This working paper was written by Cho-Hoi Hui (Hong Kong Monetary Authority), Andrew Wong(Hong Kong Monetary Authority) and Chi-Fai Lo (The Chinese University of Hong Kong).This note uses a target-zone model to study the bond yield movements under yield curve control. The bond yield is assumed...

This working paper was written by Patrick Augustin (McGill University and Canadian Derivatives Institute), Mikhail Chernov (University of California Los Angeles, NBER and CEPR), Lukas Schmid (University of Southern California and CEPR) and Dongho Song (Johns Hopkins University).We show...

There continues to be substantial interest in models combining heterogeneous beliefs about asset values with leverage generated by loans from pessimists to the optimistic natural buyers of the asset. This paper determines the size of the interest spread and margin on the loan as a function of...

This paper develops a macro-finance term structure model based on the expectations hypothesis extended to include a time-varying term premium. The model establishes inter alia the link between quantitative easing and the term premium, allowing us to measure the total impact on the bond yield of...

Contrary to leading asset pricing theories, recent empirical evidence indicates that financial markets compensate only short-term equity variance risk. An equilibrium model with generalized disappointment aversion risk preferences and rare events reconciles salient features of the variance term...

The state’s imposition of compulsory terms in property relations—such as habitability warranties binding landlords and tenants and minimum wages binding employers and employees—has long been conceived by analysts generally situated on the political right as an affront to individual freedom...

We study the response of bond spreads to a liquidity supply shock in the credit default swap (CDS) market. Our identification strategy exploits the exogenous exit of a large dealer from the single-name CDS market as well as granular data on CDS transactions and bond portfolio holdings of German...

From the exchange rate present value model introduced in Fabre (2022), I deduce a dynamic arbitrage relation between exchange rate returns and inflation-linked bond returns. When investors do not fear persistent shocks to the real exchange rate, foreign exchange risk can be fully replicated from...

Using daily yield data of 14 sovereign bond markets of the world which we classify into two cohorts from July 10, 2000, to July 10, 2022, we examine their scaling properties using generalized Hurst exponent and spectral density analysis. We find that the scaling behavior of the bond yields for...