bonds with higher collateral haircuts. The importance of collateral haircuts on bond yields remains robust after controlling …

contributory factor to this conundrum was the contemporaneous increase in US bond demand. Using ARDL-based models, which … accommodate structural breaks, this paper estimates the impact of demand on US bond yields in the conundrum period. This impact is … shown to have been everywhere significantly negative. The fact that our model fully explains the bond yield conundrum gives …

TRACE bond returns are meaningfully different from ICE bond return data used by banks, asset managers, and hedge funds …

This paper presents an equilibrium bond-pricing model that jointly explains the upward-sloping nominal and real yield …

Equilibrium bond-pricing models rely on inflation being bad news for future growth to generate upward-sloping nominal …

Expectations of risky bond payments are unobservable and recovery rates for sovereigns are hard to estimate because …

pronounced for USTs given data on ten other previously unexamined government bond markets. Second, BABgov appears robust when … government bond markets remains ambiguous. …

This paper empirically investigates the relationship between TV news coverage and the GIIPS countries’ bond yield …

This paper is about market liquidity risk premia in Eurozone sovereign bond spreads between 2008 and 2015. By … short-term deviations from long-term equilibria are due to temporary illiquidity premia inherent in government bond spreads …. Moreover, we show that the bond markets are more important for price determinantion than the credit default swap markets …