.econbiz.de/10011529375

Nonparametric long term prediction of stock returns with generated bond yields

Scholz, Michael; Sperlich, Stefan; Nielsen, Jens Perch - In: Insurance / Mathematics & economics 69 (2016), pp. 82-96

Persistent link: https://www.econbiz.de/10011530926

Score-driven systemic risk signaling for European sovereign bond yields and CDS spreads

Lange, Rutger-Jan; Lucas, André; Siegmann, Adriaan Hendrik - 2016

spreads, we use government bond yield data which provide a longer data history. We show that for the more recent sample period … 2008--2015, joint default probabilities based on CDS and bond yield data yield similar results. For the period 1987 …-2008, only the bond yield data can be used to shed light on European sovereign systemic stress. We also show that simple averages …

Persistent link: https://www.econbiz.de/10011531096

Limits to arbitrage and the term structure of bond illiquidity premiums

Schuster, Philipp; Uhrig-Homburg, Marliese - In: Journal of banking & finance 57 (2015), pp. 143-159

Persistent link: https://www.econbiz.de/10011543830

Financial conditions, macroeconomic factors and disaggregated bond excess returns

Fricke, Christoph; Menkhoff, Lukas - In: Journal of banking & finance 58 (2015), pp. 80-94

Persistent link: https://www.econbiz.de/10011543903

Riding the swaption curve

Duyvesteyn, Johan; Zwart, Gerben Jacobus de - In: Journal of banking & finance 59 (2015), pp. 57-75

Persistent link: https://www.econbiz.de/10011544291

Budgetary decomposition and yield spreads

Afonso, António; Jalles, João Tovar - 2015

Persistent link: https://www.econbiz.de/10011549287

Bond risk premia forecasting : a simple approach for extracting macroeconomic information from a panel of indicators

Audrino, Francesco; Corsi, Fulvio; Filipova, Kameliya - In: Econometric reviews 35 (2016) 1/4, pp. 232-256

Persistent link: https://www.econbiz.de/10011549916