.g. cities, Lander, public sector entities), and its covered bond prices. We provide example results for a variety of scenarios …

Based on a TRACE dataset of 9393 cat bond trades on the secondary OTC market from 2015 to 2019, we analyze trading … bid-ask spreads as a liquidity measure, we find that 21% of the observable yield spread on the cat bond market is …

By the 1990s, basis risk had caused bond markets, like money markets before them, to start shifting from the use of … that interest rate swaps continue to gain on government bond futures for hedging and positioning at the long end of the … bond rates as benchmarks …

Using data on government bond yields in Germany and the United States, we show that overseas unspanned factors … for subsequent domestic bond returns. This result is remarkably robust, holding for different sample periods, as well as … term structure models that omit information about foreign bond yields are therefore likely to be misspecified …

I present a production-based general equilibrium model that jointly prices bond and stock returns. The model produces … time-varying correlation between stock and long-term default-free real bond returns that changes in both magnitude and sign …-flow) shocks produce comovement of bond and stock returns and positive term premium. The relative strength of these two mechanisms …

We examine the predictive power of the CDS-bond basis for future corporate bond returns. We find that residual basis …, the part of the CDS-bond basis that cannot be explained by a wide range of market frictions such as counterparty risk …, including credit risk and liquidity risk, we find that a bond portfolio formed on the residual basis generates a significant …

premium is implied from bond markets under the assumption of no-arbitrage. We estimate a regime switching term structure model …

This paper examines the behaviour of stock and bond markets across four major international countries. The results … the stock and bond return correlation within each country declines. Moreover, results show that the stock and bond return … correlations exhibit commonality across countries. Results also demonstrate that stock returns lead movement in bond returns, while …

This paper studies the predictability of bond risk premia by means of expectations to future business conditions using … excess bond returns and that the inclusion of expected business conditions in standard predictive regressions improve … both statistically and from the perspective of a mean-variance investor that trades in the bond market …