economies that had not been seen in decades. This pushed up interest rates, which in turn led to higher yields in global bond … markets. This study examines two distinct channels that transmit advanced economy inflation to emerging market bond yields by … and contraction in emerging market bond yields. Second, the shortrun effect of advanced economy inflation on the bond …

Gaussian affine term structure models attribute time‐varying bond risk premia to changing risk prices driven by the … model with recursive preferences. Our model is affine and has analytical bond prices making it empirically tractable. We use … particle Markov chain Monte Carlo to estimate the model, and find that time variation in bond term premia is predominantly …

dynamics and measures the persistence of shocks to the sovereign bond yield volatility in India from 1 January 2016, to 18 May …

We study the relation between bond characteristics and corporate bond returns in China's two distinct and segmented … bond markets-the interbank market and the exchange market-with a large cross-sectional dataset of 8318 corporate bonds from … Amihud illiquidity earn high monthly returns in the interbank market. The return predictive patterns of bond size, time to …

conventional bond return, while conventional sovereign bonds are affected by the financial market return. Furthermore, the results … confirm that the liquidity of sovereign green bonds can be explained by bond maturity. …

This paper analyzes the influence of downside risk on defaultable bond returns. By introducing a defaultable bond … bond excess returns using a portfolio-level analysis and Fama-MacBeth regressions. We find that downside risk is a strong … and robust predictor for future bond returns. In addition, due to the higher proportion of abnormal transactions in the …

sovereign yield curves, in this paper, we investigate certain characteristics of the Romanian government bond market. We perform …