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Unspanned Global Macro Risks in Bond Returns

Zhao, Feng - 2020

This paper examines the macro-spanning hypothesis for bond returns in international markets. Based on a large panel of real-time macro variables that are not subject to revisions, wefind that global macro factors have predictive power for bond returns unspanned by yield factors.Furthermore, we...

Persistent link: https://www.econbiz.de/10012856793

Equity tail risk in the treasury bond market

Ruzzi, Dario; Rubin, Mirco - 2020

Persistent link: https://www.econbiz.de/10012610635

Does pandemic risk affect yield spreads in the EMU?

Matei, Iuliana - In: International economics : a journal published by CEPII … 172 (2022), pp. 431-450

Persistent link: https://www.econbiz.de/10014339439

Is idiosyncratic tail risk priced in the cross-section of bond returns? : evidence from Chinese bond markets

Huang, Wei-Qiang; Zhang, Jing; Liu, Peipei - In: Applied economics letters 30 (2023) 10, pp. 1318-1326

Persistent link: https://www.econbiz.de/10014304235

Credit spreads : Einflussfaktoren, Berechnung und langfristige Gleichgewichtsmodellierung

Schlecker, Matthias - 2009 - 1. Aufl.

Persistent link: https://www.econbiz.de/10003861217

Financial regulation policy uncertainty and credit spreads in the US

Nodari, Gabriela - In: Journal of macroeconomics 41 (2014), pp. 122-132

Persistent link: https://www.econbiz.de/10010514753

Uncovering the impact of regulatory uncertainty on credit spreads : a study of the U.S. covered bond experience

Bhanot, Karan; Larsson, Carl F. - In: Journal of financial markets 39 (2018), pp. 84-110

Persistent link: https://www.econbiz.de/10012001884

Economic policy uncertainty and volatility of corporate bond credit spread : evidence from China and the United States

Zhang, Maojun; Zhang, Rongjia; Yang, Zhao - In: International review of economics & finance : IREF 93 (2024) 2, pp. 827-841

Persistent link: https://www.econbiz.de/10014535660

Investors valuation for assets liquidity and safety and the corporate-treasury yield spread

Niestroj, Benjamin - 2012

Persistent link: https://www.econbiz.de/10009674954

Term structures of asset prices and returns

Backus, David; Boyarchenko, Nina; Chernov, Mikhail - 2016

Persistent link: https://www.econbiz.de/10011535572

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