We examine empirical association of dated sovereign security (15 year sovereign bond index) and interest rate of BRICS countries by using weekly data from 2001 to 2010. We used unit root test to check stationarity of data and it was found that one variable (bond) is stationary at level and other...

LIBOR, the predominant family of global short-term rate benchmarks for the past 40 years, ceases to exist in June 2023. Given the low volumes of interbank loans on which LIBOR had been based, the revelations that LIBOR had been manipulated, and the risks that countless LIBOR-dependent financial...

We construct a panel of global equity yields by modifying the model of Giglio et al. (2021) so it works internationally. We revisit stylized facts about equity yields, primarily based on US data, and provide several new results. On old facts, we study the dynamics of global equity yields, their...

We construct a two-factor pricing model for contingent convertible bonds having a conversion to equity loss absorption mechanism, triggered by the event of the issuer’s Tier 1 ratio falling below a pre-determined level. The two stochastic factors are the issuer’s equity price and Tier 1...

How do people understand business-cycle comovements of macro-finance variables? I develop an empirical and theoretical framework to investigate people’s mental models, extending the univariate Coibion and Gorodnichenko (2015) regression to address multivariate relations. Forecast revisions of...

This paper employs data on corporate bond mutual fund flows to investigate bond investments under low interest rates. In response to the Fed’s lower interest rate policy, we find that investment-grade bond funds receive inflows, while high-yield bond funds are not responsive. This result can...