coupon payments can be reinvested at a rate equal to the yield to maturity,(ii) that the bond is held to maturity We show …

A new concept of credit spread for defaultable bond pricing is introduced in this paper. When combined with the …

-free rate, and the yield curve. In particular, the bond price decreases with the average belief and, in most situations, tends … belief dispersion also leads to higher bond volatility. In addition, the model nests the CIR model with time …

spending for adaptation. This type of bond is known as ``green bonds" and presents remarkable growth in the global market. We …

This paper explores bond pricing implications of a stochastic endogenous growth model with imperfect price adjustment … inflation dynamics are crucial for explaining a number of stylized facts in bond markets. Notably, when calibrated to a wide … range of macroeconomic data, the model quantitatively explains the means and volatilities of nominal bond yields. The model …

We present a discrete time model of expected bond returns (EBR). These are ex-ante expectations implied by the market … prices and the data set available when bond prices are quoted. The model can be used to estimate the rating-adjusted EBR, its … implement the model using corporate bond transaction data from the United States and a rating agency transition matrix to …