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 …

be compensated, if markets are efficient. We call this the "bond agio premium" and use constituent-level bond index data … for January 1997 through December 2022 to show that - holding issuer and maturity fixed - it is reflected by bond prices …

We study the trading of dealers around new bond issues underwritten by their affiliates using a complete matched record … of U.S. bond market transactions, bond issue deals, and underwriter ownership structure from 2005 to 2015. Compared to …

We study the trading of dealers around new bond issues underwritten by affiliates using a complete matched record of U ….S. bond market transactions, ownership structure, and bond issues from 2005 to 2015. Compared to dealers unaffiliated to the …

. 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 …

the time-varying correlation of US stock and bond returns. Key ingredients are time-varying first and second moments of … bond returns. High levels of macro volatility in the late 1970s and early 1980s caused stock and bond returns to comove …