French, Italian, German and Spanish long-term sovereign bonds during the culmination of the Eurozone debt crisis in 2011 … bond's yields, although Germany's rating status was never touched by CRA. There is no evidence for Granger causality from … bond yields to rating announcements. We infer from these findings that CRA announcements significantly influenced crisis …

Using a flexible threshold copula model, we investigate the pairwise tail dependence of Eurozone sovereign credit …

How do cyclical fiscal stabilisation policies affect welfare and government bond risk premia? Using a new Keynesian … model we find that the effects of fiscal policy rules on the bond premium and welfare crucially depend on the source of …

We examine the impact of Chinese monetary policies on the excess bond yields of Chinese local bonds issued by Chinese … high degree of existing resource misallocation. Our estimation results confirm that local government bond excess yields can …

We examine the impact of Chinese monetary policies on excess local bond yields (the spreads over Chinese government …

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

we label Convergence Gap (CG), contains information that is valuable for bond predictability. Adding CG in forecasting … regressions of bond excess returns significantly raises the R-squared, and restores countercyclical variation in bond risk premia … the path of rates, our factor has predictive ability for real bond excess returns. The importance of the gap remains …

Riksbank and the European Central Bank (ECB) on bond risk premia in the Swedish government bond market. Using a novel arbitrage …-free dynamic term structure model of nominal and real bond prices that accounts for bondspecific safety premia, we find that … Sveriges Riksbank's bond purchases raised inflation and short-rate expectations, lowered nominal and real term premia and …