following three questions: Under what conditions is it socially desirable to contract the bond supply, what incentive problems … are mitigated by doing this, and how large are the effects? We show that reducing the bond supply induces agents to … effect fails for high inflation rates, because agents hold so little money in the first place that manipulating the bond …

Studies of bond return predictability find a puzzling disparity between strong statistical evidence of return … accounting for important features of bond return models such as time varying parameters, volatility dynamics, and unspanned macro … performance of forecast combinations. Consistent with models featuring unspanned macro factors, our forecasts of future bond …

Bond skewness and coskewness (i.e., bond return comovement with market volatility) are both time varying, with cross … coskewness with respect to the bond market index; lower quality bonds have lower skewness, and higher coskewness with respect to … the bond market index. Three-moment bond alphas (which account for coskewness effects) are time varying and predictable by …

details of how to determine the probability distribution of a single bond holder's lottery prizes seem to be less well …

in bond contracts. Using a unique Moody's dataset on the quality of bond covenants, we develop measures that capture … similarity in bond covenant terms by comparing the restrictiveness of a bond's covenants with the covenant restrictiveness of … bonds are also characterized by greater liquidity in the secondary market and are more likely to be held by long-term bond …

. The impact of this time-varying risk aversion proxy on bond risk premia is then analysed within an arbitrage-free term … discount factor, we find that the risk aversion factor has significantly affected UK government bond yields. The changes in the …

We develop a novel approach to the bond portfolio optimization in insurance companies that are subject to the new …