subordinated bond yield spreads over senior unsecured bonds, and links the bond yields developments with the characteristics of the … play a key role in explaining bond spreads. Interestingly, after the introduction of the new bail-in framework, there is a … convergence between the bond yields of the GSIBs and the non-GSIBs, which could point out to a reduction in the market perception …

, emerges as a strong predictor of Treasury bond returns of maturities ranging between one and ten years for return horizons up … economy. Our model qualitatively replicates the predictability pattern of IRVRP for bond returns …

I provide evidence that risks in macroeconomic fundamentals contain valuable information about bond risk premia. I … account for up to 31% of the variation in excess bond returns. The main predictor factors are associated with point … unemployment rate. In addition, factors provide information about bond risk premia variation that is largely unrelated to that …

been performed in our recent working paper [5],"Enhancement of the Fisher-Weil bond technique immunization". So it is seen … curve ; Bond portfolio ; immunization ; optimization ; linearization …

observed government bond yields and survey-based expected average short rates. Our term premiums measured directly based on … rates, and uncover a number of important facts: 1) the bulk of the variation in medium- and long-term bond yields is driven … shocks playing the most prominent role; and 5) the secular decline of U.S. long-term bond yields over the past thirty years …

This research investigates the macro factors for forecasting (1) bond risk premia and (2) term structure of government … bond yields by using Bayesian Model Averaging (BMA) based on empirical prior. Different from the traditional variable … further improve the other method's forecasting performance. The performance of using BMA to forecast bond excess return is …

there is no clear common sense for that. Our main purpose in this paper is to present how the classical Fisher-Weil bond … change approximation and the associated bond hedging technique can be enhanced, such that we are able to solve simultaneously … these two issues. The good approximation of the bond or portfolio change we derive, allows to get an interesting consequence …

We examine term structure theories by using a novel approach. We form bond investment strategies based on different … indeed form the basis of a successful bond strategy that outperforms an unbiased expectation inspired passive bond buy and … if one uses information from the forward curve or the term structure as a guide to adjusting bond portfolios in response …