market, private benchmarks long ago displaced government benchmarks. In the bond markets, evidence from organised exchanges … government bond futures to private interest rate swaps. The global financial crisis seems only to have interrupted this process … in the US dollar bond market, the European sovereign bond strains may have accelerated it in the euro bond market; and …

corporate bond and stock markets. Using a comprehensive bond dataset, we observe a significant momentum effect in corporate bond … returns and bond credit spread changes. The momentum effect in bond total returns, however, is confined to low-grade bonds and … bond credit spread, not the total return, is a more appropriate proxy to examine the response of bond prices to new …

use these to create hypothetical inflation-linked bond returns. We compare these with the return on actual inflation …-linked bond returns on a recent sample and find that surveys of professional forecasters and moving average models perform best …. We confirm these findings for a sample of 19 international inflation-linked bond markets. Using surveys of professional …

curve. Most importantly, variation in yield skewness has substantial forecasting power for future bond excess returns, high …

curve. Most importantly, variation in yield skewness has substantial forecasting power for future bond excess returns, high …

The green bond market has grown strongly in recent years, especially in the euro area. With regard to the European … rapidly evolving green bond market. In addition, the effect of ECB bond purchases on yields under the corporate sector … purchase program (CSPP) and the pandemic emergency purchase program (PEPP) is examined. The analysis shows that ECB bond …

implications of this finding for asset prices. The uncovered dynamics of consumption implies modestly upward sloping real bond and …

. Significant similarities in the bond characteristics are therefore anticipated, which ultimately leads to similarities in pricing … for these bond issuers over time. In this paper, using a very rich database with primary catastrophe bond data from June … 1997 to March 2020, and proposing a novel random intercept model, the variations in catastrophe bond premiums introduced by …

-of-sample bond return predictability when real-time, instead of fully-revised, macro variables are taken as predictors. First, when … forecasting both non-overlapping and overlapping excess bond returns. In contrast, some machine learning models can help find some … statistical evidence for forecasting overlapping excess bond returns. Second, when using both pure real-time macro information and …

Taking the first bond defaults in each province in China as credit events, we adopt a difference-in-difference model … event day, suggesting a spillover effect. The spillover effect is stronger for local state-owned-enterprise bond defaults … rates and higher general public budget revenue are less affected by the first bond defaults. Overall, our paper provides new …