prices and bond yields using fractional integration techniques. The model is estimated first over the period January 1966 … pandemic period. We find that the unit root hypothesis cannot be rejected for stock prices while for bond yields the results … differ depending on the maturity date and the specification of the error term. In general, bond yields appear to be more …

In this paper we estimate and interpret the factors that jointly determine bond returns of different maturities in the … US, Germany and Japan. We analyze both currency-hedged as well as unhedged bond returns. For currency-hedged bond returns …, we find that five factors explain 96.5% of the variation of bond returns. These factors can be associated with changes in …

corporate bond funds the use of CDS has increased from 20% in 2004 to 60% in 2008. Among CDS users, the average size of CDS …

daily S&P500, the US Treasury Bond Index (USTB), the S&P Green Bond Index (GREEN) and the Dow Jones (DJ) Islamic World …. The mortality rate, surprisingly, seems to have affected stock and bond prices positively with autocorrelated errors. As …

of the USA, and whether the efforts of international organizations to improve bond markets have had any effect in East …This article examines whether there is a correlation between the government bond markets of Asian countries and those … Asia. Because the sizes of the government bond markets are larger than those of the corporate bond markets in East Asia …

This paper test for causality between the US Dollar-Euro exchange rate and US-EMU bond yield differentials. To that end … existence of statistically significant Granger causality running one-way from bond yield differentials to the exchange rate, but …