We investigate the impact of credit spreads on the stochastic duration and convexity of corporate bonds with respect to the very metrics for equivalent Treasury bonds. We show that the credit spread has two interacting effects on both the duration and the convexity of a corporate coupon bond as...

We show that the design of fiscal policy does play a role in shaping the yield curve which has quantitative consequences for the cost of private and government financing. We combine government spending shock identification strategies from the fiscal macro literature with recent advancements in...

This paper studies the transmission of Federal Reserve communication to financial markets and the economy using new measures of the term structure of policy rate uncertainty. Movements in the term structure of interest rate uncertainty around FOMC announcements cannot be summarized by a single...

We consider a classical discrete term-structure model for the joint modelling of risk-free and defaultable bonds (also known under its historical name, defaultable LIBOR market model). We model the risk-free forward rate Lᵢ and the defaultable forward-rate Lᵈᵢ.In the usual specification...

Does the market value the environmental, social, and governance (ESG) performance of firms in corporate bond credit spreads? In this study, we construct the firm-level corporate bond credit spread based on the ‘bottom-up’ approach and examine the relationship between corporate ESG...

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...