We find that consumer confidence, proxied by consumers’ expectation of the business condition during the next 12 months, is negatively related to the credit spreads of corporate bonds. This relation cannot be explained by the traditional macro, firm-, and bond-level control variables....

We document the existence of a global monetary policy factor in sovereign bond yields, related to the size of the aggregate balance sheet of nine major central banks of developed economies that have implemented programs of large-scale asset purchases. Balance sheet policies of these central...

Seldom researchers have paid more attention to the impacts of real effective exchange rate regimes on Chinese monetary policy. By building a forward-looking Taylor rule, we have analyzed the relationships between the eight kinds of interest rates and the deviations of the inflation rate from...

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...

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...