Using sovereign debt data from 47 countries, we document that the third moment (skewness) of unemployment changes has a positive and significant relation with sovereign bond returns. Thus, while investors require risk premia for exposure to macroeconomic shocks (Campbell, 1996), we find that the...

We investigate the effectiveness of yield curve control (YCC) vis-à-vis other unconventional monetary policies (UMP) in a panel difference-in-differences framework of 26 economies that employed UMP between 1995 and mid-2021 for countries that made YCC related announcements. Shadow rates are...

This paper examines the impact of the EU Taxonomy's non-climate environmental criteria on the corporate credit risk term structure. We focus on infrastructure firm-level credit risk transmitted through CDS with differential maturities (e.g., ten-year minus one-year) in relation to biodiversity,...

Numerous empirical studies find that the spread between long- and short-term interest rates widens (narrows) prior to economic expansions (contractions), a phenomenon called the leading indicator property of the term spread (LIPTS). However, the theoretical mechanism underlying LIPTS remains...

Credit spreads are the yields of risky debt securities minus risk-free rates. The finance literature has long argued which share of them is due to credit risk and which share results from other factors. We suggest a novel set of multiple quasi-natural experiments based on government guarantees...

This study tackles a public finance issue on climate change: a carbon tax and government bonds to finance public spending for adaptation. This type of bond is known as ``green bonds" and presents remarkable growth in the global market. We construct an asset-pricing model in which climate change...

A consumption-based, long-run risk equilibrium model with nondurable and durable goods is estimated using US nominal interest rate data. The model generates upward-sloping nominal yield curves and nearly flat real yield curves, implying that the term structure of inflation risk premia is...

In 2008, first suspicions arose that the London Interbank Offered Rate (LIBOR) had been systematically manipulated by financial institutions involved with its fixing; in June 2012, several major international banks officially admitted to this. The regulatory response could not have been...