We estimate the short-run reactions of bond spreads of selected EU member states vis-à-vis the German bund on fiscal …

we can compute a bond invoice i.e., the present value for a given cash investment in the bond. We present the classical … bond pricing formulae and show how to modify this formula to account for accrued interest.To be able to evaluate bond cash … the bond. There is no closed-form analytical solution. Therefore, it must be solved for using an optimization algorithm …

Were government bond risk premia affected by the media in addition to the effects of major events? Revisiting the … European debt crisis, we analyze the role of television news in the rise and re-convergence of GIIPS bond spreads vis … stability and “international financial support” to distressed countries in reducing bond spreads. Moreover, weekend news enables …

This paper econometrically models the dynamics of Swedish government bond (SGB) yields. It examines whether the short … reaffirm John Maynard Keynes's view that the central bank's monetary policy affects long-term government bond yields through … with empirical patterns discerned in previous studies related to government bond yields in both advanced countries and …

This paper presents empirical models of Mexican government bond (MGB) yields based on monthly macroeconomic data. The … industrial production. John Maynard Keynes claimed that government bond yields move in lockstep with the short-term interest rate …

This paper studies the role of mutual fund yield in driving investor flows and performance of bond funds. Using two … common measures, the SEC yield and 12-month distribution yield, we find strong evidence that investors tend to chase bond … funds with higher yields, even after controlling for total fund returns and fund ratings. Although bond funds with higher …

Abstract: This paper investigates the impact of ESG rating confusion on bond spreads. Although confusion in ESG rating … assessments is widely recognized, its effects on the bond market are not well understood. Using a pricing model for corporate … bonds, the study finds that ESG rating confusion widens the bond spread. Data from China confirms that both primary and …

This paper econometrically models the dynamics of long-term Chinese government bond (CGB) yields based on key … long-term government bond yields through the short-term interest rate. The paper's findings evince that Keynes's claim …

This paper models the dynamics of Japanese government bond (JGB) nominal yields using daily data. Models of government … bond yields based on daily data, such as those presented in this paper, can be useful not only to investors and market …

We present a hybrid Heston model with a local stochastic volatility to describe government bond yield dynamics. The … time series investigated. Then, the model describes convergence/divergence phenomena among European government bond yields …