This paper studies high-frequency econometric methods to test for a jump in the spread of bond yields. We propose a coherent inference procedure that detects a jump in the yield spread only if at least one of the two underlying bonds displays a jump. Ignoring this inherent connection by basing...

This paper examines the impact of monetary policy shocks on credit bond yields in China. We find that, before 2014, a monetary policy loosening led to decreased bond yield dispersion, consistent with credit channel theory. However, after 2014, a substantial increase in bond yield dispersion...

This paper takes the interest rates of China's government bond as the research object, and demonstrates the feasibility of the yield curve factor model by analyzing the Bootstrap, DNS, AFNS model of yield curve. Then based on the factor construction, construct the yield curve factor. In order to...

A new concept of credit spread for defaultable bond pricing is introduced in this paper. When combined with the corresponding survival-based pricing model, it allows fixed income portfolio consists of bonds and credit default swaps to be managed consistently in terms of default and credit spread...

Are government bond risk premia affected by the media in addition to the effects of major events? Revisiting the European debt crisis, we analyze the role of television news in the rise and re-convergence of GIIPS bond spreads vis-à-vis Germany from 2007 to 2016. We use a dataset of more than...

We present a semi-static replication algorithm for Bermudan swaptions under an affine, multi-factor term structure model. In contrast to dynamic replication, which needs to be continuously updated as the market moves, a semi-static replication needs to be rebalanced on just a finite number of...