I build a dynamic search model of bond and CDS markets and show that allowing short positions through CDS contracts … increases liquidity of the underlying bond market. This result contrasts with existing theories on derivatives, which show that … sovereign bond markets reacted to a naked CDS ban …

future bond returns and fiscal balances …

I provide evidence that risks in macroeconomic fundamentals contain valuable information about bond risk premia. I … account for up to 31% of the variation in excess bond returns. The main predictor factors are associated with point … unemployment rate. In addition, factors provide information about bond risk premia variation that is largely unrelated to that …

over nominal bonds. The shape of the nominal and real bond yield curves are upward sloping due to increasing duration and …

over nominal bonds. The shape of the nominal and real bond yield curves are upward sloping due to increasing duration and …

We examine term structure theories by using a novel approach. We form bond investment strategies based on different … indeed form the basis of a successful bond strategy that outperforms an unbiased expectation inspired passive bond buy and … if one uses information from the forward curve or the term structure as a guide to adjusting bond portfolios in response …

This paper investigates the optimal bond portfolio choice of an investor in a model that captures both the failure of … bond returns. I estimate a daily multifactor affine term structure model with a large set of unrevised macroeconomic data … in which one of the state variables is unspanned by the contemporaneous yield curve. By characterizing the optimal bond …

Bond market order flow contains information about future yield changes that is not incorporated into the current yield … tiers of the Norwegian government bond market, enables the paper to investigate the sources of predictability. Forecasts … based on individual bond dealer order flow suggest that customer type, rather than the size of the customer base, is one of …

bond dealers' choice in the hybrid Norwegian government bond market, I explore whether they adopt a trading strategy based … on the perceived informativeness of their trades. The results imply that bond dealers act strategically to preserve the …